July 3, 2024

July 3rd, 2024

PerpetualDiscounts now yield 6.59%, equivalent to 8.57% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.97% on 2024-6-24 and since then the closing price of ZLC has changed from 15.21 to 14.79, a decrease of 276bp in price, implying an increase of yields of 22bp (BMO reports a duration of 12.39, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.19%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has declined sharply to 340bp from the 370bp reported June 26.

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 0.5348 % 2,151.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5348 % 4,126.2
Floater 10.78 % 10.86 % 28,052 8.93 2 0.5348 % 2,377.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1866 % 3,475.2
SplitShare 4.81 % 6.57 % 31,627 1.27 6 0.1866 % 4,150.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1866 % 3,238.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4841 % 2,683.3
Perpetual-Discount 6.41 % 6.59 % 53,382 13.04 28 0.4841 % 2,926.0
FixedReset Disc 5.16 % 7.31 % 115,693 12.22 49 0.7383 % 2,618.8
Insurance Straight 6.20 % 6.47 % 58,491 13.27 21 0.0690 % 2,880.3
FloatingReset 9.36 % 9.17 % 35,339 10.28 4 0.3643 % 2,758.8
FixedReset Prem 5.80 % 6.29 % 248,131 3.01 8 0.1085 % 2,545.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.7383 % 2,676.9
FixedReset Ins Non 5.14 % 6.95 % 96,821 12.96 14 2.5253 % 2,766.8
Performance Highlights
Issue Index Change Notes
MFC.PR.J FixedReset Ins Non -4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.99
Evaluated at bid price : 22.40
Bid-YTW : 7.00 %
IFC.PR.C FixedReset Ins Non -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.33 %
SLF.PR.J FloatingReset -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.92 %
IFC.PR.F Insurance Straight -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 6.30 %
PWF.PR.R Perpetual-Discount -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 6.76 %
GWO.PR.I Insurance Straight -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.45 %
GWO.PR.Y Insurance Straight -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.48 %
BN.PF.E FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.26 %
PWF.PR.Z Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 6.66 %
BN.PR.M Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.67 %
NA.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 22.81
Evaluated at bid price : 24.05
Bid-YTW : 6.38 %
FFH.PR.D FloatingReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 9.17 %
MFC.PR.F FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 6.99 %
BN.PF.D Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 6.92 %
RY.PR.O Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 23.52
Evaluated at bid price : 23.80
Bid-YTW : 5.20 %
PWF.PR.K Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.57 %
CM.PR.P FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 23.09
Evaluated at bid price : 23.82
Bid-YTW : 6.07 %
IFC.PR.G FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 22.11
Evaluated at bid price : 22.62
Bid-YTW : 6.82 %
TD.PF.J FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 23.12
Evaluated at bid price : 24.60
Bid-YTW : 6.34 %
FFH.PR.I FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 8.24 %
BN.PR.K Floater 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 10.86 %
MFC.PR.L FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.60
Evaluated at bid price : 21.94
Bid-YTW : 6.65 %
GWO.PR.N FixedReset Ins Non 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 14.44
Evaluated at bid price : 14.44
Bid-YTW : 7.94 %
FFH.PR.H FloatingReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 9.90 %
IFC.PR.E Insurance Straight 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 6.24 %
BN.PF.H FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 7.51 %
BIP.PR.A FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.64
Evaluated at bid price : 22.05
Bid-YTW : 7.92 %
POW.PR.B Perpetual-Discount 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 6.58 %
SLF.PR.E Insurance Straight 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.94 %
BN.PR.R FixedReset Disc 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 8.42 %
BN.PR.Z FixedReset Disc 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 7.84 %
POW.PR.G Perpetual-Discount 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 6.61 %
TD.PF.D FixedReset Disc 4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 23.48
Evaluated at bid price : 24.00
Bid-YTW : 6.50 %
IFC.PR.A FixedReset Ins Non 5.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 7.06 %
BN.PF.J FixedReset Disc 5.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 22.39
Evaluated at bid price : 23.00
Bid-YTW : 7.22 %
PWF.PR.P FixedReset Disc 6.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.15 %
MFC.PR.N FixedReset Ins Non 7.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 6.93 %
MFC.PR.M FixedReset Ins Non 28.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.95 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 108,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 23.98
Evaluated at bid price : 24.90
Bid-YTW : 5.94 %
TD.PF.I FixedReset Prem 51,926 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 5.25 %
POW.PR.D Perpetual-Discount 37,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.54 %
CM.PR.Y FixedReset Disc 24,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 6.22 %
BN.PR.B Floater 16,851 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 11.01 %
FTS.PR.G FixedReset Disc 15,403 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.99 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.J FixedReset Ins Non Quote: 22.40 – 23.90
Spot Rate : 1.5000
Average : 1.0731

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.99
Evaluated at bid price : 22.40
Bid-YTW : 7.00 %

SLF.PR.H FixedReset Ins Non Quote: 19.25 – 21.25
Spot Rate : 2.0000
Average : 1.5792

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.99 %

MFC.PR.F FixedReset Ins Non Quote: 16.81 – 18.00
Spot Rate : 1.1900
Average : 0.8555

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 6.99 %

BN.PR.T FixedReset Disc Quote: 16.25 – 17.06
Spot Rate : 0.8100
Average : 0.6463

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 8.51 %

MFC.PR.B Insurance Straight Quote: 19.12 – 19.80
Spot Rate : 0.6800
Average : 0.5350

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.14 %

BN.PR.K Floater Quote: 11.36 – 11.76
Spot Rate : 0.4000
Average : 0.2607

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 10.86 %

BRF.PR.C To Reset At 6.519%

July 2nd, 2024

Brookfield Renewable Partners L.P. has announced:

that Brookfield Renewable Power Preferred Equity Inc. (“BRP Equity”) has determined the fixed dividend rate on its Class A Preference Shares, Series 3 (“Series 3 Shares”) (TSX: BRF.PR.C) for the five years commencing August 1, 2024 and ending July 31, 2029.

