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Archive for August, 2024

August PrefLetter Released!

Sunday, August 11th, 2024

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

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “previous” edition will refer to the August, 2024, issue, while the “next” edition will be the September, 2024, issue scheduled to be prepared as of the close September 13, and emailed to subscribers prior to the market-opening on September 16. Prefletter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

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

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

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

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

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

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

Note: Assiduous Reader DG informs me:

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

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

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

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MAPF Performance: July, 2024

Saturday, August 10th, 2024

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close July 31, 2024, was $10.1165.

I regret to say that I am horribly far behind on my month-end duties this month and therefore this report is both late and grievously abbreviated. I can’t do much about the former at this point, but the latter problem will be fixed when time permits.

Returns to July 31, 2024
Period	MAPF	TXPR* Total Return	CPD – according to Blackrock
One Month	+2.69%	+2.25%	N/A
Three Months	+4.81%	+5.23%	N/A
One Year	+30.89%	+21.70%	+20.91%
Two Years (annualized)	+12.28%	+6.15%	N/A
Three Years (annualized)	+3.90%	+1.62%	+1.08%
Four Years (annualized)	+14.79%	+7.96%	N/A
Five Years (annualized)	+10.18%	+5.76%	+5.16%
Six Years (annualized)	+4.92%	+3.10%	N/A
Seven Years (annualized)	+5.71%	+3.40%	N/A
Eight Years (annualized)	+8.25%	+5.00%	N/A
Nine Years (annualized)	+6.53%	+4.15%	N/A
Ten Years (annualized)	+4.67%	+2.47%	+1.97%
Eleven Years (annualized)	+5.09%	+2.68%
Twelve Years (annualized)	+4.83%	+2.49%
Thirteen Years (annualized)	+4.67%	+2.63%
Fourteen Years (annualized)	+5.43%	+3.17%
Fifteen Years (annualized)	+6.07%	+3.48%
Sixteen Years (annualized)	+8.68%	+3.63%
Seventeen Years (annualized)	+7.69%	+2.89%
Eighteen Years (annualized)	+7.57%
Nineteen Years (annualized)	+7.41%
Twenty Years (annualized)	+7.40%
Twenty-One Years (annualized)	+7.94%
Twenty-Two Years (annualized)	+8.18%
Twenty-Three Years (annualized)	+8.32%
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 +%, +% and +%, respectively, according to National Bank Investments after all fees & expenses. Three year performance is +%; five year is +%; ten year is +%. Figures from Morningstar are no longer conveniently available.
Manulife Preferred Income Class Adv has been terminated by Manulife. The performance of this fund was last reported here in March, 2018.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are +2.04%, +4.56% & +25.57%, respectively. Three year performance is +2.77%, five-year is +7.34%, ten year is +3.51%
Figures for NBI Preferred Equity Fund Series F [NBC710] (formerly Altamira Preferred Equity Fund) are +%, +% and +% for one-, three- and twelve months, respectively. Three year performance is +%; five-year is +%; ten-year is +% Acccording to the fund’s fact sheet as of June 30, 2016, the fund’s inception date was October 30, 2015. I do not know how they justify this nonsensical statement, but will assume that prior performance is being suppressed in some perfectly legal manner that somebody at National considers ethical. The last time Altamira Preferred Equity Fund’s performance was reported here was April, 2014; performance under the National Bank banner was first reported here May, 2014.
The figures for the NAV of BMO Laddered Preferred Share Index ETF (ZPR) is +23.36% for the past twelve months. Two year performance is +6.98%, three year is +2.51%, five year is +6.91%, ten year is +1.98% Note that analysis of ZPR shows some doubt as to whether this fund is either "laddered" or an "index fund". However, there was a remarkable improvement in the laddering in the six months following the publication of my analysis.
Figures for Fiera Canadian Preferred Share Class Cg Series F, (formerly Natixis Canadian Preferred Share Class Series F) (formerly NexGen Canadian Preferred Share Tax Managed Fund) are no longer available as the Fund is now the property of Canoe Financial. The last reported performance for the merged fund was May 2020.
Figures for BMO Preferred Share Fund (advisor series) according to BMO (Morningstar states there is “No Data Available) are +1.72%, +3.15% and +16.37% for the past one-, three- and twelve-months, respectively. Three year performance is -1.04%; five-year is +3.39%; ten-year is +0.38%.
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 +2.3%, +4.5% and +23.6% for the past one, three and twelve months, respectively. Three year performance is +2.5%, five-year is +6.4%.
Figures for the Desjardins Canadian Preferred Share Fund F Class (F Class), as reported by the company are +2.27%, +5.64% and +21.83% for the past one, three and twelve months, respectively. Two year performance is +6.78%, three-year is +1.67%, five-year is +5.73%
Figures for the RBC Canadian Preferred Share ETF (RPF) are reported by Morningstar as being “No Data Available and RBC figures only extend to 2024-6-30. Ain’t Canadian banks wonderful? I don’t feel as bad about my late reporting any more. as -%, +% and +% for the past one, three and twelve months, respectively. Three-year performance is +%, five-year is +%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are -%, +% and +% for the past one, three and twelve months, respectively. Three-year performance is +%; five-year is +%
Figures for the Purpose Canadian Preferred Share Fund (Class F) are +1.26%, +3.32% and +23.95% for the past one, three and twelve months, respectively. Three-year performance is +2.02%; four-year is +12.28%; five-year is +8.14%; seven-year is +3.50%; ten-year is +5.13%.

