August 23, 2024

August 23rd, 2024

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

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

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

Five-year Canada yields were down to 2.93%.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2566 % 2,223.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2566 % 4,265.2
Floater 10.06 % 10.34 % 32,890 9.19 2 -0.2566 % 2,458.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.4226 % 3,522.7
SplitShare 4.72 % 5.65 % 29,437 1.15 4 0.4226 % 4,206.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4226 % 3,282.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5036 % 2,876.6
Perpetual-Discount 5.98 % 6.12 % 58,940 13.69 31 0.5036 % 3,136.8
FixedReset Disc 5.38 % 6.82 % 141,935 12.70 62 0.1518 % 2,669.9
Insurance Straight 5.79 % 5.91 % 66,036 13.94 21 0.8236 % 3,125.2
FloatingReset 8.72 % 8.69 % 25,426 10.61 3 -0.4162 % 2,768.6
FixedReset Prem 6.72 % 5.76 % 233,920 12.07 5 -0.1239 % 2,563.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1518 % 2,729.2
FixedReset Ins Non 5.22 % 6.21 % 106,183 13.78 14 0.4722 % 2,813.6
Performance Highlights
Issue Index Change Notes
BN.PF.G FixedReset Disc -17.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 9.11 %
MFC.PR.F FixedReset Ins Non -4.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.72 %
IFC.PR.A FixedReset Ins Non -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.48 %
BN.PF.D Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 6.28 %
BN.PF.I FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.91
Evaluated at bid price : 23.75
Bid-YTW : 7.02 %
BIP.PR.B FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 24.12
Evaluated at bid price : 24.50
Bid-YTW : 7.60 %
ENB.PF.K FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.79
Evaluated at bid price : 23.75
Bid-YTW : 6.51 %
FTS.PR.J Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 5.77 %
PWF.PR.T FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 21.78
Evaluated at bid price : 22.17
Bid-YTW : 6.19 %
MFC.PR.I FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 23.24
Evaluated at bid price : 24.65
Bid-YTW : 5.92 %
ENB.PR.F FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.40 %
BN.PF.B FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 21.34
Evaluated at bid price : 21.63
Bid-YTW : 6.82 %
FFH.PR.E FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.37 %
GWO.PR.I Insurance Straight 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.84 %
ENB.PR.A Perpetual-Discount 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 6.04 %
PVS.PR.J SplitShare 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.65 %
ENB.PF.G FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 7.80 %
FFH.PR.K FixedReset Disc 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.14
Evaluated at bid price : 22.48
Bid-YTW : 7.05 %
SLF.PR.H FixedReset Ins Non 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 6.33 %
GWO.PR.Q Insurance Straight 3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 5.97 %
PWF.PR.Z Perpetual-Discount 4.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.15 %
MFC.PR.L FixedReset Ins Non 5.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.30
Evaluated at bid price : 23.02
Bid-YTW : 5.78 %
IFC.PR.I Insurance Straight 7.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 23.04
Evaluated at bid price : 23.50
Bid-YTW : 5.82 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PF.E FixedReset Disc 82,199 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 7.52 %
SLF.PR.G FixedReset Ins Non 61,084 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 6.58 %
ENB.PR.F FixedReset Disc 36,419 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.40 %
POW.PR.G Perpetual-Discount 34,233 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.63
Evaluated at bid price : 22.88
Bid-YTW : 6.20 %
TD.PF.D FixedReset Disc 31,515 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 23.27
Evaluated at bid price : 23.84
Bid-YTW : 5.93 %
ENB.PR.T FixedReset Disc 29,426 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 7.18 %
There were 66 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.G FixedReset Disc Quote: 15.80 – 19.35
Spot Rate : 3.5500
Average : 1.9865

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

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

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

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

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

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

Posted in Market Action | No Comments »

