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Archive for October, 2024

MAPF Performance: September, 2024

Sunday, October 6th, 2024

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

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

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

Returns to September 30, 2024
Period	MAPF	TXPR* Total Return	CPD – according to Blackrock
One Month	+0.57%	+0.48%	N/A
Three Months	+6.77%	+5.52%	N/A
One Year	+37.26%	+29.26%	+%
Two Years (annualized)	+17.23%	+11.12%	N/A
Three Years (annualized)	+3.88%	+2.03%	+%
Four Years (annualized)	+14.64%	+7.57%	N/A
Five Years (annualized)	+11.69%	+6.59%	+%
Six Years (annualized)	+5.53%	+3.56%	N/A
Seven Years (annualized)	+6.19%	+3.78%	N/A
Eight Years (annualized)	+8.42%	+5.28%	N/A
Nine Years (annualized)	+8.48%	+5.64%	N/A
Ten Years (annualized)	+5.06%	+2.79%	+%
Eleven Years (annualized)	+5.47%	+3.03%
Twelve Years (annualized)	+4.90%	+2.69%
Thirteen Years (annualized)	+5.47%	+2.98%
Fourteen Years (annualized)	+5.28%	+3.14%
Fifteen Years (annualized)	+5.93%	+3.52%
Sixteen Years (annualized)	+8.78%	+3.86%
Seventeen Years (annualized)	+8.00%	+3.12%
Eighteen Years (annualized)	+7.61%
Nineteen Years (annualized)	+7.52%
Twenty Years (annualized)	+7.50%
Twenty-One Years (annualized)	+7.87%
Twenty-Two Years (annualized)	+8.86%
Twenty-Three Years (annualized)	+8.22%
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The BMO Capital Markets “50” Preferred Share Index is no longer being calculated. The final performance report incorporating this venerable index was published as of December, 2020.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
All fund and ETF returns shown below are after all fees and expenses
Figures for NBI Preferred Equity Income Fund, Series F [NBC780] (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are +%, +% 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 +%, +% & +%, respectively. Three year performance is +%, five-year is +%, ten year is +%
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 +% for the past twelve months. Two year performance is +%, three year is +%, five year is +8.46%, ten year is +% Note that analysis of ZPR shows some doubt as to whether this fund is either "laddered" or an "index fund". However, there was a remarkable improvement in the laddering in the six months following the publication of my analysis.
Figures for Fiera Canadian Preferred Share Class Cg Series F, (formerly Natixis Canadian Preferred Share Class Series F) (formerly NexGen Canadian Preferred Share Tax Managed Fund) are no longer available as the Fund is now the property of Canoe Financial. The last reported performance for the merged fund was May 2020.
Figures for BMO Preferred Share Fund (advisor series) are not available as the fund has been terminated. This is as per an announcement by the bank on 2024-5-28. The last performance report for this awful fund was as of July 31, 2024.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are no longer available since the fund has been terminated. Performance was last reported for the fund to month-end, March 2023
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR). Performance for the fund was last reported here in September, 2016; the first report of unavailability was in October, 2016.
Figures for Lysander-Slater Preferred Share Dividend Fund (Class F) according to the company are +%, +% and +% for the past one, three and twelve months, respectively. Three year performance is +%, five-year is +%.
Figures for the Desjardins Canadian Preferred Share Fund F Class (F Class), as reported by the company are +%, +% and +% for the past one, three and twelve months, respectively. Two year performance is +%, three-year is +%, five-year is +%
Figures for the RBC Canadian Preferred Share ETF (RPF) are reported as +%, +% and +% for the past one, three and twelve months, respectively. Three-year performance is +%, five-year is +%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are +%, +% and +% for the past one, three and twelve months, respectively. Three-year performance is +%; five-year is +%
Figures for the Purpose Canadian Preferred Share Fund (Class F) are +%, +% and +% for the past one, three and twelve months, respectively. Three-year performance is +%; four-year is +%; five-year is +%; seven-year is +%; ten-year is +%.
Figures for the TD Active Preferred Share ETF (TPRF) are +%, +% and +% for the past one, three and twelve months, respectively. Two-year performance is %, three-year is +%; five-year is +%. Note that “The TD ETF may also hold common shares, government and corporate bonds, and other income-producing securities. … The TD ETF may invest in foreign securities to an extent that will vary from time to time but is not typically expected to exceed 5% of its assets at the time that foreign securities are purchased. The non-preferred share components of the portfolio are relatively minor – as of their year-end 2023 report, they had $1.6-million in Canadian Natural Resources Limited common, $1.8-million in RBC common, $1.6-million in SLF common, and $1.75-million in Fortis common, totalling $6.75-million in a $220-million portfolio. I take the view that the purpose of this mandate is to destroy, or at least deprecate, comparability. Banks hate comparability.