The five-year Canada yield increased, with the five-year Canada yield (“GOC-5”) moving from 3.41% at June month-end to 3.24% at July month-end (n.b. – these are the figures used by HIMIPref™, which may lag daily market changes).

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August 9, 2024

Friday, August 9th, 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	-0.4689 %	2,226.6
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.4689 %	4,270.7
Floater	10.04 %	10.28 %	86,253	9.27	2	-0.4689 %	2,461.2
OpRet	0.00 %	0.00 %	0	0.00	0	0.2864 %	3,545.4
SplitShare	4.69 %	6.07 %	30,067	1.17	4	0.2864 %	4,234.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2864 %	3,303.5
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	0.1245 %	2,820.2
Perpetual-Discount	6.10 %	6.22 %	59,228	13.59	31	0.1245 %	3,075.3
FixedReset Disc	5.48 %	7.04 %	135,784	12.44	62	0.1298 %	2,624.5
Insurance Straight	5.95 %	6.11 %	63,409	13.70	21	0.1702 %	3,045.0
FloatingReset	8.91 %	8.99 %	26,174	10.36	3	0.1062 %	2,727.6
FixedReset Prem	6.77 %	5.92 %	254,505	11.98	5	-0.1170 %	2,544.9
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	0.1298 %	2,682.8
FixedReset Ins Non	5.29 %	6.41 %	109,317	13.51	14	-0.4673 %	2,775.4

Performance Highlights
Issue	Index	Change	Notes
CU.PR.J	Perpetual-Discount	-6.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 6.66 %
MFC.PR.L	FixedReset Ins Non	-5.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 6.51 %
CU.PR.G	Perpetual-Discount	-2.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.27 %
PWF.PR.Z	Perpetual-Discount	-1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.37 %
SLF.PR.H	FixedReset Ins Non	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 19.23 Evaluated at bid price : 19.23 Bid-YTW : 6.42 %
MFC.PR.F	FixedReset Ins Non	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 6.57 %
BIP.PR.A	FixedReset Disc	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 7.73 %
TD.PF.I	FixedReset Prem	1.02 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2027-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.76 Bid-YTW : 5.36 %
FTS.PR.G	FixedReset Disc	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 21.41 Evaluated at bid price : 21.74 Bid-YTW : 6.37 %
GWO.PR.Y	Insurance Straight	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 6.07 %
ENB.PF.C	FixedReset Disc	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 8.01 %
POW.PR.A	Perpetual-Discount	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 22.68 Evaluated at bid price : 22.97 Bid-YTW : 6.16 %
FFH.PR.I	FixedReset Disc	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 18.22 Evaluated at bid price : 18.22 Bid-YTW : 7.80 %
MIC.PR.A	Perpetual-Discount	1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 6.81 %
GWO.PR.R	Insurance Straight	1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 19.88 Evaluated at bid price : 19.88 Bid-YTW : 6.13 %
CM.PR.Q	FixedReset Disc	1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 23.08 Evaluated at bid price : 23.65 Bid-YTW : 6.00 %
PWF.PR.L	Perpetual-Discount	1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 20.78 Evaluated at bid price : 20.78 Bid-YTW : 6.19 %
CU.PR.D	Perpetual-Discount	2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 6.10 %
BN.PF.D	Perpetual-Discount	7.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 19.61 Evaluated at bid price : 19.61 Bid-YTW : 6.35 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.E	FixedReset Prem	220,300	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 23.44 Evaluated at bid price : 25.71 Bid-YTW : 5.75 %
PWF.PR.L	Perpetual-Discount	137,400	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 20.78 Evaluated at bid price : 20.78 Bid-YTW : 6.19 %
BMO.PR.T	FixedReset Disc	111,800	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 23.97 Evaluated at bid price : 24.94 Bid-YTW : 5.26 %
ENB.PR.T	FixedReset Disc	89,405	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 20.21 Evaluated at bid price : 20.21 Bid-YTW : 7.36 %
NA.PR.E	FixedReset Disc	55,500	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 23.08 Evaluated at bid price : 24.48 Bid-YTW : 5.75 %
RY.PR.S	FixedReset Disc	32,100	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 23.25 Evaluated at bid price : 25.15 Bid-YTW : 5.43 %
There were 5 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.G	Insurance Straight	Quote: 21.69 – 23.64 Spot Rate : 1.9500 Average : 1.2190 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 21.43 Evaluated at bid price : 21.69 Bid-YTW : 6.07 %
CU.PR.J	Perpetual-Discount	Quote: 17.90 – 19.69 Spot Rate : 1.7900 Average : 1.1464 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 6.66 %
MFC.PR.L	FixedReset Ins Non	Quote: 21.05 – 22.57 Spot Rate : 1.5200 Average : 0.9600 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 6.51 %
IFC.PR.C	FixedReset Ins Non	Quote: 20.55 – 22.50 Spot Rate : 1.9500 Average : 1.6470 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 6.61 %
PWF.PR.Z	Perpetual-Discount	Quote: 20.40 – 21.30 Spot Rate : 0.9000 Average : 0.6733 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.37 %
CU.PR.G	Perpetual-Discount	Quote: 18.00 – 18.65 Spot Rate : 0.6500 Average : 0.4296 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-09 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.27 %