August 22, 2024

August 22nd, 2024

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

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

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

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

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

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

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0428 % 2,229.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0428 % 4,276.2
Floater 10.03 % 10.29 % 68,958 9.23 2 -0.0428 % 2,464.4
OpRet 0.00 % 0.00 % 0 0.00 0 -1.8018 % 3,507.8
SplitShare 4.74 % 5.60 % 30,638 1.15 4 -1.8018 % 4,189.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -1.8018 % 3,268.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2579 % 2,862.2
Perpetual-Discount 6.01 % 6.15 % 56,232 13.66 31 -0.2579 % 3,121.0
FixedReset Disc 5.39 % 6.83 % 138,195 12.63 62 0.1203 % 2,665.9
Insurance Straight 5.84 % 5.94 % 65,626 13.91 21 -0.0067 % 3,099.7
FloatingReset 8.68 % 8.63 % 25,445 10.66 3 0.3132 % 2,780.2
FixedReset Prem 6.71 % 5.75 % 232,079 12.07 5 -0.0310 % 2,566.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1203 % 2,725.1
FixedReset Ins Non 5.25 % 6.24 % 103,724 13.74 14 0.0862 % 2,800.4
Performance Highlights
Issue Index Change Notes
PWF.PR.Z Perpetual-Discount -4.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.42 %
MFC.PR.L FixedReset Ins Non -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 21.46
Evaluated at bid price : 21.75
Bid-YTW : 6.15 %
PVS.PR.J SplitShare -2.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 6.24 %
CU.PR.G Perpetual-Discount -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.11 %
BIP.PR.A FixedReset Disc -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.74 %
BN.PF.F FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 7.50 %
PWF.PF.A Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 6.13 %
RY.PR.M FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 22.92
Evaluated at bid price : 23.40
Bid-YTW : 5.79 %
MIC.PR.A Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.68 %
FFH.PR.D FloatingReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 21.83
Evaluated at bid price : 22.10
Bid-YTW : 8.62 %
ENB.PF.C FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 7.81 %
BN.PR.X FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.09 %
IFC.PR.K Insurance Straight 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 22.70
Evaluated at bid price : 23.00
Bid-YTW : 5.79 %
BN.PF.H FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 24.01
Evaluated at bid price : 24.40
Bid-YTW : 7.23 %
BIP.PR.E FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 22.65
Evaluated at bid price : 23.50
Bid-YTW : 6.65 %
ENB.PF.G FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.96 %
SLF.PR.H FixedReset Ins Non 5.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.48 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.D FixedReset Disc 155,460 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 7.49 %
TD.PF.C FixedReset Disc 108,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 23.15
Evaluated at bid price : 23.96
Bid-YTW : 5.45 %
MFC.PR.I FixedReset Ins Non 95,321 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 23.11
Evaluated at bid price : 24.33
Bid-YTW : 6.00 %
FTS.PR.M FixedReset Disc 55,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 6.76 %
MFC.PR.L FixedReset Ins Non 54,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 21.46
Evaluated at bid price : 21.75
Bid-YTW : 6.15 %
TD.PF.A FixedReset Disc 50,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 23.21
Evaluated at bid price : 24.26
Bid-YTW : 5.38 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PR.T FixedReset Disc Quote: 16.85 – 18.17
Spot Rate : 1.3200
Average : 0.8011

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

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

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

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

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

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

Posted in Market Action | 1 Comment »