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

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

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

Calculation of MAPF Sustainable Income Per Unit
Month	NAVPU	Portfolio Average YTW	Leverage Divisor	Securities Average YTW	Capital Gains Multiplier	Sustainable Income per current Unit
June, 2007	9.3114	5.16%	1.03	5.01%	1.3240	0.3524
September	9.1489	5.35%	0.98	5.46%	1.3240	0.3773
December, 2007	9.0070	5.53%	0.942	5.87%	1.3240	0.3993
March, 2008	8.8512	6.17%	1.047	5.89%	1.3240	0.3938
June	8.3419	6.034%	0.952	6.338%	1.3240	$0.3993
September	8.1886	7.108%	0.969	7.335%	1.3240	$0.4537
December, 2008	8.0464	9.24%	1.008	9.166%	1.3240	$0.5571
March 2009	$8.8317	8.60%	0.995	8.802%	1.3240	$0.5872
June	10.9846	7.05%	0.999	7.057%	1.3240	$0.5855
September	12.3462	6.03%	0.998	6.042%	1.3240	$0.5634
December 2009	10.5662	5.74%	0.981	5.851%	1.1141	$0.5549
March 2010	10.2497	6.03%	0.992	6.079%	1.1141	$0.5593
June	10.5770	5.96%	0.996	5.984%	1.1141	$0.5681
September	11.3901	5.43%	0.980	5.540%	1.1141	$0.5664
December 2010	10.7659	5.37%	0.993	5.408%	1.0298	$0.5654
March, 2011	11.0560	6.00%	0.994	5.964%	1.0298	$0.6403
June	11.1194	5.87%	1.018	5.976%	1.0298	$0.6453
September	10.2709	6.10% Note	1.001	6.106%	1.0298	$0.6090
December, 2011	10.0793	5.63% Note	1.031	5.805%	1.0000	$0.5851
March, 2012	10.3944	5.13% Note	0.996	5.109%	1.0000	$0.5310
June	10.2151	5.32% Note	1.012	5.384%	1.0000	$0.5500
September	10.6703	4.61% Note	0.997	4.624%	1.0000	$0.4934
December, 2012	10.8307	4.24%	0.989	4.287%	1.0000	$0.4643
March, 2013	10.9033	3.87%	0.996	3.886%	1.0000	$0.4237
June	10.3261	4.81%	0.998	4.80%	1.0000	$0.4957
September	10.0296	5.62%	0.996	5.643%	1.0000	$0.5660
December, 2013	9.8717	6.02%	1.008	5.972%	1.0000	$0.5895
March, 2014	10.2233	5.55%	0.998	5.561%	1.0000	$0.5685
June	10.5877	5.09%	0.998	5.100%	1.0000	$0.5395
September	10.4601	5.28%	0.997	5.296%	1.0000	$0.5540
December, 2014	10.5701	4.83%	1.009	4.787%	1.0000	$0.5060
March, 2015	9.9573	4.99%	1.001	4.985%	1.0000	$0.4964
June, 2015	9.4181	5.55%	1.002	5.539%	1.0000	$0.5217
September	7.8140	6.98%	0.999	6.987%	1.0000	$0.5460
December, 2015	8.1379	6.85%	0.997	6.871%	1.0000	$0.5592
March, 2016	7.4416	7.79%	0.998	7.805%	1.0000	$0.5808
June	7.6704	7.67%	1.011	7.587%	1.0000	$0.5819
September	8.0590	7.35%	0.993	7.402%	1.0000	$0.5965
December, 2016	8.5844	7.24%	0.990	7.313%	1.0000	$0.6278
March, 2017	9.3984	6.26%	0.994	6.298%	1.0000	$0.5919
June	9.5313	6.41%	0.998	6.423%	1.0000	$0.6122
September	9.7129	6.56%	0.998	6.573%	1.0000	$0.6384
December, 2017	10.0566	6.06%	1.004	6.036%	1.0000	$0.6070
March, 2018	10.2701	6.22%	1.007	6.177%	1.0000	$0.6344
June	10.2518	6.22%	0.995	6.251%	1.0000	$0.6408
September	10.2965	6.62%	1.018	6.503%	1.0000	$0.6696
December, 2018	8.6875	7.16%	0.997	7.182%	1.0000	$0.6240
March, 2019	8.4778	7.09%	1.007	7.041%	1.0000	$0.5969
June	8.0896	7.33%	0.996	7.359%	1.0000	$0.5953
September	7.7948	7.96%	0.998	7.976%	1.0000	$0.6217
December, 2019	8.0900	6.03%	0.995	6.060%	1.0000	$0.4903
March	5.5596	7.04%	1.006	6.998%	1.0000	$0.3891
June	6.3568	6.10%	0.9900	6.162%	1.0000	$0.3917
September	7.2852	5.32%	1.00	5.320%	1.0000	$0.3876
December, 2020	8.3947	4.46%	0.999	4.464%	1.0000	$0.3747
March, 2021	9.6473	4.48%	0.996	4.498%	1.0000	$0.4339
June	10.3712	3.92%	0.985	3.980%	1.0000	$0.4127
September	10.7572	4.08%	1.017	4.012%	1.0000	$0.4316
December, 2021	10.7432	4.31%	0.999	4.314%	1.0000	$0.4635
March, 2022	10.5040	5.53%	1.004	5.508%	1.0000	$0.5786
June	9.3115	7.04%	0.993	7.090%	1.0000	$0.6672
September	8.4093	8.10%	0.997	8.124%	1.0000	$0.6916
December, 2022	7.9921	8.47%	0.996	8.504%	1.0000	$0.6796
March, 2023	8.0788	7.90%	0.997	7.924%	1.0000	$0.6401
June 30	8.0197	9.19%	1.003	9.163%	1.0000	$0.7348
September 29	7.9922	9.86%	0.997	9.890%	1.0000	$0.7904
Decenber 29, 2023	8.4715	8.14%	1.002	8.124%	1.0000	$0.6882
March 28,2024	9.5892	7.60%	1.006	7.555%	1.0000	$0.7244
June 28, 2024	9.8516	7.32%	0.999	7.327%	1.0000	$0.7219
September 30,2024	10.3641	6.55%	0.990	6.616%	1.0000	$0.6857
NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains. Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00% The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99 Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings. The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested. Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or the Deemed Maturity date for insurers and insurance holding companies (see below)), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis. The same reasoning is also applied to FixedResets from these issuers, other than explicitly defined NVCC from banks. In November, 2019, the assumption of DeemedRetraction for insurance issues was cancelled in the wake of the IAIS decision included in ICS 2.0. This resulted in a large drop in the yield calculated for these issues
The Deemed Maturity date for insurers was set at 2022-1-31 at the commencement of the process in February, 2011. It was extended to 2025-1-31 in April, 2013 and to 2030-1-31 in December, 2018. In November, 2019, the assumption of DeemedRetraction was cancelled in the wake of the IAIS decision included in ICS 2.0.
Yields for September, 2011, to January, 2012, were calculated by imposing a cap of 10% on the yields of YLO issues held, in order to avoid their extremely high calculated yields distorting the calculation and to reflect the uncertainty in the marketplace that these yields will be realized. From February to September 2012, yields on these issues have been set to zero. All YLO issues held were sold in October 2012.