Posted in Market Action | No Comments »

August 8, 2024

Thursday, August 8th, 2024

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-0.1702 %	2,237.1
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.1702 %	4,290.8
Floater	10.00 %	10.19 %	87,404	9.34	2	-0.1702 %	2,472.8
OpRet	0.00 %	0.00 %	0	0.00	0	-0.4277 %	3,535.3
SplitShare	4.70 %	6.16 %	30,005	1.17	4	-0.4277 %	4,221.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.4277 %	3,294.1
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	-0.2667 %	2,816.7
Perpetual-Discount	6.11 %	6.22 %	61,028	13.59	31	-0.2667 %	3,071.4
FixedReset Disc	5.48 %	6.94 %	140,284	12.46	62	0.2959 %	2,621.1
Insurance Straight	5.96 %	6.11 %	64,134	13.67	21	0.2343 %	3,039.9
FloatingReset	8.94 %	9.05 %	25,818	10.31	3	-0.5281 %	2,724.7
FixedReset Prem	6.76 %	5.74 %	256,923	12.05	5	0.0234 %	2,547.8
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	0.2959 %	2,679.3
FixedReset Ins Non	5.27 %	6.25 %	112,609	13.51	14	0.1838 %	2,788.4

Performance Highlights
Issue	Index	Change	Notes
BN.PF.D	Perpetual-Discount	-5.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 6.82 %
PWF.PR.L	Perpetual-Discount	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.31 %
FFH.PR.D	FloatingReset	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 9.05 %
BN.PR.X	FixedReset Disc	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 7.71 %
MFC.PR.J	FixedReset Ins Non	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 22.92 Evaluated at bid price : 24.05 Bid-YTW : 6.01 %
PVS.PR.J	SplitShare	-1.24 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 6.13 %
GWO.PR.R	Insurance Straight	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 6.22 %
FFH.PR.E	FixedReset Disc	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 7.59 %
CU.PR.D	Perpetual-Discount	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 19.69 Evaluated at bid price : 19.69 Bid-YTW : 6.24 %
CU.PR.G	Perpetual-Discount	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 6.08 %
IFC.PR.A	FixedReset Ins Non	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 6.55 %
BN.PF.G	FixedReset Disc	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 18.64 Evaluated at bid price : 18.64 Bid-YTW : 7.69 %
BN.PF.H	FixedReset Disc	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 23.30 Evaluated at bid price : 23.75 Bid-YTW : 7.39 %
IFC.PR.G	FixedReset Ins Non	1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 22.35 Evaluated at bid price : 23.00 Bid-YTW : 6.22 %
CU.PR.E	Perpetual-Discount	1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 6.11 %
IFC.PR.C	FixedReset Ins Non	2.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.58 %
PWF.PR.S	Perpetual-Discount	2.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 20.06 Evaluated at bid price : 20.06 Bid-YTW : 6.04 %
PWF.PR.P	FixedReset Disc	3.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 14.55 Evaluated at bid price : 14.55 Bid-YTW : 7.46 %
IFC.PR.F	Insurance Straight	3.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 22.00 Evaluated at bid price : 22.00 Bid-YTW : 6.11 %
FFH.PR.K	FixedReset Disc	8.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 21.23 Evaluated at bid price : 21.23 Bid-YTW : 7.44 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.H	FixedReset Disc	2,601,101	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 23.97 Evaluated at bid price : 24.94 Bid-YTW : 5.24 %
