PrefBlog

PerpetualDiscounts now yield 7.05%, equivalent to 9.16% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.29% on 2023-8-31 and since then the closing price has changed from 14.59 to 14.39, a decrease of 137bp in price, with a Duration of 12.15 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 11bp since 8/31 to 5.40%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained consstant at the 375bp reported September 6.

Another trifecta today; new 52-week lows for TXPR, CPD and ZPR.

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	0.0439 %	2,204.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0439 %	4,227.3
Floater	11.05 %	11.46 %	58,897	8.35	2	0.0439 %	2,436.2
OpRet	0.00 %	0.00 %	0	0.00	0	1.2288 %	3,358.8
SplitShare	5.03 %	7.49 %	44,745	2.29	7	1.2288 %	4,011.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	1.2288 %	3,129.6
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	-0.1635 %	2,502.1
Perpetual-Discount	6.83 %	7.05 %	47,348	12.43	33	-0.1635 %	2,728.5
FixedReset Disc	6.11 %	9.11 %	96,944	10.71	55	0.0270 %	2,059.7
Insurance Straight	6.85 %	6.96 %	63,975	12.66	17	-0.4512 %	2,626.9
FloatingReset	11.70 %	11.80 %	36,277	8.34	1	-0.4237 %	2,267.9
FixedReset Prem	0.00 %	0.00 %	0	0.00	0	0.0270 %	2,257.3
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	0.0270 %	2,105.4
FixedReset Ins Non	6.40 %	8.40 %	125,274	11.05	11	-0.0531 %	2,243.7

Performance Highlights
Issue	Index	Change	Notes
NA.PR.C	FixedReset Disc	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 22.84 Evaluated at bid price : 24.00 Bid-YTW : 7.70 %
NA.PR.G	FixedReset Disc	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 8.15 %
SLF.PR.E	Insurance Straight	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 16.97 Evaluated at bid price : 16.97 Bid-YTW : 6.66 %
SLF.PR.D	Insurance Straight	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 6.61 %
SLF.PR.C	Insurance Straight	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 6.57 %
SLF.PR.G	FixedReset Ins Non	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 12.12 Evaluated at bid price : 12.12 Bid-YTW : 10.15 %
FTS.PR.J	Perpetual-Discount	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 18.27 Evaluated at bid price : 18.27 Bid-YTW : 6.57 %
BN.PF.H	FixedReset Disc	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 9.89 %
IFC.PR.A	FixedReset Ins Non	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 15.58 Evaluated at bid price : 15.58 Bid-YTW : 8.95 %
CU.PR.E	Perpetual-Discount	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 7.01 %
ELF.PR.F	Perpetual-Discount	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 19.39 Evaluated at bid price : 19.39 Bid-YTW : 6.98 %
PVS.PR.H	SplitShare	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 22.96 Bid-YTW : 7.49 %
PWF.PF.A	Perpetual-Discount	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 6.92 %
PVS.PR.G	SplitShare	2.04 %	YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2026-02-28 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 6.77 %
PVS.PR.J	SplitShare	2.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 22.10 Bid-YTW : 7.57 %
PVS.PR.K	SplitShare	2.91 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 21.20 Bid-YTW : 7.86 %
MFC.PR.N	FixedReset Ins Non	4.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 9.04 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.C	FixedReset Disc	96,770	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 9.32 %
FTS.PR.M	FixedReset Disc	69,388	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 9.65 %
MFC.PR.N	FixedReset Ins Non	56,911	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 9.04 %
BMO.PR.S	FixedReset Disc	38,988	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 9.14 %
NA.PR.S	FixedReset Disc	30,647	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 17.17 Evaluated at bid price : 17.17 Bid-YTW : 9.33 %
POW.PR.G	Perpetual-Discount	19,218	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 20.21 Evaluated at bid price : 20.21 Bid-YTW : 7.08 %
There were 13 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BN.PF.F	FixedReset Disc	Quote: 16.08 – 25.00 Spot Rate : 8.9200 Average : 7.8147 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 16.08 Evaluated at bid price : 16.08 Bid-YTW : 10.57 %
RY.PR.J	FixedReset Disc	Quote: 17.30 – 18.50 Spot Rate : 1.2000 Average : 0.7982 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 9.20 %
GWO.PR.Y	Insurance Straight	Quote: 16.35 – 17.10 Spot Rate : 0.7500 Average : 0.5372 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 6.91 %
BN.PR.R	FixedReset Disc	Quote: 12.88 – 14.00 Spot Rate : 1.1200 Average : 0.9097 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 12.88 Evaluated at bid price : 12.88 Bid-YTW : 11.03 %
FTS.PR.H	FixedReset Disc	Quote: 12.02 – 12.60 Spot Rate : 0.5800 Average : 0.3875 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 12.02 Evaluated at bid price : 12.02 Bid-YTW : 10.39 %
BN.PF.H	FixedReset Disc	Quote: 19.45 – 20.04 Spot Rate : 0.5900 Average : 0.4329 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-13 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 9.89 %