Series 3 Shares and Series 4 Shares

If declared, the fixed quarterly dividends on the Series 3 Shares during the five years commencing August 1, 2024 will be paid at an annual rate of 6.519% ($0.4074375 per share per quarter).

Holders of Series 3 Shares have the right, at their option, exercisable not later than 5:00 p.m. (Toronto time) on July 16, 2024, to convert all or part of their Series 3 Shares, on a one-for-one basis, into Class A Preference Shares, Series 4 (the “Series 4 Shares”), effective July 31, 2024.

The quarterly floating rate dividends on the Series 4 Shares will be paid at an annual rate, calculated for each quarter, of 2.940% over the annual yield on three-month Government of Canada treasury bills. The actual quarterly dividend in respect of the August 1, 2024 to October 31, 2024 dividend period for the Series 4 Shares, if declared, will be $0.478840 per share, payable on October 31, 2024.

Holders of Series 3 Shares are not required to elect to convert all or any part of their Series 3 Shares into Series 4 Shares.

As provided in the share conditions of the Series 3 Shares, (i) if BRP Equity determines that there would be fewer than 1,000,000 Series 3 Shares outstanding after July 31, 2024, all remaining Series 3 Shares will be automatically converted into Series 4 Shares on a one-for-one basis effective July 31, 2024; and (ii) if BRP Equity determines that there would be fewer than 1,000,000 Series 4 Shares outstanding after July 31, 2024, no Series 3 Shares will be permitted to be converted into Series 4 Shares. There are currently 10,000,000 Series 3 Shares outstanding.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 4 Shares effective upon conversion. Listing of the Series 4 Shares is subject to BRP Equity fulfilling all the listing requirements of the TSX and, upon approval, the Series 4 Shares will be listed on the TSX under the trading symbol “BRF.PR.D”.

BRF.PR.C was issued as a FixedReset, 4.40%+294, that commenced trading 2010-10-11 after being announced 2010-10-1. The issue reset at 4.351% effective 2019-8-1. I recommended against conversion and there was no conversion. The issue has been tracked by HIMIPref™, but assigned to the Scraps – FixedReset (Discount) subindex on credit concerns.

Thanks to Assiduous Readers niagara and CanSiamCyp for bringing this to my attention!