BMO.PR.T	FixedReset Disc	829,262	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 23.98 Evaluated at bid price : 24.94 Bid-YTW : 5.22 %
FFH.PR.C	FixedReset Disc	109,600	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 20.87 Evaluated at bid price : 20.87 Bid-YTW : 7.43 %
NA.PR.W	FixedReset Disc	54,748	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 21.69 Evaluated at bid price : 22.10 Bid-YTW : 5.90 %
PWF.PR.L	Perpetual-Discount	50,804	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.31 %
ENB.PR.D	FixedReset Disc	48,643	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 18.06 Evaluated at bid price : 18.06 Bid-YTW : 7.64 %
There were 17 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IFC.PR.E	Insurance Straight	Quote: 21.75 – 23.64 Spot Rate : 1.8900 Average : 1.1044 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 21.75 Evaluated at bid price : 21.75 Bid-YTW : 6.07 %
GWO.PR.R	Insurance Straight	Quote: 19.60 – 21.50 Spot Rate : 1.9000 Average : 1.1784 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 6.22 %
IFC.PR.C	FixedReset Ins Non	Quote: 20.50 – 22.50 Spot Rate : 2.0000 Average : 1.3148 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.58 %
BN.PF.D	Perpetual-Discount	Quote: 18.25 – 19.94 Spot Rate : 1.6900 Average : 1.1900 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 6.82 %
CU.PR.C	FixedReset Disc	Quote: 19.39 – 21.00 Spot Rate : 1.6100 Average : 1.1408 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 19.39 Evaluated at bid price : 19.39 Bid-YTW : 6.93 %
ENB.PF.A	FixedReset Disc	Quote: 18.54 – 19.50 Spot Rate : 0.9600 Average : 0.6328 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-08 Maturity Price : 18.54 Evaluated at bid price : 18.54 Bid-YTW : 7.74 %

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August 7, 2024

Wednesday, August 7th, 2024

PerpetualDiscounts now yield 6.22%, equivalent to 8.09% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.91% on 2024-7-31 and since then the closing price of ZLC has changed from 15.24 to 15.21, a decrease of 20bp in price, implying an increase of yields of 2bp (BMO reports a duration of 12.43, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.93%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 315bp from the 325bp reported July 31.

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	1.3805 %	2,240.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.3805 %	4,298.1
Floater	9.98 %	10.14 %	88,685	9.38	2	1.3805 %	2,477.0
OpRet	0.00 %	0.00 %	0	0.00	0	0.4604 %	3,550.5
SplitShare	4.68 %	5.97 %	30,261	1.18	4	0.4604 %	4,240.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.4604 %	3,308.3
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	0.1166 %	2,824.2
Perpetual-Discount	6.09 %	6.22 %	59,431	13.55	31	0.1166 %	3,079.6
FixedReset Disc	5.50 %	7.01 %	139,555	12.43	62	0.3115 %	2,613.4
Insurance Straight	5.97 %	6.12 %	65,015	13.67	21	0.2280 %	3,032.8
FloatingReset	8.89 %	8.91 %	26,745	10.43	3	-0.0704 %	2,739.2
FixedReset Prem	6.77 %	5.73 %	259,513	12.00	5	0.7074 %	2,547.2
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	0.3115 %	2,671.4
FixedReset Ins Non	5.28 %	6.29 %	106,855	13.47	14	0.2016 %	2,783.3