August 21, 2024

August 21st, 2024

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1284 % 2,230.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1284 % 4,278.0
Floater 10.03 % 10.28 % 71,373 9.24 2 0.1284 % 2,465.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0405 % 3,572.2
SplitShare 4.66 % 5.63 % 29,745 1.14 4 0.0405 % 4,266.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0405 % 3,328.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3648 % 2,869.6
Perpetual-Discount 6.00 % 6.14 % 56,099 13.67 31 0.3648 % 3,129.1
FixedReset Disc 5.40 % 6.84 % 137,542 12.57 62 0.3529 % 2,662.7
Insurance Straight 5.84 % 5.93 % 66,544 13.94 21 0.1248 % 3,099.9
FloatingReset 8.71 % 8.73 % 25,316 10.58 3 0.4719 % 2,771.5
FixedReset Prem 6.71 % 5.75 % 235,674 12.07 5 -0.3165 % 2,567.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3529 % 2,721.8
FixedReset Ins Non 5.25 % 6.18 % 95,951 13.79 14 0.8314 % 2,797.9
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 7.44 %
GWO.PR.Q Insurance Straight -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.21 %
BIP.PR.E FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 22.37
Evaluated at bid price : 23.00
Bid-YTW : 6.81 %
ENB.PF.G FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 16.89
Evaluated at bid price : 16.89
Bid-YTW : 8.14 %
BN.PF.H FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 23.52
Evaluated at bid price : 23.96
Bid-YTW : 7.36 %
TD.PF.I FixedReset Prem -1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 5.75 %
CU.PR.D Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.92 %
FFH.PR.H FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 9.41 %
BN.PR.M Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.18 %
GWO.PR.G Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 22.11
Evaluated at bid price : 22.33
Bid-YTW : 5.91 %
FTS.PR.J Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 5.86 %
BN.PF.B FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.98 %
MFC.PR.Q FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 22.87
Evaluated at bid price : 24.00
Bid-YTW : 5.84 %
CU.PR.G Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.95 %
PWF.PR.K Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.17 %
BN.PR.X FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 7.19 %
BN.PF.A FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 22.90
Evaluated at bid price : 24.13
Bid-YTW : 6.42 %
CM.PR.Q FixedReset Disc 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 23.23
Evaluated at bid price : 23.80
Bid-YTW : 5.94 %
MFC.PR.F FixedReset Ins Non 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.42 %
BIP.PR.A FixedReset Disc 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 7.54 %
CU.PR.C FixedReset Disc 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 6.68 %
BN.PR.Z FixedReset Disc 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.48
Evaluated at bid price : 21.84
Bid-YTW : 6.99 %
BN.PF.G FixedReset Disc 4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.54 %
BN.PF.E FixedReset Disc 5.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 7.60 %
SLF.PR.H FixedReset Ins Non 22.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 216,194 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 23.91
Evaluated at bid price : 24.97
Bid-YTW : 5.23 %
PWF.PR.S Perpetual-Discount 206,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 6.15 %
MFC.PR.N FixedReset Ins Non 102,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 6.18 %
SLF.PR.G FixedReset Ins Non 101,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 6.65 %
CU.PR.C FixedReset Disc 100,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 6.68 %
RY.PR.J FixedReset Disc 65,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 23.33
Evaluated at bid price : 23.97
Bid-YTW : 5.87 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.H FixedReset Disc Quote: 23.96 – 25.00
Spot Rate : 1.0400
Average : 0.6496

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

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

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

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

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

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

Addendum (see comments):

Posted in Market Action | 18 Comments »

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

August 20th, 2024

Enbridge Inc. has announced:

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

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

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

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

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

Posted in Issue Comments | 1 Comment »

August 20, 2024

August 20th, 2024

So, Canadian inflation fell:

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

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

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

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

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


2024-8-19, ‘Late in day’

Post Inflation Announcement
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2575 % 2,227.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2575 % 4,272.5
Floater 10.04 % 10.30 % 33,845 9.23 2 0.2575 % 2,462.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2021 % 3,570.7
SplitShare 4.66 % 5.62 % 29,995 1.14 4 -0.2021 % 4,264.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2021 % 3,327.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0409 % 2,859.1
Perpetual-Discount 6.02 % 6.15 % 54,448 13.66 31 0.0409 % 3,117.7
FixedReset Disc 5.42 % 6.85 % 137,515 12.63 62 -0.0978 % 2,653.3
Insurance Straight 5.85 % 5.97 % 67,491 13.86 21 0.0959 % 3,096.0
FloatingReset 8.75 % 8.75 % 24,805 10.56 3 0.0350 % 2,758.5
FixedReset Prem 6.69 % 5.68 % 236,503 12.06 5 0.4497 % 2,575.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0978 % 2,712.2
FixedReset Ins Non 5.29 % 6.22 % 98,318 13.57 14 -1.0805 % 2,774.9
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -24.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 8.32 %
BN.PF.E FixedReset Disc -5.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.03 %
BIP.PR.A FixedReset Disc -3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.73 %
CM.PR.Q FixedReset Disc -2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 22.70
Evaluated at bid price : 23.25
Bid-YTW : 6.08 %
CU.PR.C FixedReset Disc -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.85 %
PWF.PR.K Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.26 %
BN.PF.B FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 7.06 %
BN.PR.Z FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 7.22 %
CU.PR.J Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.97 %
PWF.PR.Z Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.16 %
MFC.PR.Q FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 22.91
Evaluated at bid price : 24.08
Bid-YTW : 5.93 %
FTS.PR.M FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.81 %
NA.PR.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 23.17
Evaluated at bid price : 24.70
Bid-YTW : 5.68 %
BN.PF.H FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 23.89
Evaluated at bid price : 24.30
Bid-YTW : 7.26 %
MFC.PR.M FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 6.32 %
TD.PF.I FixedReset Prem 1.37 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 5.26 %
BN.PF.I FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 22.85
Evaluated at bid price : 23.63
Bid-YTW : 7.05 %
FTS.PR.K FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.51 %
FTS.PR.H FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 14.98
Evaluated at bid price : 14.98
Bid-YTW : 7.23 %
CU.PR.F Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 5.95 %
PWF.PR.P FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 7.27 %
IFC.PR.A FixedReset Ins Non 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.34 %
POW.PR.C Perpetual-Discount 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 23.69
Evaluated at bid price : 23.96
Bid-YTW : 6.13 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.D FixedReset Disc 131,478 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.53 %
TD.PF.I FixedReset Prem 86,892 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 5.26 %
MFC.PR.F FixedReset Ins Non 76,949 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.58 %
ENB.PR.B FixedReset Disc 57,003 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 7.69 %
MFC.PR.M FixedReset Ins Non 55,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 6.32 %
ENB.PR.F FixedReset Disc 54,672 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 7.52 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 14.67 – 20.35
Spot Rate : 5.6800
Average : 4.2633