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

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

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MAPF Portfolio Composition: September 2024

Sunday, October 6th, 2024

Turnover remained low at 6% in September.

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

MAPF Sectoral Analysis 2024-9-30
HIMI Indices Sector	Weighting	YTW	ModDur
Ratchet	0%	N/A	N/A
FixFloat	0%	N/A	N/A
Floater	0%	N/A	N/A
OpRet	0%	N/A	N/A
SplitShare	0%	N/A	N/A
Interest Rearing	0%	N/A	N/A
PerpetualPremium	0%	N/A	N/A
PerpetualDiscount	5.8%	6.31%	13.51
Fixed-Reset Discount	54.0%	6.73%	13.05
Insurance – Straight	17.7%	5.64%	14.46
FloatingReset	0%	N/A	N/A
FixedReset Premium	0%	N/A	N/A
FixedReset Bank non-NVCC	0%	N/A	N/A
FixedReset Insurance non-NVCC	8.2%	6.19%	14.08
Scraps – Ratchet	1.2%	10.64%	9.69
Scraps – FixedFloater	0%	N/A	N/A
Scraps – Floater	0%	N/A	N/A
Scraps – OpRet	0%	N/A	N/A
Scraps – SplitShare	2.3%	7.00%	3.92
Scraps – PerpPrem	0%	N/A	N/A
Scraps – PerpDisc	0%	N/A	N/A
Scraps – FR Discount	9.9%	7.65%	11.96
Scraps – Insurance Straight	0%	N/A	N/A
Scraps – FloatingReset	0%	N/A	N/A
Scraps – FR Premium	0%	N/A	N/A
Scraps – Bank non-NVCC	0%	N/A	N/A
Scraps – Ins non-NVCC	0%	N/A	N/A
Cash	+1.0%	0.00%	0.00
Total	100%	6.55%	12.93
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
The various “Scraps” indices include issues with a DBRS rating of Pfd-3(high) or lower and issues with an Average Trading Value (calculated with HIMIPref™ methodology, which is relatively complex) of less than $25,000. The issues considered “Scraps” are subdivided into indices which reflect those of the main indices.
DeemedRetractibles were comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 in the case of banks or normally in the case of insurers and insurance holding companies, in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis and IAIS Says No To DeemedRetractions for the recent change in policy with respect to insurers. Note that the estimate for the time this will become effective for insurers and insurance holding companies was extended by three years in April 2013, due to the delays in OSFI’s providing clarity on the issue and by a further five years in December, 2018; the estimate was eliminated in November. However, the distinctions are being kept because it is useful to distinguish insurance issues from others. The name of this subindex has been changed to “Insurance Straight” as of November, 2020
Calculations of yield and related attributes of resettable instruments are performed assuming a constant GOC-5 rate of 2.74%, a constant 3-Month Bill rate of 3.94% and a constant Canada Prime Rate of 6.45%