Performance Highlights
Issue	Index	Change	Notes
FFH.PR.K	FixedReset Disc	-7.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 8.03 %
CM.PR.Q	FixedReset Disc	-2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 22.71 Evaluated at bid price : 23.25 Bid-YTW : 6.06 %
BN.PF.H	FixedReset Disc	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 22.90 Evaluated at bid price : 23.35 Bid-YTW : 7.52 %
CU.PR.D	Perpetual-Discount	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 6.19 %
FFH.PR.I	FixedReset Disc	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 7.84 %
CM.PR.P	FixedReset Disc	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 23.08 Evaluated at bid price : 23.86 Bid-YTW : 5.45 %
TD.PF.C	FixedReset Disc	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 22.97 Evaluated at bid price : 23.75 Bid-YTW : 5.48 %
ENB.PF.A	FixedReset Disc	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 18.59 Evaluated at bid price : 18.59 Bid-YTW : 7.71 %
SLF.PR.G	FixedReset Ins Non	1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 6.56 %
BN.PR.Z	FixedReset Disc	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 20.83 Evaluated at bid price : 20.83 Bid-YTW : 7.32 %
FTS.PR.G	FixedReset Disc	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 21.36 Evaluated at bid price : 21.67 Bid-YTW : 6.35 %
MFC.PR.K	FixedReset Ins Non	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 22.82 Evaluated at bid price : 23.94 Bid-YTW : 5.80 %
BN.PF.E	FixedReset Disc	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 7.99 %
BMO.PR.E	FixedReset Prem	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 23.43 Evaluated at bid price : 25.70 Bid-YTW : 5.72 %
ENB.PR.F	FixedReset Disc	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 18.31 Evaluated at bid price : 18.31 Bid-YTW : 7.72 %
PVS.PR.J	SplitShare	1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 5.73 %
FTS.PR.H	FixedReset Disc	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 14.88 Evaluated at bid price : 14.88 Bid-YTW : 7.30 %
FTS.PR.K	FixedReset Disc	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 19.83 Evaluated at bid price : 19.83 Bid-YTW : 6.68 %
ENB.PF.K	FixedReset Disc	1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 22.49 Evaluated at bid price : 23.20 Bid-YTW : 6.78 %
BN.PF.A	FixedReset Disc	1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 22.21 Evaluated at bid price : 22.79 Bid-YTW : 6.82 %
CU.PR.I	FixedReset Disc	1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 23.52 Evaluated at bid price : 23.97 Bid-YTW : 6.86 %
GWO.PR.I	Insurance Straight	2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 5.98 %
BN.PF.F	FixedReset Disc	2.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 7.46 %
BN.PR.B	Floater	2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 11.83 Evaluated at bid price : 11.83 Bid-YTW : 10.14 %
BN.PF.G	FixedReset Disc	16.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 7.79 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.H	FixedReset Disc	334,592	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 23.96 Evaluated at bid price : 24.93 Bid-YTW : 5.24 %
BMO.PR.T	FixedReset Disc	307,266	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 23.97 Evaluated at bid price : 24.93 Bid-YTW : 5.22 %
ENB.PF.K	FixedReset Disc	110,300	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 22.49 Evaluated at bid price : 23.20 Bid-YTW : 6.78 %
PWF.PR.L	Perpetual-Discount	109,276	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 6.21 %
PWF.PR.T	FixedReset Disc	106,900	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 21.65 Evaluated at bid price : 21.99 Bid-YTW : 6.22 %
GWO.PR.L	Insurance Straight	86,700	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 22.82 Evaluated at bid price : 23.10 Bid-YTW : 6.19 %
There were 20 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
FFH.PR.K	FixedReset Disc	Quote: 19.65 – 21.10 Spot Rate : 1.4500 Average : 0.8316 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 8.03 %
CM.PR.Q	FixedReset Disc	Quote: 23.25 – 24.25 Spot Rate : 1.0000 Average : 0.6263 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 22.71 Evaluated at bid price : 23.25 Bid-YTW : 6.06 %
MFC.PR.N	FixedReset Ins Non	Quote: 21.35 – 22.96 Spot Rate : 1.6100 Average : 1.2386 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 6.21 %
MFC.PR.F	FixedReset Ins Non	Quote: 16.35 – 17.43 Spot Rate : 1.0800 Average : 0.7148 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 6.42 %
IFC.PR.F	Insurance Straight	Quote: 21.25 – 22.99 Spot Rate : 1.7400 Average : 1.3928 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.33 %
CU.PR.I	FixedReset Disc	Quote: 23.97 – 24.95 Spot Rate : 0.9800 Average : 0.6692 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-07 Maturity Price : 23.52 Evaluated at bid price : 23.97 Bid-YTW : 6.86 %

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August 6, 2024

Tuesday, August 6th, 2024

TXPR closed at 604.21, down 0.63% on the day. Volume today was 1.25-million, lowest of the past 21 trading days.

CPD closed at 12.00, down 0.66% on the day. Volume was 70,520, near the median of the past 21 trading days.

ZPR closed at 10.19, down 0.78% on the day. Volume was 203,170, third-highest of the past 21 trading days.

Five-year Canada yields were up to 3.02%.