July 2, 2024

July 2nd, 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 0.4926 % 2,139.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4926 % 4,104.2
Floater 10.84 % 10.96 % 69,153 8.86 2 0.4926 % 2,365.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1523 % 3,468.7
SplitShare 4.82 % 6.79 % 32,922 1.27 6 0.1523 % 4,142.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1523 % 3,232.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.6423 % 2,670.4
Perpetual-Discount 6.45 % 6.63 % 54,155 12.96 28 0.6423 % 2,912.0
FixedReset Disc 5.20 % 7.39 % 119,036 12.06 49 0.5087 % 2,599.6
Insurance Straight 6.20 % 6.39 % 58,063 13.38 21 -0.0119 % 2,878.3
FloatingReset 9.40 % 9.27 % 35,909 10.18 4 0.8793 % 2,748.8
FixedReset Prem 5.81 % 6.40 % 256,474 3.01 8 0.3215 % 2,542.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5087 % 2,657.3
FixedReset Ins Non 5.27 % 7.01 % 97,537 12.93 14 -1.8571 % 2,698.6
Performance Highlights
Issue Index Change Notes
MFC.PR.M FixedReset Ins Non -22.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 8.96 %
PWF.PR.P FixedReset Disc -6.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.65 %
IFC.PR.A FixedReset Ins Non -4.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 7.48 %
TD.PF.D FixedReset Disc -4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 22.51
Evaluated at bid price : 23.00
Bid-YTW : 6.78 %
BN.PF.J FixedReset Disc -3.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 7.67 %
CCS.PR.C Insurance Straight -3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.67 %
GWO.PR.N FixedReset Ins Non -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 8.07 %
PWF.PR.L Perpetual-Discount -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.82 %
MFC.PR.N FixedReset Ins Non -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.42 %
SLF.PR.E Insurance Straight -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.07 %
MFC.PR.C Insurance Straight -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.08 %
POW.PR.G Perpetual-Discount -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.83 %
MFC.PR.B Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.14 %
PVS.PR.J SplitShare -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 6.79 %
IFC.PR.F Insurance Straight -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 6.18 %
CM.PR.P FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 22.80
Evaluated at bid price : 23.51
Bid-YTW : 6.15 %
FFH.PR.I FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.35 %
IFC.PR.I Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.83
Evaluated at bid price : 22.10
Bid-YTW : 6.14 %
PWF.PR.E Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.64 %
IFC.PR.E Insurance Straight 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.36 %
FFH.PR.E FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 8.25 %
PWF.PR.H Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.82
Evaluated at bid price : 22.06
Bid-YTW : 6.64 %
FFH.PR.J FloatingReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 9.94 %
BN.PF.C Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 6.92 %
PWF.PR.Z Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.57 %
BN.PR.M Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.75 %
NA.PR.W FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.56
Evaluated at bid price : 21.91
Bid-YTW : 6.68 %
GWO.PR.G Insurance Straight 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.54 %
RY.PR.N Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 23.57
Evaluated at bid price : 23.85
Bid-YTW : 5.19 %
FFH.PR.D FloatingReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 9.27 %
GWO.PR.P Insurance Straight 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 6.54 %
BN.PR.X FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 7.90 %
SLF.PR.H FixedReset Ins Non 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.04 %
BN.PR.T FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 8.59 %
GWO.PR.I Insurance Straight 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 6.33 %
POW.PR.D Perpetual-Discount 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.60 %
PWF.PR.G Perpetual-Discount 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 22.55
Evaluated at bid price : 22.81
Bid-YTW : 6.59 %
FTS.PR.M FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 7.71 %
FFH.PR.C FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.53
Evaluated at bid price : 21.53
Bid-YTW : 7.85 %
PWF.PR.R Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.64 %
PVS.PR.K SplitShare 1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 6.39 %
BN.PR.N Perpetual-Discount 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.85 %
GWO.PR.Q Insurance Straight 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.56 %
FTS.PR.K FixedReset Disc 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 7.33 %
CU.PR.C FixedReset Disc 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.39 %
PWF.PR.K Perpetual-Discount 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.65 %
FFH.PR.K FixedReset Disc 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.86 %
BIP.PR.E FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.88
Evaluated at bid price : 22.25
Bid-YTW : 7.51 %
TD.PF.I FixedReset Prem 2.91 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 5.38 %
BN.PF.F FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 8.05 %
MFC.PR.F FixedReset Ins Non 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 7.07 %
BN.PF.E FixedReset Disc 4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 8.14 %
CM.PR.Q FixedReset Disc 7.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 23.21
Evaluated at bid price : 23.74
Bid-YTW : 6.50 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 95,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 23.60
Evaluated at bid price : 24.45
Bid-YTW : 6.00 %
CM.PR.O FixedReset Disc 95,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.88 %
RY.PR.N Perpetual-Discount 25,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 23.57
Evaluated at bid price : 23.85
Bid-YTW : 5.19 %
RY.PR.S FixedReset Disc 17,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 23.16
Evaluated at bid price : 24.91
Bid-YTW : 6.00 %
BN.PR.N Perpetual-Discount 17,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.85 %
MFC.PR.F FixedReset Ins Non 15,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 7.07 %
There were 2 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Ins Non Quote: 16.67 – 21.70
Spot Rate : 5.0300
Average : 3.0283

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 8.96 %

CU.PR.E Perpetual-Discount Quote: 19.10 – 21.96
Spot Rate : 2.8600
Average : 1.7360

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.51 %

BN.PF.J FixedReset Disc Quote: 21.70 – 23.20
Spot Rate : 1.5000
Average : 0.9985

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 7.67 %

TD.PF.D FixedReset Disc Quote: 23.00 – 24.48
Spot Rate : 1.4800
Average : 0.9819

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 22.51
Evaluated at bid price : 23.00
Bid-YTW : 6.78 %

EIT.PR.A SplitShare Quote: 24.95 – 25.95
Spot Rate : 1.0000
Average : 0.5490

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2024-08-01
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 10.19 %

PWF.PR.P FixedReset Disc Quote: 14.08 – 15.50
Spot Rate : 1.4200
Average : 0.9949

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.65 %

EQB To Issue LRCNs? Implications for EQB.PR.C Unclear

July 2nd, 2024

Come one, come all! No bank too small!

DBRS has announced that it:

assigned provisional credit ratings of BB to EQB Inc.’s (EQB or the Group) Limited Recourse Capital Notes (Capital Notes) and Pfd-3 (low) to the non-cumulative Preferred Shares. Both trends are Stable.

Morningstar DBRS assigned the provisional credit ratings using EQB Inc.’s (EQB) Long-Term Issuer Rating of BBB with a Stable trend as the starting point, and then applied our standard three notches for both capital instruments. Morningstar DBRS notes that since the Capital Notes would convert to non-NVCC preferred shares, the issuance is being viewed similar to a preferred share issuance.

CREDIT RATING DRIVERS
The credit ratings of the securities will move in tandem with EQB’s Long-Term Issuer Rating. Over the longer term, Morningstar DBRS would upgrade EQB’s Long-Term Issuer Rating if EQB, together with Equitable Bank, were to progress in diversifying funding sources, particularly through more stable direct-to-consumer channels, and revenue, through higher noninterest income, while maintaining sound asset quality.

Conversely, a downgrade of EQB’s Long-Term Issuer Rating would result in a downgrade of the securities’ credit ratings. Morningstar DBRS would downgrade the Group’s Long-Term Issuer Rating if there were significant losses in the loan portfolio as a result of unforeseen weakness in underwriting and/or risk management, disproportionate growth in commercial originations that weaken the risk profile, or substantive funding pressure caused by deposit outflows.

CREDIT RATING RATIONALE

Franchise Combined Building Block (BB) Assessment: Good/Moderate

Earnings Combined Building Block (BB) Assessment: Good/Moderate

Risk Combined Building Block (BB) Assessment: Strong/Good

Funding and Liquidity Combined Building Block (BB) Assessment: Moderate

Capitalization Combined Building Block (BB) Assessment: Good

I can’t find anything about this (potential?) issue on the company website or the sadly mis-named SEDAR+.