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

Credit distribution is:

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

Liquidity Distribution is:

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

The distribution of Issue Reset Spreads is:

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

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

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

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

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October 4, 2024

Sunday, October 6th, 2024

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-0.8370 %	2,146.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.8370 %	4,117.0
Floater	10.03 %	10.16 %	84,446	9.44	2	-0.8370 %	2,372.7
OpRet	0.00 %	0.00 %	0	0.00	0	0.1604 %	3,606.3
SplitShare	4.78 %	5.12 %	113,187	4.17	4	0.1604 %	4,306.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1604 %	3,360.2
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	-0.2264 %	2,918.6
Perpetual-Discount	5.90 %	6.00 %	50,114	13.88	31	-0.2264 %	3,182.6
FixedReset Disc	5.50 %	6.53 %	119,226	12.79	58	0.4647 %	2,675.5
Insurance Straight	5.73 %	5.80 %	61,826	14.23	20	-0.0620 %	3,158.2
FloatingReset	8.23 %	8.37 %	29,269	11.02	2	-0.1057 %	2,711.1
FixedReset Prem	6.43 %	5.51 %	219,280	13.55	7	-0.0666 %	2,577.7
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	0.4647 %	2,734.9
FixedReset Ins Non	5.19 %	5.87 %	98,893	14.06	14	0.5524 %	2,829.1