Posted in Market Action | 4 Comments »

September 12, 2023

September 12th, 2023

New lows today for each of TXPR, CPD and ZPR. When will it end? Ah, well, for those of us with dividends to reinvest, this is good news, right?

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	0.0000 %	2,203.1
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0000 %	4,225.5
Floater	11.05 %	11.46 %	45,506	8.34	2	0.0000 %	2,435.2
OpRet	0.00 %	0.00 %	0	0.00	0	0.4426 %	3,318.0
SplitShare	5.09 %	7.73 %	43,371	2.29	7	0.4426 %	3,962.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.4426 %	3,091.6
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	-0.2615 %	2,506.2
Perpetual-Discount	6.82 %	7.03 %	46,747	12.44	33	-0.2615 %	2,732.9
FixedReset Disc	6.11 %	9.11 %	97,543	10.75	55	-0.2264 %	2,059.1
Insurance Straight	6.82 %	6.94 %	64,069	12.69	17	0.0390 %	2,638.9
FloatingReset	11.65 %	11.74 %	36,303	8.38	1	0.0000 %	2,277.5
FixedReset Prem	0.00 %	0.00 %	0	0.00	0	-0.2264 %	2,256.7
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-0.2264 %	2,104.9
FixedReset Ins Non	6.40 %	8.40 %	124,568	11.04	11	-0.0955 %	2,244.9

Performance Highlights
Issue	Index	Change	Notes
BN.PF.D	Perpetual-Discount	-3.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 7.53 %
BIP.PR.E	FixedReset Disc	-1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 8.71 %
BN.PF.I	FixedReset Disc	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 18.31 Evaluated at bid price : 18.31 Bid-YTW : 9.95 %
BN.PR.R	FixedReset Disc	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 12.77 Evaluated at bid price : 12.77 Bid-YTW : 11.12 %
FTS.PR.F	Perpetual-Discount	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 19.22 Evaluated at bid price : 19.22 Bid-YTW : 6.44 %
BN.PF.G	FixedReset Disc	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 11.26 %
BIP.PR.F	FixedReset Disc	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 18.46 Evaluated at bid price : 18.46 Bid-YTW : 9.37 %
ELF.PR.F	Perpetual-Discount	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 6.90 %
PWF.PR.T	FixedReset Disc	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 18.08 Evaluated at bid price : 18.08 Bid-YTW : 8.93 %
CU.PR.G	Perpetual-Discount	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 6.89 %
CIU.PR.A	Perpetual-Discount	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 7.05 %
FTS.PR.M	FixedReset Disc	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 9.70 %
BN.PR.N	Perpetual-Discount	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 7.25 %
PWF.PR.L	Perpetual-Discount	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 18.27 Evaluated at bid price : 18.27 Bid-YTW : 7.11 %
PVS.PR.H	SplitShare	2.99 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 7.85 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CU.PR.E	Perpetual-Discount	32,100	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 6.92 %
RY.PR.S	FixedReset Disc	24,761	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 19.72 Evaluated at bid price : 19.72 Bid-YTW : 8.16 %
FTS.PR.F	Perpetual-Discount	21,561	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 19.22 Evaluated at bid price : 19.22 Bid-YTW : 6.44 %
BN.PR.R	FixedReset Disc	21,250	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 12.77 Evaluated at bid price : 12.77 Bid-YTW : 11.12 %
BIP.PR.E	FixedReset Disc	21,073	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 8.71 %
PVS.PR.H	SplitShare	20,500	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 7.85 %
There were 13 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BN.PF.F	FixedReset Disc	Quote: 16.12 – 25.00 Spot Rate : 8.8800 Average : 6.6028 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 16.12 Evaluated at bid price : 16.12 Bid-YTW : 10.54 %
PWF.PR.Z	Perpetual-Discount	Quote: 18.55 – 19.72 Spot Rate : 1.1700 Average : 0.7295 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 7.07 %
TD.PF.C	FixedReset Disc	Quote: 16.35 – 17.26 Spot Rate : 0.9100 Average : 0.5508 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 9.35 %
TD.PF.L	FixedReset Disc	Quote: 23.10 – 23.96 Spot Rate : 0.8600 Average : 0.5942 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 22.30 Evaluated at bid price : 23.10 Bid-YTW : 7.90 %
GWO.PR.S	Insurance Straight	Quote: 18.90 – 19.70 Spot Rate : 0.8000 Average : 0.5537 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 6.98 %
BN.PR.X	FixedReset Disc	Quote: 13.32 – 14.00 Spot Rate : 0.6800 Average : 0.4416 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-12 Maturity Price : 13.32 Evaluated at bid price : 13.32 Bid-YTW : 10.49 %