But it’s worth mentioning because EQB has a preferred issue outstanding: EQB.PR.C, which remains unrated.

EQB.PR.C was issued as a FixedReset, 6.35%+478 in the summer of 2014. It will next reset effective 2024-09-30.

As I wrote at the time:

This issue is unrated and will not be tracked by HIMIPref™. This is not because I worship the Credit Rating Agencies and am unable to do anything without them; it is because I feel that a public announcement by the CRAs of imminent downgrades do an admirable job of concentrating the minds of management and the directors on fixing the problem. Such announcements by Hymas Investment Management Inc. or Joe Blogger do not carry the same weight.

Update, 2024-7-9: DBRS that it (puzzling bit bolded):

assigned a final credit rating of BB to EQB Inc.’s (EQB or the Group) Limited Recourse Capital Notes (Capital Notes) and a credit rating of Pfd-3 (low) to the non-cumulative Preferred Shares. Both trends are Stable.

Morningstar DBRS assigned the credit ratings using EQB Inc.’s (EQB) Long-Term Issuer Rating of BBB with a Stable trend as the starting point, and then applied our standard three notches for both capital instruments. Morningstar DBRS notes that since the Capital Notes would convert to non-NVCC preferred shares, the issuance is being viewed similar to a preferred share issuance.

On July 9, 2024, EQB issued $150 million of Capital Notes that mature on October 31, 2084, and will have an initial five-year fixed rate of 8%.

CREDIT RATING DRIVERS
The credit ratings of the securities will move in tandem with EQB’s Long-Term Issuer Rating. Over the longer term, Morningstar DBRS would upgrade EQB’s Long-Term Issuer Rating if EQB, together with Equitable Bank, continues to progress in diversifying funding sources, particularly through more stable direct-to-consumer channels, and revenue, through higher noninterest income, while maintaining sound asset quality.

Conversely, a downgrade of EQB’s Long-Term Issuer Rating would result in a downgrade of the securities. Morningstar DBRS would downgrade the Group’s Long-Term Issuer Rating if there are significant losses in the loan portfolio as a result of unforeseen weakness in underwriting and/or risk management, disproportionate growth in commercial originations that weaken the risk profile, or substantive funding pressure caused by deposit outflows.

Franchise Combined Building Block (BB) Assessment: Good/Moderate

Earnings Combined Building Block (BB) Assessment: Good/Moderate

Risk Combined Building Block (BB) Assessment: Strong/Good

Funding and Liquidity Combined Building Block (BB) Assessment: Moderate

Capitalization Combined Building Block (BB) Assessment: Good

I was puzzled over the idea that the underlying preferred shares were non-NVCC, since that did not align with my understanding of the rules – which are that the LRCNs must be backed by Tier 1 capital.

My understanding is, fortunately, confirmed by OSFI:

Issue #2: Given the fixed maturity date of the LRCNs in year 60, do the LRCNs satisfy the CAR Guideline requirement that Additional Tier 1 instruments be perpetualFootnote5?

LRCN noteholders’ recourse is limited to perpetual Tier 1-qualifying instruments – Bank preferred shares or common shares – in all circumstances, including at maturity of the notes in year 60. OSFI concluded that the LRCN structure is perpetual based on its economic substance and consideration of the structure holistically rather than its component instruments.

It’s further confirmed by DBRS:

— In a situation where default is imminent, insurance LRCN investors will rank pari passu to preferred shareholders. Bank LRCNs will see a conversion to common shares in a manner that maintains the credit hierarchy and where LRCN investors are expected to rank in priority to common shareholders.

The supporting document adds a tiny amount of flesh to the bare bones quoted above:

Additionally, on March 20, 2023, OSFI reinforced that for banks deemed non-viable and where OSFI triggers conversion, its “capital guidelines require AT1 and Tier 2 capital instruments to be converted into common shares in a manner that respects the hierarchy of claims in liquidation.” [Footnote reference to OSFI. OSFI reinforces guidance on Additional Tier 1 and Tier 2 Capital Instruments. March 20, 2023. https://www.osfi-bsif.gc.ca/Eng/osfibsif/med/Pages/at1t2.aspx] The conversion is done at a pre-established equity conversion multiplier that results in a more favourable outcome for investors of AT1 securities compared with common shareholders, who would experience material dilution as they are first to bear losses. If Canadian authorities choose not to trigger NVCC in the event that a bank has, or is about to, become non-viable, that bank’s LRCN investors are expected to rank in priority to common shareholders in a liquidation scenario where there may be losses.

In the event that a Canadian financial institution finds itself in a situation where default is imminent in the absence of support and the trigger point(s) has been reached, LRCN holders are expected to fare better than common shareholders but worse than holders of subordinated and senior debt (NVCC subordinated and bail-inable senior debt for banks), with the credit hierarchy being maintained. Unlike LRCNs, Credit Suisse’s AT1s were designed to experience a total loss in the event of a non-viability trigger, as determined by the Swiss regulator, even if the common shares retained value. This approach is different from the one used in the rest of Europe, the UK, and Canada, as recently confirmed by their local banking regulators.