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	-0.0431 %	2,210.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.0431 %	4,239.6
Floater	10.12 %	10.28 %	28,899	9.28	2	-0.0431 %	2,443.3
OpRet	0.00 %	0.00 %	0	0.00	0	0.3903 %	3,534.2
SplitShare	4.71 %	6.32 %	30,014	1.18	4	0.3903 %	4,220.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.3903 %	3,293.1
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	-0.3258 %	2,820.9
Perpetual-Discount	6.10 %	6.23 %	61,812	13.54	31	-0.3258 %	3,076.1
FixedReset Disc	5.52 %	7.04 %	140,897	12.41	62	-0.8819 %	2,605.3
Insurance Straight	5.98 %	6.15 %	65,836	13.66	21	-0.2684 %	3,025.9
FloatingReset	8.88 %	8.95 %	27,780	10.40	3	0.5305 %	2,741.1
FixedReset Prem	6.81 %	5.94 %	260,519	11.99	5	-0.4382 %	2,529.3
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-0.8819 %	2,663.1
FixedReset Ins Non	5.29 %	6.27 %	106,084	13.52	14	0.5486 %	2,777.7

Performance Highlights
Issue	Index	Change	Notes
BN.PF.G	FixedReset Disc	-14.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 9.05 %
PWF.PR.P	FixedReset Disc	-5.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 14.08 Evaluated at bid price : 14.08 Bid-YTW : 7.70 %
FFH.PR.I	FixedReset Disc	-4.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 17.82 Evaluated at bid price : 17.82 Bid-YTW : 7.92 %
FFH.PR.C	FixedReset Disc	-3.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 20.88 Evaluated at bid price : 20.88 Bid-YTW : 7.42 %
MFC.PR.F	FixedReset Ins Non	-2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 6.42 %
IFC.PR.C	FixedReset Ins Non	-2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.74 %
IFC.PR.F	Insurance Straight	-2.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.33 %
FFH.PR.G	FixedReset Disc	-2.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 7.82 %
CCS.PR.C	Insurance Straight	-2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 19.96 Evaluated at bid price : 19.96 Bid-YTW : 6.36 %
CU.PR.E	Perpetual-Discount	-2.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.24 %
BN.PF.J	FixedReset Disc	-2.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 22.24 Evaluated at bid price : 22.75 Bid-YTW : 6.82 %
BN.PR.Z	FixedReset Disc	-2.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 7.40 %
ENB.PR.F	FixedReset Disc	-2.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 7.81 %
FFH.PR.E	FixedReset Disc	-2.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 7.50 %
FFH.PR.K	FixedReset Disc	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 7.42 %
FFH.PR.D	FloatingReset	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 8.95 %
SLF.PR.G	FixedReset Ins Non	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 16.18 Evaluated at bid price : 16.18 Bid-YTW : 6.62 %
FFH.PR.M	FixedReset Disc	-1.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 23.33 Evaluated at bid price : 24.01 Bid-YTW : 7.24 %
TD.PF.C	FixedReset Disc	-1.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 22.76 Evaluated at bid price : 23.51 Bid-YTW : 5.53 %
MIC.PR.A	Perpetual-Discount	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 6.91 %
BN.PR.T	FixedReset Disc	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 7.91 %
IFC.PR.K	Insurance Straight	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 21.42 Evaluated at bid price : 21.75 Bid-YTW : 6.11 %
CU.PR.D	Perpetual-Discount	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.25 %
FTS.PR.J	Perpetual-Discount	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 6.08 %
BN.PF.I	FixedReset Disc	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 22.37 Evaluated at bid price : 22.83 Bid-YTW : 7.28 %
TD.PF.A	FixedReset Disc	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 23.01 Evaluated at bid price : 24.00 Bid-YTW : 5.42 %
SLF.PR.J	FloatingReset	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 8.63 %
MFC.PR.L	FixedReset Ins Non	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 21.71 Evaluated at bid price : 22.10 Bid-YTW : 6.02 %
CM.PR.P	FixedReset Disc	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 22.86 Evaluated at bid price : 23.62 Bid-YTW : 5.50 %
MFC.PR.K	FixedReset Ins Non	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 22.69 Evaluated at bid price : 23.68 Bid-YTW : 5.87 %
FTS.PR.K	FixedReset Disc	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 19.54 Evaluated at bid price : 19.54 Bid-YTW : 6.78 %
FTS.PR.H	FixedReset Disc	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 14.69 Evaluated at bid price : 14.69 Bid-YTW : 7.40 %
RY.PR.O	Perpetual-Discount	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 23.33 Evaluated at bid price : 23.60 Bid-YTW : 5.19 %
GWO.PR.Y	Insurance Straight	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 6.14 %
GWO.PR.R	Insurance Straight	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 6.15 %
BN.PR.X	FixedReset Disc	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 15.98 Evaluated at bid price : 15.98 Bid-YTW : 7.57 %
MFC.PR.Q	FixedReset Ins Non	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 22.74 Evaluated at bid price : 23.73 Bid-YTW : 6.00 %
FTS.PR.M	FixedReset Disc	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 19.48 Evaluated at bid price : 19.48 Bid-YTW : 7.12 %
IFC.PR.G	FixedReset Ins Non	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 22.20 Evaluated at bid price : 22.75 Bid-YTW : 6.30 %
TD.PF.D	FixedReset Disc	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 23.14 Evaluated at bid price : 23.70 Bid-YTW : 5.94 %
RY.PR.N	Perpetual-Discount	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 23.54 Evaluated at bid price : 23.80 Bid-YTW : 5.15 %
BMO.PR.W	FixedReset Disc	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 23.41 Evaluated at bid price : 24.31 Bid-YTW : 5.31 %
MFC.PR.C	Insurance Straight	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 5.75 %
IFC.PR.I	Insurance Straight	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 22.25 Evaluated at bid price : 22.55 Bid-YTW : 6.06 %
BN.PR.M	Perpetual-Discount	1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 6.23 %
PVS.PR.K	SplitShare	1.26 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 24.05 Bid-YTW : 5.57 %
PWF.PR.G	Perpetual-Discount	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 23.48 Evaluated at bid price : 23.75 Bid-YTW : 6.25 %
SLF.PR.C	Insurance Straight	1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.58 %
GWO.PR.G	Insurance Straight	3.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 6.18 %
ENB.PF.G	FixedReset Disc	4.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 8.05 %
FFH.PR.H	FloatingReset	5.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 9.61 %
ENB.PF.E	FixedReset Disc	7.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 8.07 %
MFC.PR.M	FixedReset Ins Non	27.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.35 %