Posted in Market Action | 4 Comments »

September 11, 2023

September 11th, 2023

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	-0.2188 %	2,203.1
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.2188 %	4,225.5
Floater	11.05 %	11.46 %	46,106	8.35	2	-0.2188 %	2,435.2
OpRet	0.00 %	0.00 %	0	0.00	0	-0.6010 %	3,303.4
SplitShare	5.11 %	7.96 %	41,987	2.29	7	-0.6010 %	3,945.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.6010 %	3,078.0
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	-0.0242 %	2,512.8
Perpetual-Discount	6.80 %	7.03 %	47,237	12.47	33	-0.0242 %	2,740.1
FixedReset Disc	6.10 %	9.13 %	97,353	10.72	55	0.0849 %	2,063.8
Insurance Straight	6.82 %	6.94 %	64,794	12.69	17	0.1203 %	2,637.8
FloatingReset	11.65 %	11.74 %	36,086	8.38	1	-1.6667 %	2,277.5
FixedReset Prem	0.00 %	0.00 %	0	0.00	0	0.0849 %	2,261.8
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	0.0849 %	2,109.6
FixedReset Ins Non	6.39 %	8.40 %	123,925	11.05	11	-0.3069 %	2,247.0

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.N	FixedReset Ins Non	-3.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 16.08 Evaluated at bid price : 16.08 Bid-YTW : 9.40 %
PVS.PR.H	SplitShare	-3.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 22.04 Bid-YTW : 8.81 %
IFC.PR.C	FixedReset Disc	-3.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 17.39 Evaluated at bid price : 17.39 Bid-YTW : 8.69 %
PWF.PR.L	Perpetual-Discount	-2.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 18.02 Evaluated at bid price : 18.02 Bid-YTW : 7.20 %
SLF.PR.J	FloatingReset	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 14.16 Evaluated at bid price : 14.16 Bid-YTW : 11.74 %
SLF.PR.G	FixedReset Ins Non	-1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 12.31 Evaluated at bid price : 12.31 Bid-YTW : 10.00 %
BIP.PR.F	FixedReset Disc	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 9.25 %
BN.PR.X	FixedReset Disc	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 13.36 Evaluated at bid price : 13.36 Bid-YTW : 10.46 %
CU.PR.G	Perpetual-Discount	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 6.81 %
MFC.PR.L	FixedReset Ins Non	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 9.11 %
BNS.PR.I	FixedReset Disc	1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 20.21 Evaluated at bid price : 20.21 Bid-YTW : 8.08 %
TD.PF.E	FixedReset Disc	6.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 9.23 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.A	FixedReset Disc	40,625	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 16.68 Evaluated at bid price : 16.68 Bid-YTW : 9.20 %
MFC.PR.N	FixedReset Ins Non	37,100	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 16.08 Evaluated at bid price : 16.08 Bid-YTW : 9.40 %
MFC.PR.B	Insurance Straight	25,025	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 17.23 Evaluated at bid price : 17.23 Bid-YTW : 6.79 %
BN.PR.T	FixedReset Disc	21,034	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 12.99 Evaluated at bid price : 12.99 Bid-YTW : 10.89 %
SLF.PR.E	Insurance Straight	20,198	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 17.32 Evaluated at bid price : 17.32 Bid-YTW : 6.52 %
BN.PR.B	Floater	15,215	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 11.40 Evaluated at bid price : 11.40 Bid-YTW : 11.46 %
There were 2 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.I	Insurance Straight	Quote: 16.41 – 19.00 Spot Rate : 2.5900 Average : 1.7749 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 16.41 Evaluated at bid price : 16.41 Bid-YTW : 6.89 %
CU.PR.J	Perpetual-Discount	Quote: 17.20 – 20.00 Spot Rate : 2.8000 Average : 2.1366 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 6.98 %
BN.PF.I	FixedReset Disc	Quote: 18.60 – 20.00 Spot Rate : 1.4000 Average : 0.8405 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 9.80 %
BN.PR.Z	FixedReset Disc	Quote: 17.75 – 19.09 Spot Rate : 1.3400 Average : 0.8396 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 9.65 %
CU.PR.C	FixedReset Disc	Quote: 16.90 – 18.50 Spot Rate : 1.6000 Average : 1.1439 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 9.08 %
BN.PR.R	FixedReset Disc	Quote: 12.97 – 14.00 Spot Rate : 1.0300 Average : 0.6342 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-11 Maturity Price : 12.97 Evaluated at bid price : 12.97 Bid-YTW : 10.96 %