So how do we square this circle? If you fight your way through the idiotic search system on the sadly mis-named Sedar+ you can find a document with the following characteristics: EQB Inc. (formerly Equitable Group Inc.) / EQB Inc. (formerly Equitable Group Inc.) (000020356) Marketing materials (other than specified derivative) – English.pdf 02 Jul 2024 21:19 EDTJuly 02 2024 at 21:19:17 Eastern Daylight Time Ontario 202 KB Generate URL. This is an “indicative term sheet” with most of the good stuff (like payment rates, issue size…) redacted; but it’s titled “EQB Inc. ●% Limited Recourse Capital Notes, Series 1 (Subordinated Indebtedness) Indicative Term Sheet”.

So that’s the answer: the reason that the underlying prefs can be non-NVCC is that the LRCN wrapper is because the LRCN is not the Tier 1 Capital we all know and love. It’s sub-debt, Tier 2. Added 2024-7-10: Wait a minute! It’s not Tier 2 either, because Tier 2 also has to be NVCC (albeit it converts on better terms that Tier 1). So it’s just sub-debt

Update, 2024-7-10: The plot thickens! EQB has announced (about time, EQB!):

the offering of $150 million 8.000% Limited Recourse Capital Notes, Series 1 (Subordinated Indebtedness) (the “LRCNs”) in Canada. EQB Inc. is the 100% owner of Equitable Bank (the “Bank”), a Schedule 1 bank regulated by the Office of the Superintendent of Financial Institutions Canada.

The LRCNs will bear interest at 8.000% annually, payable semi-annually, for the initial period ending on, but excluding, October 31, 2029. Thereafter, the interest rate on the LRCNs will reset every five years at a rate equal to the prevailing 5-year Government of Canada Yield plus 4.548%. The LRCNs will mature on October 31, 2084. The expected closing date of the offering of the LRCNs is July 16, 2024. LRCNs issued by EQB Inc. are not characterized as Non-Viability Contingent Capital (NVCC).

The total order book was oversubscribed by more than 4x times and approximately one-quarter of the 25+ investors were new to the group’s debt platform. “The overwhelming response to our inaugural LRCN issuance is a testament to investors’ belief in EQB’s challenger ethos as we drive change in Canadian banking to enrich people’s lives,” said Chadwick Westlake, chief financial officer, EQB Inc. “This issuance increases the depth and sophistication of our capital stack, and the high level of capital markets interest underscores the unique role we play in the Canadian banking landscape. This issuance further strengthens our balance sheet as we continue to create long-term value for our shareholders.”

In connection with the issuance of the LRCNs, EQB Inc. will issue Non-Cumulative 5-Year Fixed Rate Reset Preferred Shares, Series 5 (the “Series 5 Shares”), to be held by Computershare Trust Company of Canada, as trustee of EQB LRCN Limited Recourse Trust (the “Limited Recourse Trust”). In the case of non-payment of interest on or principal of the LRCNs when due, the recourse of each LRCN holder will be limited to that holder’s proportionate share of the Limited Recourse Trust’s assets held in respect of the LRCNs, which will consist of the Series 5 Shares, except in limited circumstances.

The LRCNs may be redeemed during the period from September 30 to and including October 31, 2029, and every five years thereafter, in whole or in part on not less than 10 nor more than 60 days’ prior notice, provided that the Bank elects to complete and has obtained receipt of all necessary regulatory approvals relating to a redemption of the same number of Bank Notes (as defined below).

The gross proceeds from the sale of the LRCNs will be used by EQB Inc. to acquire $150 million 8.001% Limited Recourse Capital Notes, Series 1 (Non-Viability Contingent Capital (NVCC)) (Subordinated Indebtedness) of the Bank (the “Bank Notes”). The Bank Notes are intended to qualify as additional Tier 1 capital of the Bank within the meaning of the regulatory capital adequacy requirements to which the Bank is subject. The proceeds to the Bank from the sale of the Bank Notes will be added to the Bank’s general funds and will be utilized for general banking purposes, which may include the redemption of outstanding capital securities of the Bank, and/or the repayment of other outstanding liabilities of the Bank.

The LRCNs will be offered by way of a prospectus supplement to EQB Inc.’s short form base shelf prospectus dated July 25, 2022, to be filed on or about July 9, 2024, with the securities commissions and other similar regulatory authorities in each of the provinces and territories of Canada.

Access to the prospectus supplement, the corresponding base shelf prospectus and any amendment thereto in connection with the offering of the LRCNs is provided in accordance with securities legislation relating to procedures for providing access to a shelf prospectus supplement, a base shelf prospectus and any amendment thereto.

An electronic or paper copy of the shelf prospectus supplement, the corresponding base shelf prospectus and any amendment to the documents may be obtained, without charge, from National Bank Financial Inc. by email at syndicate-corp@nbc.ca, BMO Nesbitt Burns Inc. by email at DCMCADSyndicateDesk@bmo.com, CIBC World Markets Inc. by phone at 416-594-8515 or email at Mailbox.CIBCDebtSyndication@cibc.com or Scotia Capital Inc. by email at syndicate.toronto@scotiabank.com.

So I don’t know. This states that the proceeds from these newly issued sort-of-LRCNs will be funnelled down to the bank via the bank’s own 8.001% LRCNs, which are “intended to qualify as additional Tier 1 capital of the Bank” although they rather oddly insist on calling them “(Subordinated Indebtedness)”. There will therefore be no net cash retained at the holdco level, which means that the question regarding what is going to happen with EQB.PR.C (issued by the holdco) is still up in the air.