Performance Highlights
Issue	Index	Change	Notes
GWO.PR.T	Insurance Straight	-4.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.11 %
BIP.PR.A	FixedReset Disc	-4.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 7.63 %
BN.PF.C	Perpetual-Discount	-1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 19.52 Evaluated at bid price : 19.52 Bid-YTW : 6.27 %
BN.PR.N	Perpetual-Discount	-1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 6.27 %
BN.PR.M	Perpetual-Discount	-1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 19.26 Evaluated at bid price : 19.26 Bid-YTW : 6.22 %
GWO.PR.P	Insurance Straight	-1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 22.49 Evaluated at bid price : 22.75 Bid-YTW : 5.97 %
GWO.PR.S	Insurance Straight	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 21.94 Evaluated at bid price : 22.17 Bid-YTW : 5.96 %
BN.PF.A	FixedReset Disc	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 22.55 Evaluated at bid price : 23.38 Bid-YTW : 6.35 %
BN.PF.D	Perpetual-Discount	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 6.29 %
CM.PR.Q	FixedReset Disc	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 23.58 Evaluated at bid price : 24.17 Bid-YTW : 5.58 %
FFH.PR.E	FixedReset Disc	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 7.22 %
RY.PR.M	FixedReset Disc	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 23.21 Evaluated at bid price : 23.73 Bid-YTW : 5.49 %
CM.PR.P	FixedReset Disc	1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 23.20 Evaluated at bid price : 24.10 Bid-YTW : 5.10 %
TD.PF.A	FixedReset Disc	1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 22.37 Evaluated at bid price : 23.17 Bid-YTW : 5.40 %
BMO.PR.Y	FixedReset Disc	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 23.82 Evaluated at bid price : 24.35 Bid-YTW : 5.48 %
MIC.PR.A	Perpetual-Discount	1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 20.92 Evaluated at bid price : 20.92 Bid-YTW : 6.51 %
TD.PF.D	FixedReset Disc	1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 23.63 Evaluated at bid price : 24.21 Bid-YTW : 5.63 %
IFC.PR.C	FixedReset Ins Non	1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 6.19 %
ENB.PF.G	FixedReset Disc	1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 17.89 Evaluated at bid price : 17.89 Bid-YTW : 7.43 %
RY.PR.J	FixedReset Disc	1.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 23.63 Evaluated at bid price : 24.29 Bid-YTW : 5.57 %
TD.PF.C	FixedReset Disc	2.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 22.29 Evaluated at bid price : 23.06 Bid-YTW : 5.43 %
MFC.PR.M	FixedReset Ins Non	3.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 21.47 Evaluated at bid price : 21.77 Bid-YTW : 5.87 %
ENB.PF.A	FixedReset Disc	4.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 18.82 Evaluated at bid price : 18.82 Bid-YTW : 7.26 %
BMO.PR.W	FixedReset Disc	4.98 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2024-11-25 Maturity Price : 25.00 Evaluated at bid price : 25.08 Bid-YTW : 4.54 %
IFC.PR.E	Insurance Straight	5.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.81 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.W	FixedReset Disc	108,863	YTW SCENARIO Maturity Type : Call Maturity Date : 2024-11-25 Maturity Price : 25.00 Evaluated at bid price : 25.08 Bid-YTW : 4.54 %
ENB.PR.B	FixedReset Disc	55,838	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 7.32 %
MFC.PR.Q	FixedReset Ins Non	50,200	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 22.89 Evaluated at bid price : 24.02 Bid-YTW : 5.66 %
PVS.PR.K	SplitShare	43,000	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 4.64 %
MFC.PR.L	FixedReset Ins Non	39,600	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 22.46 Evaluated at bid price : 23.30 Bid-YTW : 5.53 %
PVS.PR.L	SplitShare	38,200	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.36 Bid-YTW : 5.25 %
There were 18 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.T	Insurance Straight	Quote: 21.25 – 22.54 Spot Rate : 1.2900 Average : 0.8774 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.11 %
BIP.PR.A	FixedReset Disc	Quote: 20.40 – 21.40 Spot Rate : 1.0000 Average : 0.6795 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 7.63 %
TD.PF.E	FixedReset Disc	Quote: 22.90 – 24.15 Spot Rate : 1.2500 Average : 1.0137 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 22.42 Evaluated at bid price : 22.90 Bid-YTW : 6.00 %
BN.PF.C	Perpetual-Discount	Quote: 19.52 – 20.10 Spot Rate : 0.5800 Average : 0.3678 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 19.52 Evaluated at bid price : 19.52 Bid-YTW : 6.27 %
NA.PR.S	FixedReset Disc	Quote: 24.99 – 25.45 Spot Rate : 0.4600 Average : 0.3027 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 23.19 Evaluated at bid price : 24.99 Bid-YTW : 5.43 %
CU.PR.H	Perpetual-Discount	Quote: 22.00 – 23.00 Spot Rate : 1.0000 Average : 0.8489 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-04 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.04 %

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eMail Problem FIXED!

Friday, October 4th, 2024

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

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

Posted in Administration | 1 Comment »

BMO.PR.W To Be Redeemed

Thursday, October 3rd, 2024

Bank of Montreal has announced:

its intention to redeem all of its 12,000,000 outstanding Non-Cumulative 5-Year Rate Reset Class B Preferred Shares, Series 31 (Non-Viability Contingent Capital (NVCC)) (the “Preferred Shares Series 31”) (TSX: BMO.PR.W) for an aggregate total of $300 million on November 25, 2024. The redemption has been approved by the Office of the Superintendent of Financial Institutions.

The Preferred Shares Series 31 are redeemable at the Bank’s option on November 25, 2024 (the “Redemption Date”) at a redemption price of $25.00 per share. Payment of the redemption price will be made by the Bank on the Redemption Date.

Separately from the payment of the redemption price, the final quarterly dividend of $0.240688 per share for the Preferred Shares Series 31 announced by the Bank on August 27, 2024 will be paid in the usual manner on November 25, 2024, to shareholders of record on October 30, 2024.

Notice will be delivered to holders of the Preferred Shares Series 31 in accordance with the terms thereof.

BMO.PR.W was issued as a FixedReset, 3.80%+222, that commenced trading 2014-7-30 after being announced 2014-7-22. Notice of extension was given 2019-9-27. BMO.PR.W reset at 3.851% effective 2019-11-25. I recommended against conversion and there was no conversion. It is tracked by HIMIPref™ and has been assigned to the FixedReset – Discount subindex.

BMO.PR.W closed at 23.89 today, with a VWAP of 23.898 on volume of 31,400, so maybe some of the speculators who lost money on the extension of TD.PF.A recouped their losses.