Posted in Market Action | No Comments »

September PrefLetter Released!

September 10th, 2023

The September, 2023, 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.

This month’s edition contains a special appendix analyzing the ZPR ETF … and making a surprising discovery!

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “previous” edition will refer to the September, 2023, issue, while the “next” edition will be the October, 2023, issue scheduled to be prepared as of the close October 13, and emailed to subscribers prior to the market-opening on October 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.

Posted in PrefLetter | No Comments »

September 8, 2023

September 8th, 2023

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	0.4837 %	2,207.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.4837 %	4,234.8
Floater	11.03 %	11.40 %	57,320	8.40	2	0.4837 %	2,440.5
OpRet	0.00 %	0.00 %	0	0.00	0	0.2796 %	3,323.4
SplitShare	5.08 %	7.56 %	42,067	2.30	7	0.2796 %	3,968.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2796 %	3,096.6
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	0.2248 %	2,513.4
Perpetual-Discount	6.80 %	7.01 %	46,682	12.49	33	0.2248 %	2,740.8
FixedReset Disc	6.11 %	9.12 %	99,560	10.54	55	-0.1545 %	2,062.1
Insurance Straight	6.83 %	6.94 %	65,656	12.69	17	0.3393 %	2,634.7
FloatingReset	11.46 %	11.53 %	36,299	8.52	1	1.3371 %	2,316.1
FixedReset Prem	0.00 %	0.00 %	0	0.00	0	-0.1545 %	2,259.9
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-0.1545 %	2,107.8
FixedReset Ins Non	6.37 %	8.37 %	125,900	11.08	11	-0.2797 %	2,253.9

Performance Highlights
Issue	Index	Change	Notes
TD.PF.E	FixedReset Disc	-5.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 16.17 Evaluated at bid price : 16.17 Bid-YTW : 9.80 %
MFC.PR.L	FixedReset Ins Non	-3.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 9.24 %
BNS.PR.I	FixedReset Disc	-2.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 8.20 %
BN.PF.E	FixedReset Disc	-2.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 13.85 Evaluated at bid price : 13.85 Bid-YTW : 11.24 %
BN.PR.T	FixedReset Disc	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 12.99 Evaluated at bid price : 12.99 Bid-YTW : 10.89 %
TD.PF.I	FixedReset Disc	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 21.82 Evaluated at bid price : 22.20 Bid-YTW : 7.79 %
CU.PR.F	Perpetual-Discount	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 6.93 %
PVS.PR.K	SplitShare	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 20.60 Bid-YTW : 8.44 %
RY.PR.J	FixedReset Disc	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 9.18 %
CU.PR.D	Perpetual-Discount	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 6.95 %
BN.PF.I	FixedReset Disc	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 9.74 %
SLF.PR.G	FixedReset Ins Non	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 12.50 Evaluated at bid price : 12.50 Bid-YTW : 9.85 %
MFC.PR.B	Insurance Straight	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 6.76 %
SLF.PR.E	Insurance Straight	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 17.21 Evaluated at bid price : 17.21 Bid-YTW : 6.56 %
SLF.PR.J	FloatingReset	1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 11.53 %
PVS.PR.J	SplitShare	2.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 21.58 Bid-YTW : 8.16 %
PWF.PR.L	Perpetual-Discount	2.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 18.43 Evaluated at bid price : 18.43 Bid-YTW : 7.04 %
BN.PF.D	Perpetual-Discount	2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 7.23 %
SLF.PR.D	Insurance Straight	3.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 17.09 Evaluated at bid price : 17.09 Bid-YTW : 6.53 %
RY.PR.M	FixedReset Disc	5.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 16.56 Evaluated at bid price : 16.56 Bid-YTW : 9.17 %