I’m not sure what’s going on. One of the subsidiaries, Concentra Bank, has two series of preferred shares outstanding, on the books for $110-million (2023 Annual Report, page 144 of PDF, and (page 91 of PDF):

EQB has a 100% ownership interest in Equitable Bank. Equitable Bank is the parent company of its wholly owned subsidiaries, Equitable Trust, Concentra Bank, Concentra Trust, Bennington Financial Services, EQB Covered Bond (Legislative) GP Inc., and EQB Covered Bond (Legislative) Guarantor Limited Partnership. All these subsidiaries have been consolidated in the consolidated financial statements of EQB as at October 31, 2023.

Equitable Bank has $72-million of preferred shares issued (page 46 of PDF) but I can’t, after an admittedly very brief look through the Annual Report, find any mention of what they are. I suspect that these might be all issued to the holdco, which has funded this purchase with the EQB.PR.C issue, but who knows? This suspected issue of the Bank, held entirely by the holdco, would disappear on consolidation, but then I don’t know why the Concentra issues wouldn’t show up on page 46 of the Annual Report.

It’s all very confusing and since I have no intention of holding, or even following the issue, I’m going to leave explanations of how the bookkeeping works as an exercise for the student.

Thanks to Assiduous Reader cwrea for bringing the CWB press release to my attention!

MAPF Performance: June, 2024

June 30th, 2024

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

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

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

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

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

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

Returns to June 28, 2024
Period MAPF TXPR*
Total Return
CPD – according to Blackrock
One Month -1.57% -0.02% N/A
Three Months +4.29% +4.17% N/A
One Year +30.03% +20.75% +19.97%
Two Years (annualized) +8.48% +4.84% N/A
Three Years (annualized) +3.23% +1.14% +0.60%
Four Years (annualized) +17.10% +9.04% N/A
Five Years (annualized) +9.71% +5.57% +4.97%
Six Years (annualized) +4.64% +2.91% N/A
Seven Years (annualized) +5.62% +3.24% N/A
Eight Years (annualized) +8.38% +5.18% N/A
Nine Years (annualized) +5.66% +3.41% N/A
Ten Years (annualized) +4.37% +2.28% +1.77%
Eleven Years (annualized) +4.69% +2.38%  
Twelve Years (annualized) +4.81% +2.39%  
Thirteen Years (annualized) +4.42% +2.51%  
Fourteen Years (annualized) +5.44% +3.13%  
Fifteen Years (annualized) +6.40% +3.55%  
Sixteen Years (annualized) +8.35% +3.34%  
Seventeen Years (annualized) +7.55% +2.75%  
Eighteen Years (annualized) +7.42%    
Nineteen Years (annualized) +7.27%    
Twenty Years (annualized) +7.40%    
Twenty-One Years (annualized) +7.98%    
Twenty-Two Years (annualized) +7.94%    
Twenty-Three Years (annualized) +8.26%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The BMO Capital Markets “50” Preferred Share Index is no longer being calculated. The final performance report incorporating this venerable index was published as of December, 2020.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
Figures for NBI Preferred Equity Income Fund, Series F [NBC780] (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are +0.54%, +4.16% and +22.86%, respectively, according to National Bank Investments after all fees & expenses. Three year performance is +1.99%; five year is +7.42%; ten year is +4.08%.

Figures from Morningstar are no longer conveniently available.

Manulife Preferred Income Class Adv has been terminated by Manulife. The performance of this fund was last reported here in March, 2018.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are +0.19%, +4.53% & +25.23%, respectively. Three year performance is +2.47%, five-year is +7.24%, ten year is +3.33%
Figures for NBI Preferred Equity Fund Series F [NBC710] (formerly Altamira Preferred Equity Fund) are +0.00%, +4.49% and +26.64% for one-, three- and twelve months, respectively. Three year performance is +2.85%; five-year is +7.60%; ten-year is +3.48%

Acccording to the fund’s fact sheet as of June 30, 2016, the fund’s inception date was October 30, 2015. I do not know how they justify this nonsensical statement, but will assume that prior performance is being suppressed in some perfectly legal manner that somebody at National considers ethical.

The last time Altamira Preferred Equity Fund’s performance was reported here was April, 2014; performance under the National Bank banner was first reported here May, 2014.

The figures for the NAV of BMO Laddered Preferred Share Index ETF (ZPR) is +23.58% for the past twelve months. Two year performance is +5.79%, three year is +2.26%, five year is +6.85%, ten year is +1.83%

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

Figures for Fiera Canadian Preferred Share Class Cg Series F, (formerly Natixis Canadian Preferred Share Class Series F) (formerly NexGen Canadian Preferred Share Tax Managed Fund) are no longer available as the Fund is now the property of Canoe Financial. The last reported performance for the merged fund was May 2020.
Figures for BMO Preferred Share Fund (advisor series) according to Morningstar are +0.04%, +1.46% and +16.48% for the past one-, three- and twelve-months, respectively. Three year performance is -1.31%; five-year is +3.37%; ten-year is +0.23%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are no longer available since the fund has been terminated. Performance was last reported for the fund to month-end, March 2023
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR).

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

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

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

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

The situation with FixedResets is interesting, with the spread between GOC-5 and the interest-adjusted FixedReset (Discount) rate widening significantly (despite recent narrowing) from its 2021-11-10 low of 344bp to a level of 584bp (as of 2024-6-28) … (chart end-date 2024-06-14):

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

There is no significant correlation between the Issue Reset Spread and 1-month performance for discounted FixedResets for either the Pfd-2 or Pfd-3 Group issues.