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

Posted in Issue Comments | No Comments »

October 3, 2024

Thursday, October 3rd, 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	0.4425 %	2,164.6
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.4425 %	4,151.8
Floater	9.94 %	10.06 %	83,655	9.52	2	0.4425 %	2,392.7
OpRet	0.00 %	0.00 %	0	0.00	0	0.1204 %	3,600.5
SplitShare	4.79 %	5.25 %	104,681	4.17	4	0.1204 %	4,299.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1204 %	3,354.9
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	-0.3098 %	2,925.3
Perpetual-Discount	5.88 %	5.99 %	48,944	13.89	31	-0.3098 %	3,189.9
FixedReset Disc	5.52 %	6.56 %	116,367	13.01	58	-0.0466 %	2,663.1
Insurance Straight	5.73 %	5.80 %	61,756	14.23	20	0.2811 %	3,160.1
FloatingReset	8.22 %	8.34 %	29,523	11.06	2	0.2649 %	2,714.0
FixedReset Prem	6.42 %	5.52 %	216,278	13.58	7	0.2056 %	2,579.4
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-0.0466 %	2,722.3
FixedReset Ins Non	5.22 %	5.92 %	99,858	13.97	14	0.1340 %	2,813.6

Performance Highlights
Issue	Index	Change	Notes
ENB.PF.A	FixedReset Disc	-3.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 7.59 %
TD.PF.E	FixedReset Disc	-3.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 22.42 Evaluated at bid price : 22.90 Bid-YTW : 6.00 %
MFC.PR.M	FixedReset Ins Non	-2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.11 %
MIC.PR.A	Perpetual-Discount	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 20.56 Evaluated at bid price : 20.56 Bid-YTW : 6.62 %
TD.PF.C	FixedReset Disc	-1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 21.96 Evaluated at bid price : 22.50 Bid-YTW : 5.58 %
ENB.PF.G	FixedReset Disc	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 7.57 %
BIP.PR.E	FixedReset Disc	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 22.67 Evaluated at bid price : 23.51 Bid-YTW : 6.34 %
POW.PR.A	Perpetual-Discount	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 23.09 Evaluated at bid price : 23.35 Bid-YTW : 6.01 %
GWO.PR.L	Insurance Straight	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 23.49 Evaluated at bid price : 23.76 Bid-YTW : 5.98 %
BIP.PR.B	FixedReset Disc	1.03 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 7.30 %
IFC.PR.G	FixedReset Ins Non	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 22.94 Evaluated at bid price : 24.13 Bid-YTW : 5.63 %
PWF.PR.P	FixedReset Disc	1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 14.76 Evaluated at bid price : 14.76 Bid-YTW : 7.06 %
IFC.PR.C	FixedReset Ins Non	1.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 6.30 %
FTS.PR.H	FixedReset Disc	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 15.08 Evaluated at bid price : 15.08 Bid-YTW : 6.83 %
CU.PR.C	FixedReset Disc	3.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.22 %
CCS.PR.C	Insurance Straight	4.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 22.49 Evaluated at bid price : 22.75 Bid-YTW : 5.52 %

Volume Highlights
Issue	Index	Shares Traded	Notes
PVS.PR.L	SplitShare	44,600	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 5.25 %
MFC.PR.K	FixedReset Ins Non	39,665	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 23.01 Evaluated at bid price : 24.34 Bid-YTW : 5.41 %
RY.PR.S	FixedReset Prem	32,600	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 23.28 Evaluated at bid price : 25.23 Bid-YTW : 5.24 %
BMO.PR.W	FixedReset Disc	31,400	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 22.72 Evaluated at bid price : 23.89 Bid-YTW : 5.17 %
TD.PF.A	FixedReset Disc	29,250	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 22.19 Evaluated at bid price : 22.85 Bid-YTW : 5.49 %
PVS.PR.K	SplitShare	27,250	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 4.65 %
There were 6 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
SLF.PR.G	FixedReset Ins Non	Quote: 16.12 – 17.00 Spot Rate : 0.8800 Average : 0.5614 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 16.12 Evaluated at bid price : 16.12 Bid-YTW : 6.30 %
ENB.PF.A	FixedReset Disc	Quote: 18.00 – 18.85 Spot Rate : 0.8500 Average : 0.5353 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 7.59 %
IFC.PR.E	Insurance Straight	Quote: 21.24 – 22.82 Spot Rate : 1.5800 Average : 1.2685 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 6.17 %
TD.PF.E	FixedReset Disc	Quote: 22.90 – 23.90 Spot Rate : 1.0000 Average : 0.7547 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 22.42 Evaluated at bid price : 22.90 Bid-YTW : 6.00 %
MIC.PR.A	Perpetual-Discount	Quote: 20.56 – 21.51 Spot Rate : 0.9500 Average : 0.7345 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 20.56 Evaluated at bid price : 20.56 Bid-YTW : 6.62 %
TD.PF.C	FixedReset Disc	Quote: 22.50 – 23.33 Spot Rate : 0.8300 Average : 0.6499 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-03 Maturity Price : 21.96 Evaluated at bid price : 22.50 Bid-YTW : 5.58 %

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eMail Problems! Please use backup!