Volume Highlights
Issue	Index	Shares Traded	Notes
GWO.PR.S	Insurance Straight	28,600	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 6.97 %
IFC.PR.C	FixedReset Disc	24,063	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 17.96 Evaluated at bid price : 17.96 Bid-YTW : 8.43 %
TD.PF.C	FixedReset Disc	19,082	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 16.33 Evaluated at bid price : 16.33 Bid-YTW : 9.35 %
NA.PR.G	FixedReset Disc	15,766	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 21.28 Evaluated at bid price : 21.28 Bid-YTW : 8.08 %
CM.PR.S	FixedReset Disc	15,056	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 7.92 %
PWF.PR.T	FixedReset Disc	14,540	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 8.86 %
There were 5 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BN.PF.F	FixedReset Disc	Quote: 16.10 – 25.00 Spot Rate : 8.9000 Average : 7.4130 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 10.54 %
GWO.PR.I	Insurance Straight	Quote: 16.27 – 17.90 Spot Rate : 1.6300 Average : 0.8812 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 16.27 Evaluated at bid price : 16.27 Bid-YTW : 6.94 %
CU.PR.F	Perpetual-Discount	Quote: 16.40 – 18.00 Spot Rate : 1.6000 Average : 1.2241 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 6.93 %
TD.PF.E	FixedReset Disc	Quote: 16.17 – 17.55 Spot Rate : 1.3800 Average : 1.0459 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 16.17 Evaluated at bid price : 16.17 Bid-YTW : 9.80 %
GWO.PR.S	Insurance Straight	Quote: 18.90 – 19.70 Spot Rate : 0.8000 Average : 0.4849 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 6.97 %
POW.PR.G	Perpetual-Discount	Quote: 20.25 – 21.15 Spot Rate : 0.9000 Average : 0.6021 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-08 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 7.06 %

Posted in Market Action | No Comments »

BN.PF.A : No Daycount Factor on Dividends

September 8th, 2023

The story so far:
1. A reset rate of 6.744% was announced, with a dividend amount that did not compute.
2. The company said the dividend amount stated included a daycount factor, but did not get back to me quickly to respond to my further questions
3. And now …

I have received the following communication from Brookfield Investor Relations:

If series 32 shares are not converted, a fixed-rate dividend of $0.4215 (C$25 x 6.744% / 4 quarters) will be made each quarter and it will not be adjusted for a day-count factor. Please disregard our previous email, which may have suggested that it would be. The Canadian Depository for Securities Limited (CDS Ltd.) will publish a bulletin that confirms the aforementioned dividend rate, which you can access through your broker.

We apologize for any confusion. Please let us know if you have any other questions or need further clarification.

So all’s well that ends well.

Posted in Issue Comments | 1 Comment »

September 7, 2023

September 7th, 2023

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	-0.6987 %	2,197.3
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.6987 %	4,214.4
Floater	11.08 %	11.44 %	48,320	8.37	2	-0.6987 %	2,428.8
OpRet	0.00 %	0.00 %	0	0.00	0	-0.3406 %	3,314.1
SplitShare	5.10 %	7.65 %	41,439	2.30	7	-0.3406 %	3,957.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.3406 %	3,088.0
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	0.2140 %	2,507.8
Perpetual-Discount	6.81 %	7.01 %	46,887	12.49	33	0.2140 %	2,734.6
FixedReset Disc	6.10 %	9.06 %	99,385	10.65	55	-0.1821 %	2,065.3
Insurance Straight	6.85 %	6.93 %	60,830	12.69	17	0.3470 %	2,625.7
FloatingReset	11.63 %	11.70 %	36,907	8.42	1	-2.3368 %	2,285.6
FixedReset Prem	0.00 %	0.00 %	0	0.00	0	-0.1821 %	2,263.4
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-0.1821 %	2,111.1
FixedReset Ins Non	6.36 %	8.36 %	127,408	11.09	11	0.5999 %	2,260.3