There is no significant correlation between the Issue Reset Spread and 3-month performance for discounted FixedResets for either the Pfd-2 or Pfd-3 Group issues.

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

… and we see similar behaviour for three-month returns vs. Term to Reset, with no correlation for either the Pfd-2 Group or the Pfd-3 Group:

It should be noted that to some extent a dependence (of performance on term-to-reset) can be justified as the nearer-term issues will receive the benefit of higher projected dividend rates sooner as a result of higher GOC-5 yields and therefore, perhaps, for longer. Equations for the relationship between correlation slope and change in GOC-5 were derived in the August 2022 PrefLetter.

Upwards-sloping correlations of Performance vs. Term are to be expected when GOC-5 declines.

I keep talking about ‘Sustainable Income’ and nowadays it’s far higher than the dividends that are currently being distributed. This is because Sustainable Income is the average yield-to-worst (YTW) of the portfolio when the YTW is calculated to perpetuity (or to redemption, of course, if the yield to redemption is lower), including resets at the current GOC-5 rate. The sharp increase in GOC-5 in the past few years has caused the difference between YTW and Current Yield to skyrocket, but one way or another I expect that these two values will become much closer – slowly at first, but quickening in the fairly near future. We have to wait for the reset date of the MAPF portfolio securities before we see a change in actual cash receipts – and, of course, there is no guarantee whatsoever that the rate used for estimation purposes now will be used for the actual calculation in the future (chart prepared as of 2024-6-14).

I will note that the fund’s current holdings of FixedResets are now paying dividends based on their previous reset at an average GOC-5 rate of 1.70% (weighted by shares held).

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

The same reasoning is also applied to FixedResets from these issuers, other than explicitly defined NVCC from banks.

In November, 2019, the assumption of DeemedRetraction for insurance issues was cancelled in the wake of the IAIS decision included in ICS 2.0. This resulted in a large drop in the yield calculated for these issues

The Deemed Maturity date for insurers was set at 2022-1-31 at the commencement of the process in February, 2011. It was extended to 2025-1-31 in April, 2013 and to 2030-1-31 in December, 2018. In November, 2019, the assumption of DeemedRetraction was cancelled in the wake of the IAIS decision included in ICS 2.0.
Yields for September, 2011, to January, 2012, were calculated by imposing a cap of 10% on the yields of YLO issues held, in order to avoid their extremely high calculated yields distorting the calculation and to reflect the uncertainty in the marketplace that these yields will be realized. From February to September 2012, yields on these issues have been set to zero. All YLO issues held were sold in October 2012.

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

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

MAPF Portfolio Composition: June, 2024

June 30th, 2024

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

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

MAPF Sectoral Analysis 2024-6-28
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 0% N/A N/A
Interest Rearing 0% N/A N/A
PerpetualPremium 0% N/A N/A
PerpetualDiscount 9.4% 6.88% 12.66
Fixed-Reset Discount 49.0% 7.42% 12.36
Insurance – Straight 16.5% 6.19% 13.67
FloatingReset 0% N/A N/A
FixedReset Premium 0% N/A N/A
FixedReset Bank non-NVCC 0% N/A N/A
FixedReset Insurance non-NVCC 9.4% 6.98% 13.21
Scraps – Ratchet 1.2% 11.12% 9.29
Scraps – FixedFloater 0% N/A N/A
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 3.3% 7.12% 2.80
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 11.0% 8.98% 10.73
Scraps – Insurance Straight 0% N/A N/A
Scraps – FloatingReset 0% N/A N/A
Scraps – FR Premium 0% N/A N/A
Scraps – Bank non-NVCC 0% N/A N/A
Scraps – Ins non-NVCC 0% N/A N/A
Cash +0.1% 0.00% 0.00
Total 100% 7.32% 12.14
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
The various “Scraps” indices include issues with a DBRS rating of Pfd-3(high) or lower and issues with an Average Trading Value (calculated with HIMIPref™ methodology, which is relatively complex) of less than $25,000. The issues considered “Scraps” are subdivided into indices which reflect those of the main indices.
DeemedRetractibles were comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 in the case of banks or normally in the case of insurers and insurance holding companies, in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis and IAIS Says No To DeemedRetractions for the recent change in policy with respect to insurers.

Note that the estimate for the time this will become effective for insurers and insurance holding companies was extended by three years in April 2013, due to the delays in OSFI’s providing clarity on the issue and by a further five years in December, 2018; the estimate was eliminated in November. However, the distinctions are being kept because it is useful to distinguish insurance issues from others.

The name of this subindex has been changed to “Insurance Straight” as of November, 2020

Calculations of yield and related attributes of resettable instruments are performed assuming a constant GOC-5 rate of 3.41%, a constant 3-Month Bill rate of 4.71% and a constant Canada Prime Rate of 6.95%

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

Credit distribution is:

MAPF Credit Analysis 2024-06-28
DBRS Rating MAPF Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 37.0%
Pfd-2 27.2%
Pfd-2(low) 20.2%
Pfd-3(high) 8.8%
Pfd-3 3.2%
Pfd-3(low) 3.3%
Pfd-4(high) 0.2%
Pfd-4 0%
Pfd-4(low) 0%
Pfd-5(high) 0%
Pfd-5 0%
Cash +0.1%
Totals will not add precisely due to rounding.
A position held in INE.PR.A is not rated by DBRS nor by S&P, but has been included as “Pfd-4(high)” in the above table on the basis of its last S&P rating of P-4(high) and its BB rating from Fitch. A “BB” rating would normally map to Pfd-3, but the company’s disdain for the two major preferred share agencies makes me nervous.