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

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

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

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

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

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

Posted in Market Action | No Comments »

August 19, 2024

August 19th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0858 % 2,221.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0858 % 4,261.5
Floater 10.06 % 10.29 % 31,340 9.24 2 -0.0858 % 2,455.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.7740 % 3,578.0
SplitShare 4.65 % 5.61 % 29,901 1.15 4 0.7740 % 4,272.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.7740 % 3,333.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5834 % 2,858.0
Perpetual-Discount 6.02 % 6.15 % 56,612 13.66 31 0.5834 % 3,116.5
FixedReset Disc 5.41 % 6.84 % 136,278 12.57 62 0.4685 % 2,655.9
Insurance Straight 5.85 % 5.99 % 66,268 13.85 21 0.4887 % 3,093.1
FloatingReset 8.75 % 8.74 % 24,676 10.57 3 0.1576 % 2,757.5
FixedReset Prem 6.72 % 5.74 % 233,858 12.07 5 -0.0078 % 2,564.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4685 % 2,714.9
FixedReset Ins Non 5.24 % 6.25 % 101,508 13.54 14 1.7435 % 2,805.2
Performance Highlights
Issue Index Change Notes
POW.PR.C Perpetual-Discount -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 6.28 %
MFC.PR.F FixedReset Ins Non -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.58 %
TD.PF.I FixedReset Prem -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 5.74 %
BN.PF.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 22.63
Evaluated at bid price : 23.55
Bid-YTW : 6.60 %
NA.PR.S FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 23.17
Evaluated at bid price : 24.98
Bid-YTW : 5.58 %
BN.PF.J FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 22.81
Evaluated at bid price : 23.75
Bid-YTW : 6.54 %
CCS.PR.C Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.13 %
BN.PF.F FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 7.40 %
CU.PR.G Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.02 %
BN.PF.G FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.78 %
BN.PR.X FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 7.34 %
CU.PR.C FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 6.66 %
ENB.PF.G FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.97 %
PVS.PR.J SplitShare 2.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.34 %
IFC.PR.K Insurance Straight 4.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 22.36
Evaluated at bid price : 22.75
Bid-YTW : 5.85 %
BN.PF.E FixedReset Disc 6.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.56 %
CU.PR.J Perpetual-Discount 13.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.89 %
SLF.PR.H FixedReset Ins Non 33.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 457,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 23.92
Evaluated at bid price : 24.96
Bid-YTW : 5.23 %
BN.PF.D Perpetual-Discount 114,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.33 %
MFC.PR.N FixedReset Ins Non 50,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.25 %
GWO.PR.S Insurance Straight 47,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 21.59
Evaluated at bid price : 21.85
Bid-YTW : 6.10 %
PWF.PR.H Perpetual-Discount 46,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 6.21 %
GWO.PR.Y Insurance Straight 32,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.94 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIK.PR.A FixedReset Prem Quote: 25.50 – 26.50
Spot Rate : 1.0000
Average : 0.6240

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

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

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

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

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

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

Posted in Market Action | No Comments »