Performance Highlights
Issue	Index	Change	Notes
RY.PR.M	FixedReset Disc	-6.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 9.61 %
PVS.PR.J	SplitShare	-4.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 21.10 Bid-YTW : 8.73 %
SLF.PR.J	FloatingReset	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 14.21 Evaluated at bid price : 14.21 Bid-YTW : 11.70 %
BN.PR.M	Perpetual-Discount	-2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 7.26 %
BMO.PR.S	FixedReset Disc	-2.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 9.24 %
PWF.PR.L	Perpetual-Discount	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 18.02 Evaluated at bid price : 18.02 Bid-YTW : 7.20 %
SLF.PR.D	Insurance Straight	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 6.75 %
FTS.PR.H	FixedReset Disc	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 12.02 Evaluated at bid price : 12.02 Bid-YTW : 10.34 %
BN.PR.R	FixedReset Disc	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 13.05 Evaluated at bid price : 13.05 Bid-YTW : 10.85 %
BN.PF.C	Perpetual-Discount	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 7.24 %
MFC.PR.M	FixedReset Ins Non	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 16.89 Evaluated at bid price : 16.89 Bid-YTW : 9.11 %
PVS.PR.G	SplitShare	1.08 %	YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2026-02-28 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 7.65 %
BNS.PR.I	FixedReset Disc	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 20.48 Evaluated at bid price : 20.48 Bid-YTW : 7.94 %
MFC.PR.C	Insurance Straight	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 6.76 %
POW.PR.G	Perpetual-Discount	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 7.06 %
CU.PR.D	Perpetual-Discount	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.87 %
CU.PR.G	Perpetual-Discount	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 16.63 Evaluated at bid price : 16.63 Bid-YTW : 6.83 %
POW.PR.C	Perpetual-Discount	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 21.33 Evaluated at bid price : 21.60 Bid-YTW : 6.83 %
CU.PR.F	Perpetual-Discount	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 6.84 %
CU.PR.E	Perpetual-Discount	1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 6.95 %
MFC.PR.L	FixedReset Ins Non	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 8.86 %
TD.PF.K	FixedReset Disc	1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 21.63 Evaluated at bid price : 22.00 Bid-YTW : 7.58 %
BN.PF.D	Perpetual-Discount	1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 16.94 Evaluated at bid price : 16.94 Bid-YTW : 7.41 %
SLF.PR.C	Insurance Straight	3.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 17.14 Evaluated at bid price : 17.14 Bid-YTW : 6.51 %
MFC.PR.N	FixedReset Ins Non	3.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 9.03 %

Volume Highlights
Issue	Index	Shares Traded	Notes
FTS.PR.G	FixedReset Disc	129,100	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 18.49 Evaluated at bid price : 18.49 Bid-YTW : 8.36 %
CM.PR.P	FixedReset Disc	53,921	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 16.19 Evaluated at bid price : 16.19 Bid-YTW : 9.32 %
PWF.PR.K	Perpetual-Discount	42,900	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 17.83 Evaluated at bid price : 17.83 Bid-YTW : 7.06 %
BN.PR.B	Floater	42,250	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 11.34 Evaluated at bid price : 11.34 Bid-YTW : 11.51 %
FTS.PR.M	FixedReset Disc	37,570	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 9.58 %
IFC.PR.G	FixedReset Ins Non	28,226	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 8.36 %
There were 10 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BN.PF.F	FixedReset Disc	Quote: 16.15 – 25.00 Spot Rate : 8.8500 Average : 5.7826 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 10.48 %
POW.PR.B	Perpetual-Discount	Quote: 19.29 – 20.80 Spot Rate : 1.5100 Average : 0.8417 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 19.29 Evaluated at bid price : 19.29 Bid-YTW : 7.08 %
CU.PR.J	Perpetual-Discount	Quote: 17.15 – 20.00 Spot Rate : 2.8500 Average : 2.2418 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 6.99 %
CU.PR.F	Perpetual-Discount	Quote: 16.60 – 18.00 Spot Rate : 1.4000 Average : 0.8120 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 6.84 %
RY.PR.M	FixedReset Disc	Quote: 15.70 – 16.70 Spot Rate : 1.0000 Average : 0.5787 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-07 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 9.61 %
PVS.PR.J	SplitShare	Quote: 21.10 – 22.40 Spot Rate : 1.3000 Average : 0.9174 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 21.10 Bid-YTW : 8.73 %

Posted in Market Action | No Comments »

BN Silent Regarding BN.PF.A Daycount Dividends

September 6th, 2023

It was pointed out in the comments to the post “BN.PF.A To Reset To 6.744%” that the stated dividend rate, as an annual percentage, did not easily relate to the stated dividend amount. So, as promised, I am looking into it:
JH to BN, 2023-9-5:

Sirs,

According to your press release at LINK “If declared, the fixed quarterly dividends on the Series 32 Shares during the five years commencing October 1, 2023 will be paid at an annual rate of 6.744% ($0.4249644 per share per quarter).”