Volume Highlights
Issue	Index	Shares Traded	Notes
ENB.PR.H	FixedReset Disc	89,500	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 19.53 Evaluated at bid price : 19.53 Bid-YTW : 7.09 %
RY.PR.H	FixedReset Disc	46,700	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 23.97 Evaluated at bid price : 24.93 Bid-YTW : 5.24 %
NA.PR.S	FixedReset Disc	38,500	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 22.95 Evaluated at bid price : 24.38 Bid-YTW : 5.73 %
TD.PF.J	FixedReset Disc	35,000	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 23.19 Evaluated at bid price : 24.76 Bid-YTW : 5.73 %
FFH.PR.C	FixedReset Disc	34,800	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 20.88 Evaluated at bid price : 20.88 Bid-YTW : 7.42 %
POW.PR.G	Perpetual-Discount	29,700	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 22.33 Evaluated at bid price : 22.60 Bid-YTW : 6.26 %
There were 19 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 : 1.9951 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 9.05 %
FFH.PR.D	FloatingReset	Quote: 21.40 – 22.95 Spot Rate : 1.5500 Average : 0.9734 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 8.95 %
BN.PR.R	FixedReset Disc	Quote: 16.01 – 17.20 Spot Rate : 1.1900 Average : 0.8332 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 7.91 %
BIP.PR.A	FixedReset Disc	Quote: 21.35 – 22.50 Spot Rate : 1.1500 Average : 0.7936 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 7.57 %
IFC.PR.F	Insurance Straight	Quote: 21.25 – 22.61 Spot Rate : 1.3600 Average : 1.0121 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.33 %
PWF.PR.P	FixedReset Disc	Quote: 14.08 – 15.04 Spot Rate : 0.9600 Average : 0.6333 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-06 Maturity Price : 14.08 Evaluated at bid price : 14.08 Bid-YTW : 7.70 %

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MAPF Portfolio Composition: July, 2024

Sunday, August 4th, 2024

Turnover remained high at 15% in July, but most of this was not due to ‘normal’ optimization due to relative price movements, but to a large migration into Enbridge issues, which was upgraded to Pfd-2(low) by DBRS at the end of June.