August 16, 2024

August 16th, 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 0.0429 % 2,223.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0429 % 4,265.2
Floater 10.06 % 10.30 % 29,019 9.24 2 0.0429 % 2,458.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0306 % 3,550.5
SplitShare 4.68 % 6.04 % 30,844 1.15 4 0.0306 % 4,240.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0306 % 3,308.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1035 % 2,841.4
Perpetual-Discount 6.06 % 6.16 % 54,840 13.63 31 -0.1035 % 3,098.4
FixedReset Disc 5.44 % 6.89 % 143,703 12.53 62 0.1427 % 2,643.5
Insurance Straight 5.88 % 6.04 % 62,688 13.80 21 -0.2750 % 3,078.0
FloatingReset 8.83 % 8.78 % 24,843 10.54 3 0.1754 % 2,753.2
FixedReset Prem 6.72 % 5.73 % 237,513 12.06 5 -0.3861 % 2,564.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1427 % 2,702.2
FixedReset Ins Non 5.33 % 6.27 % 105,674 13.47 14 0.8260 % 2,757.1
Performance Highlights
Issue Index Change Notes
CU.PR.J Perpetual-Discount -9.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.67 %
IFC.PR.I Insurance Straight -5.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.54
Evaluated at bid price : 21.85
Bid-YTW : 6.27 %
IFC.PR.K Insurance Straight -4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 6.12 %
BN.PF.G FixedReset Disc -3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 7.94 %
TD.PF.E FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 23.06
Evaluated at bid price : 23.56
Bid-YTW : 6.06 %
FTS.PR.J Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.00 %
CU.PR.H Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.34
Evaluated at bid price : 21.61
Bid-YTW : 6.09 %
MFC.PR.L FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 22.11
Evaluated at bid price : 22.70
Bid-YTW : 6.00 %
ENB.PF.C FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.94 %
BN.PF.J FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 22.66
Evaluated at bid price : 23.47
Bid-YTW : 6.64 %
IFC.PR.C FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.54 %
RY.PR.N Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 5.07 %
BN.PR.Z FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.49
Evaluated at bid price : 21.49
Bid-YTW : 7.14 %
PWF.PR.K Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 6.15 %
CU.PR.D Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.02 %
SLF.PR.C Insurance Straight 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 20.29
Evaluated at bid price : 20.29
Bid-YTW : 5.57 %
MFC.PR.Q FixedReset Ins Non 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 22.79
Evaluated at bid price : 23.82
Bid-YTW : 6.02 %
ENB.PR.B FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 7.77 %
GWO.PR.Q Insurance Straight 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.09 %
MFC.PR.N FixedReset Ins Non 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 6.27 %
ENB.PF.E FixedReset Disc 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.86 %
MFC.PR.F FixedReset Ins Non 4.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.52 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 230,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 23.95
Evaluated at bid price : 24.96
Bid-YTW : 5.26 %
BN.PR.N Perpetual-Discount 75,030 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.23 %
SLF.PR.G FixedReset Ins Non 70,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 6.70 %
FTS.PR.M FixedReset Disc 68,999 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.98 %
FTS.PR.K FixedReset Disc 54,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.67 %
BIP.PR.E FixedReset Disc 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 22.54
Evaluated at bid price : 23.30
Bid-YTW : 6.73 %
There were 20 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: 17.90 – 20.30
Spot Rate : 2.4000
Average : 1.4626

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.67 %
IFC.PR.I Insurance Straight Quote: 21.85 – 23.45
Spot Rate : 1.6000
Average : 0.9884

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.54
Evaluated at bid price : 21.85
Bid-YTW : 6.27 %
SLF.PR.H FixedReset Ins Non Quote: 14.67 – 19.99
Spot Rate : 5.3200
Average : 4.8041

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 8.36 %
IFC.PR.K Insurance Straight Quote: 21.75 – 23.70
Spot Rate : 1.9500
Average : 1.4462

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 6.12 %
BN.PF.G FixedReset Disc Quote: 18.20 – 19.23
Spot Rate : 1.0300
Average : 0.6555

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 7.94 %
BIP.PR.A FixedReset Disc Quote: 21.65 – 22.50
Spot Rate : 0.8500
Average : 0.5643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.36
Evaluated at bid price : 21.65
Bid-YTW : 7.51 %

Posted in Market Action | No Comments »

EFN.PR.E Called For Redemption

August 15th, 2024

Element Fleet Management Corp. has announced (in their 24Q2 Earnings Release):

Intention to redeem all its outstanding 5.903% Cumulative 5-Year Rate Reset Preferred Shares Series E

To further optimize the Company’s balance sheet and mature its capital structure, the Company announced today its intention to redeem – in accordance with the terms of the 5.903% Cumulative 5-Year Rate Reset Preferred Shares Series E (the “Series E Shares”) as set out in the Company’s articles – all of its 5,321,900 issued and outstanding Series E Shares on September 30, 2024 (the “Share Redemption Date”) for a redemption price equal to CAD$25.00 per Series E Share for a an aggregate total amount of approximately US$92.4 million (CAD$133 million), together with all accrued and unpaid dividends up to but excluding the Share Redemption Date (the “Redemption Price”), less any tax required to be deducted and withheld by the Company.