However, a rate of $0.4249644 per share per quarter is equal to $1.699858 per share per year, which is 6.7994 of the $25.00 par value.

A rate of 6.744% would be 1.686 per year or 0.4215 per quarter on the $25 par value.

Can you please resolve this discrepancy?

Sincerely,

I received the following reply, BN to JH, 2023-9-5:

In accordance with the share documents, the fixed quarterly dividend will be based on the annual dividend rate of 6.744% or C$0.4249644 per share per quarter (C$25 x 6.744% x 92/365 days).

So I sent the following follow-up, JH to BN, 2023-9-5:

Thank you for your response.

This formula, including a daycount factor (92/365) for the dividend, does not appear to have been in prior use.

Your description of the terms of these shares at LINK states: “As and when declared by the board of directors, the fixed quarterly dividend on the Series 32 Preferred Shares during the five-year period from October 1, 2018 until September 30, 2023 will be $0.3163125 per share per quarter, which represents a yield of 5.061% based on the redemption price of $25 per share.” This clearly does not include a daycount factor.

When was the decision made to include a daycount factor and when was this disclosed to beneficial owners?

Additionally, the prospectus for this issue states: “For each five-year period after the Initial Fixed Rate Period (each a “Subsequent Fixed Rate Period”), the holders of Series 32 Shares will be entitled to receive fixed cumulative preferential cash dividends, as and when declared by the Board of Directors, payable quarterly on the last day of March, June, September and December during the Subsequent Fixed Rate Period, in an annual amount per Series 32 Share determined by multiplying the Annual Fixed Dividend Rate (as defined herein) applicable to such Subsequent Fixed Rate Period by $25.00.”

Does this imply that a varying daycount factor will be applied to each dividend on these shares, in order to ensure that the sum of the quarterly payments is equal to the product of the Annual Fixed Dividend Rate and $25.00? In leap years, will the divisor of the daycount factor be changed to 366?

Sincerely,

I have not yet received a reply, but I’m going to try again. I do hope that they abandon this daycount plan. I agree that it’s more accurate, but:

It’s not done for bond interest payments, and
It means that every single dividend payment has to be calculated or looked up, and
It’s bloody annoying

Posted in Issue Comments | 1 Comment »

September 6, 2023

September 6th, 2023

PerpetualDiscounts now yield 7.04%, equivalent to 9.15% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.29% on 2023-8-31 and since then the closing price has changed from 14.59 to 14.37, a decrease of 151bp in price, with a Duration of 12.15 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 12bp since 8/31 to 5.41%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 375bp from the 390bp reported August 30.

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	0.0000 %	2,212.7
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0000 %	4,244.0
Floater	11.00 %	11.39 %	47,449	8.41	2	0.0000 %	2,445.9
OpRet	0.00 %	0.00 %	0	0.00	0	-0.1669 %	3,325.4
SplitShare	5.08 %	7.66 %	40,254	2.30	7	-0.1669 %	3,971.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1669 %	3,098.5
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	0.1949 %	2,502.4
Perpetual-Discount	6.83 %	7.04 %	47,182	12.46	33	0.1949 %	2,728.8
FixedReset Disc	6.08 %	9.03 %	100,658	10.77	55	-0.2135 %	2,069.0
Insurance Straight	6.88 %	6.94 %	63,298	12.70	17	0.2133 %	2,616.7
FloatingReset	11.36 %	11.42 %	37,459	8.60	1	-0.0687 %	2,340.3
FixedReset Prem	0.00 %	0.00 %	0	0.00	0	-0.2135 %	2,267.5
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-0.2135 %	2,115.0
FixedReset Ins Non	6.39 %	8.41 %	127,153	11.04	11	-0.0265 %	2,246.8