Thursday, October 3rd, 2024

My usual eMail address, jiHymas@himivest.com, has temporarily gone down. I am in the process of getting it fixed.

If you need to contact me by eMail, please use my backup account, jiHymas@himipref.com

Update, 2024-10-4: The problem has been resolved.

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October 2, 2024

Wednesday, October 2nd, 2024

PerpetualDiscounts now yield 5.96%, equivalent to 7.75% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.77% on 2024-9-20 and since then the closing price of ZLC has changed from 15.51 to 15.48 after going ex-dividend for $0.06 on 9/27, a total return of +0.19%, implying a decrease of yields of 2bp (BMO reports a duration of 12.47, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.75%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at the 300bp reported September 25.

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	-0.5719 %	2,155.1
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.5719 %	4,133.5
Floater	9.99 %	10.08 %	84,149	9.51	2	-0.5719 %	2,382.2
OpRet	0.00 %	0.00 %	0	0.00	0	0.5854 %	3,596.2
SplitShare	4.79 %	5.21 %	96,812	4.17	4	0.5854 %	4,294.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.5854 %	3,350.8
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	0.3478 %	2,934.4
Perpetual-Discount	5.87 %	5.96 %	49,820	13.91	31	0.3478 %	3,199.8
FixedReset Disc	5.52 %	6.58 %	118,004	12.86	58	0.2016 %	2,664.4
Insurance Straight	5.74 %	5.80 %	62,554	14.19	20	-1.0487 %	3,151.3
FloatingReset	8.24 %	8.39 %	30,002	11.01	2	-1.2297 %	2,706.8
FixedReset Prem	6.43 %	5.52 %	219,345	13.57	7	0.0334 %	2,574.1
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	0.2016 %	2,723.5
FixedReset Ins Non	5.23 %	5.94 %	100,202	14.00	14	-0.0343 %	2,809.8

Performance Highlights
Issue	Index	Change	Notes
IFC.PR.E	Insurance Straight	-6.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 6.17 %
CCS.PR.C	Insurance Straight	-5.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 21.52 Evaluated at bid price : 21.78 Bid-YTW : 5.77 %
FTS.PR.H	FixedReset Disc	-2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 14.80 Evaluated at bid price : 14.80 Bid-YTW : 6.96 %
CU.PR.J	Perpetual-Discount	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 19.98 Evaluated at bid price : 19.98 Bid-YTW : 6.02 %
IFC.PR.C	FixedReset Ins Non	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 6.42 %
FFH.PR.D	FloatingReset	-1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 8.39 %
ENB.PR.N	FixedReset Disc	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 21.68 Evaluated at bid price : 22.00 Bid-YTW : 6.62 %
GWO.PR.Q	Insurance Straight	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 21.86 Evaluated at bid price : 22.10 Bid-YTW : 5.86 %
FTS.PR.K	FixedReset Disc	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 6.14 %
GWO.PR.M	Insurance Straight	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 24.00 Evaluated at bid price : 24.25 Bid-YTW : 6.01 %
GWO.PR.T	Insurance Straight	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 22.00 Evaluated at bid price : 22.00 Bid-YTW : 5.90 %
GWO.PR.G	Insurance Straight	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 22.12 Evaluated at bid price : 22.40 Bid-YTW : 5.83 %
FFH.PR.E	FixedReset Disc	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 7.30 %
TD.PF.E	FixedReset Disc	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 23.14 Evaluated at bid price : 23.67 Bid-YTW : 5.80 %
CU.PR.G	Perpetual-Discount	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 5.88 %
TD.PF.A	FixedReset Disc	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 22.30 Evaluated at bid price : 23.05 Bid-YTW : 5.43 %
PWF.PR.P	FixedReset Disc	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 14.56 Evaluated at bid price : 14.56 Bid-YTW : 7.15 %
ENB.PF.K	FixedReset Disc	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 22.83 Evaluated at bid price : 23.80 Bid-YTW : 6.32 %
CU.PR.F	Perpetual-Discount	2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 5.97 %
POW.PR.C	Perpetual-Discount	3.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 24.16 Evaluated at bid price : 24.42 Bid-YTW : 5.95 %
ENB.PF.G	FixedReset Disc	3.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 7.44 %
BN.PR.M	Perpetual-Discount	6.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 19.53 Evaluated at bid price : 19.53 Bid-YTW : 6.13 %
BN.PR.X	FixedReset Disc	8.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 6.94 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.C	FixedReset Disc	146,400	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 22.20 Evaluated at bid price : 22.89 Bid-YTW : 5.47 %
ENB.PR.Y	FixedReset Disc	132,335	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 7.22 %
ENB.PF.A	FixedReset Disc	125,802	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 18.62 Evaluated at bid price : 18.62 Bid-YTW : 7.33 %
PVS.PR.L	SplitShare	96,800	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 5.21 %
CM.PR.P	FixedReset Disc	95,100	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 22.92 Evaluated at bid price : 23.80 Bid-YTW : 5.17 %
BMO.PR.W	FixedReset Disc	71,351	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 22.69 Evaluated at bid price : 23.82 Bid-YTW : 5.19 %
There were 20 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IFC.PR.E	Insurance Straight	Quote: 21.24 – 22.82 Spot Rate : 1.5800 Average : 0.9270 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 6.17 %
CU.PR.E	Perpetual-Discount	Quote: 20.79 – 21.80 Spot Rate : 1.0100 Average : 0.6478 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 20.79 Evaluated at bid price : 20.79 Bid-YTW : 5.97 %
CCS.PR.C	Insurance Straight	Quote: 21.78 – 23.00 Spot Rate : 1.2200 Average : 0.9268 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 21.52 Evaluated at bid price : 21.78 Bid-YTW : 5.77 %
PWF.PR.O	Perpetual-Discount	Quote: 24.28 – 25.00 Spot Rate : 0.7200 Average : 0.4532 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 24.03 Evaluated at bid price : 24.28 Bid-YTW : 6.08 %
IFC.PR.C	FixedReset Ins Non	Quote: 20.15 – 20.90 Spot Rate : 0.7500 Average : 0.4832 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 6.42 %
BN.PF.D	Perpetual-Discount	Quote: 20.01 – 20.60 Spot Rate : 0.5900 Average : 0.3684 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-02 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 6.17 %