The Company has provided notice today of the Redemption Price and the Share Redemption Date to the sole registered holder of the Series E Shares in accordance with the terms of the Series E Shares as set out in the Company’s articles. Non-registered holders of Series E Shares should contact their broker or other intermediary for information regarding the redemption process for the Series E Shares in which they hold a beneficial interest. The Company’s transfer agent for the Series E Shares is Computershare Investor Services Inc. (“Computershare Investor Services”). Questions regarding the redemption process may be directed to Computershare Investor Services at 1-800-564-6253 or by email to corporateactions@computershare.com.

Following their redemption on September 30, 2024, the Series E Shares will be de-listed from and no longer trade on the Toronto Stock Exchange (“TSX”).

EFN.PR.E was issued as a FixedReset, 6.40%+472, that was announced 2014-6-2 but not immediately tracked by HIMIPref™ as it was unrated. Coverage commenced in September, 2015 after the company’s preferreds were rated Pfd-3 by DBRS. The extension was announced 2019-8-27. The issue reset at 5.903% effective 2019-9-30. I recommended against conversion and there was no conversion. The company announced its intention to redeem this issue in November 2023. The issue is tracked by HIMIPref™ and is assigned to the Scraps – FixedReset – Discount subindex.

Thanks to Assiduous Reader RAV4guy for bringing this to my attention!

Posted in Issue Comments | No Comments »

August 15, 2024

August 15th, 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 1.4802 % 2,222.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.4802 % 4,263.4
Floater 10.06 % 10.28 % 76,391 9.26 2 1.4802 % 2,457.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2236 % 3,549.4
SplitShare 4.69 % 6.01 % 31,167 1.16 4 -0.2236 % 4,238.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2236 % 3,307.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0731 % 2,844.3
Perpetual-Discount 6.05 % 6.17 % 57,038 13.62 31 0.0731 % 3,101.6
FixedReset Disc 5.45 % 6.88 % 138,392 12.49 62 -0.0808 % 2,639.8
Insurance Straight 5.87 % 6.01 % 63,247 13.82 21 0.0940 % 3,086.5
FloatingReset 8.85 % 8.82 % 25,878 10.50 3 0.9743 % 2,748.3
FixedReset Prem 6.69 % 5.71 % 245,610 12.07 5 0.5435 % 2,574.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0808 % 2,698.4
FixedReset Ins Non 5.37 % 6.41 % 107,357 13.38 14 -0.0705 % 2,734.5
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.43 %
BIP.PR.B FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 23.84
Evaluated at bid price : 24.25
Bid-YTW : 7.69 %
PWF.PR.K Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.24 %
ENB.PF.G FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 8.09 %
SLF.PR.C Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.65 %
BN.PF.D Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 6.40 %
CU.PR.D Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 6.10 %
MFC.PR.Q FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 22.60
Evaluated at bid price : 23.45
Bid-YTW : 6.13 %
GWO.PR.G Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 21.72
Evaluated at bid price : 21.97
Bid-YTW : 6.00 %
ENB.PR.N FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 7.04 %
ENB.PR.H FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 7.07 %
ENB.PR.P FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.45 %
PWF.PR.G Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 23.37
Evaluated at bid price : 23.66
Bid-YTW : 6.29 %
ENB.PR.T FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 7.27 %
ENB.PR.J FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.46 %
BN.PR.T FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.74 %
ENB.PF.C FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 8.03 %
TD.PF.I FixedReset Prem 1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.84
Bid-YTW : 5.28 %
MFC.PR.F FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.82 %
IFC.PR.F Insurance Straight 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 22.11
Evaluated at bid price : 22.36
Bid-YTW : 6.01 %
FFH.PR.E FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 7.63 %
FFH.PR.G FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 7.75 %
PWF.PR.F Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.17 %
ENB.PR.A Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.12 %
FFH.PR.K FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 21.55
Evaluated at bid price : 21.94
Bid-YTW : 7.24 %
FFH.PR.I FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.70 %
MIC.PR.A Perpetual-Discount 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 6.75 %
BN.PR.B Floater 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 10.28 %
FFH.PR.D FloatingReset 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 21.80
Evaluated at bid price : 21.80
Bid-YTW : 8.80 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.N FixedReset Disc 124,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 7.04 %
ENB.PR.D FixedReset Disc 65,910 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 7.58 %
FTS.PR.G FixedReset Disc 57,459 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 21.41
Evaluated at bid price : 21.74
Bid-YTW : 6.38 %
CM.PR.S FixedReset Disc 51,099 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 24.95
Evaluated at bid price : 24.95
Bid-YTW : 5.64 %
FTS.PR.M FixedReset Disc 49,069 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 7.04 %
ENB.PR.F FixedReset Disc 48,601 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.64 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 14.67 – 20.35
Spot Rate : 5.6800
Average : 4.2385