Performance Highlights
Issue	Index	Change	Notes
BN.PF.D	Perpetual-Discount	-5.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.62 Evaluated at bid price : 16.62 Bid-YTW : 7.55 %
PVS.PR.G	SplitShare	-1.90 %	YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2026-02-28 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 8.12 %
BIK.PR.A	FixedReset Disc	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 9.47 %
NA.PR.S	FixedReset Disc	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 9.32 %
MFC.PR.K	FixedReset Ins Non	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 7.92 %
BIP.PR.E	FixedReset Disc	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 8.57 %
BN.PF.I	FixedReset Disc	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 9.82 %
CU.PR.I	FixedReset Disc	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 8.76 %
BN.PF.C	Perpetual-Discount	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 7.31 %
TD.PF.E	FixedReset Disc	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 17.06 Evaluated at bid price : 17.06 Bid-YTW : 9.29 %
TD.PF.I	FixedReset Disc	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 22.03 Evaluated at bid price : 22.51 Bid-YTW : 7.66 %
MFC.PR.L	FixedReset Ins Non	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 9.00 %
PWF.PF.A	Perpetual-Discount	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 6.95 %
ELF.PR.F	Perpetual-Discount	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 19.53 Evaluated at bid price : 19.53 Bid-YTW : 6.92 %
RY.PR.O	Perpetual-Discount	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.89 %
SLF.PR.C	Insurance Straight	1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 6.74 %
BN.PF.F	FixedReset Disc	1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 10.57 %
BN.PR.R	FixedReset Disc	1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 13.25 Evaluated at bid price : 13.25 Bid-YTW : 10.70 %
BN.PR.M	Perpetual-Discount	2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 7.11 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BN.PF.F	FixedReset Disc	72,071	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 10.57 %
GWO.PR.S	Insurance Straight	46,200	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 7.01 %
GWO.PR.N	FixedReset Ins Non	40,100	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 11.86 Evaluated at bid price : 11.86 Bid-YTW : 9.66 %
BN.PR.Z	FixedReset Disc	37,500	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 9.57 %
CIU.PR.A	Perpetual-Discount	37,000	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 7.03 %
CM.PR.P	FixedReset Disc	32,300	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.19 Evaluated at bid price : 16.19 Bid-YTW : 9.32 %
There were 17 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
CU.PR.J	Perpetual-Discount	Quote: 17.15 – 20.00 Spot Rate : 2.8500 Average : 1.5750 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 6.99 %
FTS.PR.M	FixedReset Disc	Quote: 16.50 – 18.00 Spot Rate : 1.5000 Average : 0.8647 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 9.55 %
BN.PF.F	FixedReset Disc	Quote: 16.01 – 19.00 Spot Rate : 2.9900 Average : 2.4195 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 10.57 %
BN.PR.Z	FixedReset Disc	Quote: 17.85 – 19.09 Spot Rate : 1.2400 Average : 0.7430 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 9.57 %
CU.PR.I	FixedReset Disc	Quote: 20.60 – 23.75 Spot Rate : 3.1500 Average : 2.7272 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 8.76 %
MFC.PR.M	FixedReset Ins Non	Quote: 16.72 – 18.00 Spot Rate : 1.2800 Average : 0.8742 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-06 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 9.20 %

Posted in Market Action | 1 Comment »

Volume Highlights
Issue	Index	Shares Traded	Notes
POW.PR.D	Perpetual-Discount	49,358	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-14 Maturity Price : 18.43 Evaluated at bid price : 18.43 Bid-YTW : 6.93 %
BNS.PR.I	FixedReset Disc	36,593	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-14 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 8.09 %
TD.PF.B	FixedReset Disc	33,950	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-14 Maturity Price : 17.17 Evaluated at bid price : 17.17 Bid-YTW : 9.07 %
RY.PR.H	FixedReset Disc	33,841	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-14 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 9.14 %
RY.PR.Z	FixedReset Disc	32,931	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-14 Maturity Price : 17.06 Evaluated at bid price : 17.06 Bid-YTW : 9.08 %
BMO.PR.W	FixedReset Disc	32,569	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-14 Maturity Price : 16.34 Evaluated at bid price : 16.34 Bid-YTW : 9.33 %
There were 21 other index-included issues trading in excess of 10,000 shares.

PrefBlog

September 14, 2023

September 13, 2023

September 12, 2023

September 11, 2023

September PrefLetter Released!

September 8, 2023

BN.PF.A : No Daycount Factor on Dividends

September 7, 2023

BN Silent Regarding BN.PF.A Daycount Dividends

September 6, 2023

Publisher

Recent Posts

Recent Comments

Archives

Categories

Of Interest

Canadian Financial Discussion

Credit Ratings

Calculators

Markets

Recommended External Commentary

Recommended Official Sites

Yield Calculation Conventions

Meta

Registration Problems?