Liquidity Distribution is:

MAPF Liquidity Analysis 2024-06-28
Average Daily Trading MAPF Weighting
<$50,000 4.1%
$50,000 – $100,000 44.8%
$100,000 – $200,000 19.7%
$200,000 – $300,000 12.2%
>$300,000 19.0%
Cash +0.1%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

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

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

Range MAPF Weight
Currently Floating 2.2%
0-1 Year 17.2%
1-2 Years 10.6%
2-3 Years 26.2%
3-4 Years 8.9%
4-5 Years 6.6%
5-6 Years 0%
>6 Years 0%
Not Floating Rate 28.4%

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

ENB Upgraded to Pfd-2(low) by DBRS

June 28th, 2024

DBRS Limited has announced that it:

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

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

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

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

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

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

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

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

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

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

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

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

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

June 28, 2024

June 28th, 2024

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

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

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

Five-year Canada yields were up to 3.55%.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.4464 % 2,129.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4464 % 4,084.1
Floater 10.91 % 11.05 % 69,163 8.81 1 -0.4464 % 2,353.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1184 % 3,463.4
SplitShare 4.86 % 6.80 % 28,284 1.58 7 -0.1184 % 4,136.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1184 % 3,227.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1590 % 2,653.4
Perpetual-Discount 6.49 % 6.68 % 54,599 12.96 28 0.1590 % 2,893.4
FixedReset Disc 5.16 % 7.16 % 120,240 12.22 49 -0.1369 % 2,586.4
Insurance Straight 6.30 % 6.44 % 58,705 13.32 20 -0.0531 % 2,878.6
FloatingReset 9.30 % 9.38 % 35,981 10.10 3 2.9359 % 2,724.9
FixedReset Prem 6.35 % 6.34 % 242,034 3.98 7 -0.0734 % 2,534.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1369 % 2,643.8
FixedReset Ins Non 5.17 % 6.71 % 101,427 13.10 14 0.5578 % 2,749.7
Performance Highlights
Issue Index Change Notes
CM.PR.Q FixedReset Disc -6.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 21.62
Evaluated at bid price : 22.02
Bid-YTW : 6.77 %
MFC.PR.F FixedReset Ins Non -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.03 %
MFC.PR.N FixedReset Ins Non -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 6.97 %
PWF.PR.K Perpetual-Discount -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.81 %
BN.PR.T FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 8.45 %
GWO.PR.P Insurance Straight -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.64 %
BN.PF.E FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 8.18 %
FTS.PR.K FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.30 %
NA.PR.W FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.53 %
PVS.PR.K SplitShare -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.68
Bid-YTW : 6.80 %
POW.PR.D Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.70 %
BN.PR.R FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.36 %
BN.PF.G FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 8.18 %
GWO.PR.G Insurance Straight -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 6.63 %
BMO.PR.T FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.42
Evaluated at bid price : 24.50
Bid-YTW : 5.75 %
SLF.PR.D Insurance Straight -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 6.01 %
FFH.PR.M FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.31
Evaluated at bid price : 23.95
Bid-YTW : 7.60 %
RY.PR.O Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.21
Evaluated at bid price : 23.50
Bid-YTW : 5.26 %
IFC.PR.C FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.97 %
MIC.PR.A Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.07 %
SLF.PR.H FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.91 %
MFC.PR.Q FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 22.49
Evaluated at bid price : 23.26
Bid-YTW : 6.43 %
BN.PF.I FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 22.24
Evaluated at bid price : 22.65
Bid-YTW : 7.63 %
BIP.PR.F FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.74 %
SLF.PR.G FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 6.73 %
FFH.PR.I FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 8.17 %
BN.PF.H FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.17
Evaluated at bid price : 23.60
Bid-YTW : 7.75 %
MFC.PR.M FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 6.67 %
SLF.PR.E Insurance Straight 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 5.91 %
TD.PF.A FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.62
Evaluated at bid price : 24.45
Bid-YTW : 5.77 %
PWF.PR.L Perpetual-Discount 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.62 %
IFC.PR.A FixedReset Ins Non 4.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.89 %
SLF.PR.J FloatingReset 8.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 8.73 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.C FixedReset Prem 24,687 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.45
Evaluated at bid price : 25.40
Bid-YTW : 6.82 %
GWO.PR.T Insurance Straight 21,186 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 6.56 %
RY.PR.S FixedReset Disc 20,085 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.12
Evaluated at bid price : 24.80
Bid-YTW : 5.86 %
TD.PF.B FixedReset Disc 19,873 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.90 %
RY.PR.H FixedReset Disc 17,360 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 5.38 %
RY.PR.J FixedReset Disc 15,601 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.35
Evaluated at bid price : 23.93
Bid-YTW : 6.27 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 22.02 – 24.00
Spot Rate : 1.9800
Average : 1.1129

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

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

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

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

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

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

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

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

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

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

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

IAF.PR.B To Be Redeemed

June 27th, 2024

Industrial Alliance Insurance and Financial Services Inc. has announced:

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

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

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

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

June 27, 2024

June 27th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

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

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

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

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

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

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

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

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

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

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

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

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