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 8.35 %
GWO.PR.N FixedReset Ins Non Quote: 14.19 – 15.65
Spot Rate : 1.4600
Average : 0.9502

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 14.19
Evaluated at bid price : 14.19
Bid-YTW : 7.26 %
PVS.PR.I SplitShare Quote: 24.94 – 25.94
Spot Rate : 1.0000
Average : 0.5537

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.77 %
CU.PR.I FixedReset Disc Quote: 23.75 – 24.95
Spot Rate : 1.2000
Average : 0.8155

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 23.28
Evaluated at bid price : 23.75
Bid-YTW : 6.88 %
POW.PR.C Perpetual-Discount Quote: 23.87 – 24.95
Spot Rate : 1.0800
Average : 0.7223

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 23.60
Evaluated at bid price : 23.87
Bid-YTW : 6.14 %
BN.PR.R FixedReset Disc Quote: 16.45 – 17.40
Spot Rate : 0.9500
Average : 0.6734

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 7.77 %

Posted in Market Action | No Comments »

DC.PR.B & DC.PR.D To Be Redeemed

August 14th, 2024

Dundee Corporation has announced:

that it intends to exercise its right to redeem all currently outstanding cumulative 5-year rate reset first preference shares, series 2 (the “Series 2 Shares”) and cumulative floating rate first preference shares, series 3 (the “Series 3 Shares”) on September 30, 2024 at a price of $25.00 per share, together with any accrued and unpaid dividends. The Company currently has outstanding 1,145,362 Series 2 Shares and 724,982 Series 3 Shares.
Jonathan Goodman, President and Chief Executive Officer of Dundee, commented:

“As we continue to strengthen our financial position, I am pleased to announce the retirement of all outstanding preferred shares. This strategic move underscores our commitment to simplifying our capital structure, enhancing shareholder value, and positioning the Company for long-term growth. We appreciate the support of all classes of shareholders and remain focused on delivering consistent returns for all our stakeholders. As an investor in development stage mining businesses, it is prudent for us at this time to significantly reduce our burn rate and cost of capital as we move our portfolio forward and look to bring cash flow into the Company.”

DC.PR.B was issued as a FixedReset, 5.688%+410, that commenced trading 2009-9-15 with a 6.75% coupon after being announced 2009-8-25. It reset to 5.688% effective 2014-09-30. I made no recommendation regarding conversion. DC.PR.B later reset to 5.284% effective September 30, 2019. I recommended retaining, or converting to, DC.PR.B. Instead, there was a small net conversion to DC.PR.D leaving DC.PR.B with about 61% of the total. Sixty-three per cent of this issue was cancelled in 2020 following a purchase offer. The issue is tracked by HIMIPref™ but has been relegated to the Scraps – FixedReset (Discount) subindex on credit concerns.

DC.PR.D is a FloatingReset, +410, that came into existence via a partial conversion from DC.PR.B. It is tracked by HIMIPref™ but relegated to the Scraps – FloatingReset subindex on credit concerns.

Thanks to Assiduous Reader Dan Good for bringing this to my attention!

The reaction of Assiduous Reader DR is worth highlighting here:

ahh, ‘ol dundee…

when first entered rate resets in 2015/16 this was one of my names. not sure the pref traded below the common (in absolute terms) but was dang close if memory serves. once the common fell below $2, i was looking for first reasonable exit on prefs which in time came

but here we are, 8 yrs later. common having gone from 10ish to 1ish, while the prefs went from 10ish to par. + 8 yrs of pref divs and nada on common.

the poster child for prefs vs common!

Posted in Issue Comments | No Comments »

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