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

MAPF Sectoral Analysis 2024-7-31
HIMI Indices Sector	Weighting	YTW	ModDur
Ratchet	0%	N/A	N/A
FixFloat	0%	N/A	N/A
Floater	0%	N/A	N/A
OpRet	0%	N/A	N/A
SplitShare	0%	N/A	N/A
Interest Rearing	0%	N/A	N/A
PerpetualPremium	0%	N/A	N/A
PerpetualDiscount	9.9%	6.53%	13.15
Fixed-Reset Discount	50.4%	7.41%	12.29
Insurance – Straight	16.4%	6.02%	13.85
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	7.9%	6.87%	13.25
Scraps – Ratchet	1.2%	10.61%	9.66
Scraps – FixedFloater	0%	N/A	N/A
Scraps – Floater	0%	N/A	N/A
Scraps – OpRet	0%	N/A	N/A
Scraps – SplitShare	3.0%	6.22%	2.72
Scraps – PerpPrem	0%	N/A	N/A
Scraps – PerpDisc	0%	N/A	N/A
Scraps – FR Discount	11.3%	8.52%	11.11
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%	7.19%	12.27
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 3.24%, a constant 3-Month Bill rate of 4.52% and a constant Canada Prime Rate of 6.70%

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 2024-07-31
DBRS Rating	MAPF Weighting
Pfd-1	0
Pfd-1(low)	0
Pfd-2(high)	34.2%
Pfd-2	22.5%
Pfd-2(low)	29.8%
Pfd-3(high)	8.4%
Pfd-3	2.2%
Pfd-3(low)	2.9%
Pfd-4(high)	0.3%
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 2024-07-31
Average Daily Trading	MAPF Weighting
<$50,000	4.3%
$50,000 – $100,000	35.0%
$100,000 – $200,000	23.8%
$200,000 – $300,000	16.6%
>$300,000	20.4%
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	1.7%
150-199bp	1.0%
200-249bp	43.9%
250-299bp	22.1%
300-349bp	0.3%
350-399bp	1.5%
400-449bp	0%
450-499bp	0%
500-549bp	0%
550-599bp	0%
>= 600bp	0%
Undefined	29.4%

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	18.9%
1-2 Years	15.7%
2-3 Years	21.6%
3-4 Years	7.6%
4-5 Years	5.8%
5-6 Years	0%
>6 Years	0%
Not Floating Rate	28.2%

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.

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ENB.PR.Y To Reset To 5.288%

Friday, August 2nd, 2024

Enbridge Inc. has announced:

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Redeemable Preference Shares, Series 3 (Series 3 Shares) (TSX: ENB.PR.Y) on September 1, 2024. As a result, subject to certain conditions, the holders of the Series 3 Shares have the right to convert all or part of their Series 3 Shares on a one-for-one basis into Cumulative Redeemable Preference Shares, Series 4 of Enbridge (Series 4 Shares) on September 1, 2024. Holders who do not exercise their right to convert their Series 3 Shares into Series 4 Shares will retain their Series 3 Shares.

The foregoing conversion right is subject to the conditions that: (i) if Enbridge determines that there would be less than 1,000,000 Series 3 Shares outstanding after September 1, 2024, then all remaining Series 3 Shares will automatically be converted into Series 4 Shares on a one-for-one basis on September 1, 2024; and (ii) alternatively, if Enbridge determines that there would be less than 1,000,000 Series 4 Shares outstanding after September 1, 2024, no Series 3 Shares will be converted into Series 4 Shares. There are currently 24,000,000 Series 3 Shares outstanding.

With respect to any Series 3 Shares that remain outstanding after September 1, 2024, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The new annual dividend rate applicable to the Series 3 Shares for the five-year period commencing on September 1, 2024 to, but excluding, September 1, 2029 will be 5.288% percent, being equal to the five-year Government of Canada bond yield of 2.908 percent determined as of today plus 2.38 percent in accordance with the terms of the Series 3 Shares.

With respect to any Series 4 Shares that may be issued on September 1, 2024, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The dividend rate applicable to the Series 4 Shares for the three-month floating rate period commencing on September 1, 2024 to, but excluding, December 1, 2024 will be 1.68822 percent, based on the annual rate on three month Government of Canada treasury bills for the most recent treasury bills auction of 4.41 percent plus 2.38 percent in accordance with the terms of the Series 4 Shares (the Floating Quarterly Dividend Rate). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series 3 Shares who wish to exercise their right of conversion during the conversion period, which runs from August 2, 2024 until 5:00 p.m. (EST) on August 19, 2024, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary time to complete the necessary steps. Any notices received after this deadline will not be valid.

ENB.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. ENB.PR.Y is tracked by HIMIPref™ and has been assigned to the FixedReset (Discount) subindex following the DBRS upgrade.

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PrefBlog

Archive for August, 2024

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August PrefLetter Released!

MAPF Performance: July, 2024

August 9, 2024

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MAPF Portfolio Composition: July, 2024

ENB.PR.Y To Reset To 5.288%

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