Posted in Market Action, Uncategorized | 1 Comment »

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-0.1495 %	2,137.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.1495 %	4,099.5
Floater	9.66 %	10.18 %	36,376	9.42	4	-0.1495 %	2,362.6
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0501 %	3,596.6
SplitShare	4.80 %	5.25 %	44,131	1.33	8	-0.0501 %	4,295.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0501 %	3,351.2
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	-0.4075 %	2,898.7
Perpetual-Discount	5.94 %	6.03 %	50,218	13.81	31	-0.4075 %	3,160.9
FixedReset Disc	5.50 %	6.93 %	115,028	12.48	58	-0.0781 %	2,674.6
Insurance Straight	5.73 %	5.82 %	59,431	14.17	20	0.4780 %	3,159.2
FloatingReset	8.24 %	8.34 %	28,323	11.05	1	-0.0461 %	2,747.8
FixedReset Prem	6.45 %	5.78 %	209,205	13.50	7	0.0836 %	2,569.1
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-0.0781 %	2,734.0
FixedReset Ins Non	5.20 %	6.31 %	96,661	13.59	14	-0.0615 %	2,825.4

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.E	Perpetual-Discount	-2.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-08 Maturity Price : 22.19 Evaluated at bid price : 22.47 Bid-YTW : 6.24 %
ENB.PR.A	Perpetual-Discount	-2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-08 Maturity Price : 22.24 Evaluated at bid price : 22.51 Bid-YTW : 6.19 %
PWF.PR.L	Perpetual-Discount	-1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-08 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.13 %
MIC.PR.A	Perpetual-Discount	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-08 Maturity Price : 20.56 Evaluated at bid price : 20.56 Bid-YTW : 6.63 %
FTS.PR.K	FixedReset Disc	-1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-08 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 6.42 %
CU.PR.H	Perpetual-Discount	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-08 Maturity Price : 21.71 Evaluated at bid price : 21.96 Bid-YTW : 6.05 %
ENB.PR.D	FixedReset Disc	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-08 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 7.71 %
MFC.PR.L	FixedReset Ins Non	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-08 Maturity Price : 22.29 Evaluated at bid price : 23.00 Bid-YTW : 5.91 %
BN.PR.N	Perpetual-Discount	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-08 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.31 %
BN.PF.G	FixedReset Disc	1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-08 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 7.65 %
GWO.PR.T	Insurance Straight	3.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-08 Maturity Price : 22.05 Evaluated at bid price : 22.05 Bid-YTW : 5.89 %
IFC.PR.I	Insurance Straight	3.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-08 Maturity Price : 22.83 Evaluated at bid price : 23.25 Bid-YTW : 5.83 %
CCS.PR.C	Insurance Straight	3.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-08 Maturity Price : 22.28 Evaluated at bid price : 22.55 Bid-YTW : 5.57 %

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