PrefBlog

PerpetualDiscounts now yield 6.00%, equivalent to 7.80% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.93% on 2024-10-11 and since then the closing price of ZLC has changed from 15.25 to 15.47, a total return of +1.44%, implying a decrease of yields of 12bp (BMO reports a duration of 12.44, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.81%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 300bp from the 295bp reported October 9.

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	0.0213 %	2,149.3
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0213 %	4,122.3
Floater	9.60 %	10.16 %	37,635	9.42	4	0.0213 %	2,375.7
OpRet	0.00 %	0.00 %	0	0.00	0	0.0250 %	3,604.3
SplitShare	4.79 %	5.20 %	42,028	1.31	8	0.0250 %	4,304.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0250 %	3,358.4
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	0.2604 %	2,899.9
Perpetual-Discount	5.93 %	6.00 %	51,633	13.88	31	0.2604 %	3,162.2
FixedReset Disc	5.53 %	6.88 %	120,084	12.52	58	0.1147 %	2,661.1
Insurance Straight	5.79 %	5.85 %	58,645	14.13	20	0.3920 %	3,123.8
FloatingReset	7.94 %	8.04 %	26,043	11.33	1	0.9589 %	2,799.8
FixedReset Prem	6.46 %	5.72 %	204,607	13.57	7	0.0894 %	2,562.4
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	0.1147 %	2,720.2
FixedReset Ins Non	5.21 %	6.20 %	92,554	13.65	14	0.5993 %	2,819.2

Performance Highlights
Issue	Index	Change	Notes
TD.PF.E	FixedReset Disc	-3.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 22.12 Evaluated at bid price : 22.79 Bid-YTW : 6.24 %
CU.PR.C	FixedReset Disc	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 20.33 Evaluated at bid price : 20.33 Bid-YTW : 6.72 %
PWF.PR.L	Perpetual-Discount	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.10 %
CCS.PR.C	Insurance Straight	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 21.44 Evaluated at bid price : 21.70 Bid-YTW : 5.80 %
IFC.PR.A	FixedReset Ins Non	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 6.57 %
IFC.PR.G	FixedReset Ins Non	1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 22.85 Evaluated at bid price : 23.93 Bid-YTW : 5.93 %
ENB.PR.A	Perpetual-Discount	1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 23.03 Evaluated at bid price : 23.30 Bid-YTW : 5.98 %
GWO.PR.I	Insurance Straight	1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 5.73 %
ENB.PF.G	FixedReset Disc	2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 7.99 %
ENB.PF.K	FixedReset Disc	2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 22.11 Evaluated at bid price : 22.55 Bid-YTW : 6.97 %
BN.PF.I	FixedReset Disc	2.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 22.14 Evaluated at bid price : 22.45 Bid-YTW : 7.41 %
SLF.PR.C	Insurance Straight	3.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 20.63 Evaluated at bid price : 20.63 Bid-YTW : 5.45 %
GWO.PR.T	Insurance Straight	3.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 22.00 Evaluated at bid price : 22.00 Bid-YTW : 5.91 %
SLF.PR.H	FixedReset Ins Non	6.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 6.40 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CU.PR.D	Perpetual-Discount	108,566	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 20.26 Evaluated at bid price : 20.26 Bid-YTW : 6.15 %
CM.PR.S	FixedReset Disc	91,810	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 24.86 Evaluated at bid price : 24.86 Bid-YTW : 5.60 %
SLF.PR.G	FixedReset Ins Non	83,428	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 16.36 Evaluated at bid price : 16.36 Bid-YTW : 6.61 %
FTS.PR.H	FixedReset Disc	70,600	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 15.11 Evaluated at bid price : 15.11 Bid-YTW : 7.26 %
NA.PR.W	FixedReset Disc	26,611	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 22.16 Evaluated at bid price : 22.82 Bid-YTW : 5.71 %
CM.PR.Q	FixedReset Disc	23,715	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 23.65 Evaluated at bid price : 24.24 Bid-YTW : 5.84 %
There were 16 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
CU.PR.E	Perpetual-Discount	Quote: 20.64 – 21.80 Spot Rate : 1.1600 Average : 0.7694 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 20.64 Evaluated at bid price : 20.64 Bid-YTW : 6.03 %
BN.PR.M	Perpetual-Discount	Quote: 19.35 – 20.39 Spot Rate : 1.0400 Average : 0.6558 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 6.20 %
TD.PF.E	FixedReset Disc	Quote: 22.79 – 24.05 Spot Rate : 1.2600 Average : 0.9572 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 22.12 Evaluated at bid price : 22.79 Bid-YTW : 6.24 %
PWF.PR.K	Perpetual-Discount	Quote: 20.77 – 21.50 Spot Rate : 0.7300 Average : 0.4404 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 20.77 Evaluated at bid price : 20.77 Bid-YTW : 5.98 %
SLF.PR.H	FixedReset Ins Non	Quote: 19.25 – 20.75 Spot Rate : 1.5000 Average : 1.2405 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-16 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 6.40 %
TD.PF.I	FixedReset Prem	Quote: 25.46 – 26.10 Spot Rate : 0.6400 Average : 0.3897 YTW SCENARIO Maturity Type : Call Maturity Date : 2027-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.46 Bid-YTW : 5.59 %

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TD Credit Trend Negative: DBRS

October 16th, 2024

DBRS has announced:

changed the trends on all long-term credit ratings of The Toronto-Dominion Bank (TD or the Bank), and its related entities, to Negative from Stable and confirmed all credit ratings, including TD’s Long-Term Issuer Rating at AA (high). At the same time, Morningstar DBRS confirmed all short-term credit ratings, including TD’s Short-Term Issuer Rating of R-1 (high), with Stable trends, with the exception of TD Bank, N.A. and TD Bank US Holding Company whose short-term credit rating trends were changed to Negative from Stable. TD’s Long-Term Issuer Rating is composed of an Intrinsic Assessment (IA) of AA and a Support Assessment (SA) of SA2, which reflects the expectation of timely systemic support from the Government of Canada (rated AAA with a Stable trend). As a result of the SA2 designation, the Bank’s Long-Term Issuer Rating benefits from a one-notch uplift to the Bank’s IA.

KEY CREDIT RATING CONSIDERATIONS
The trend change to Negative from Stable reflects the significant failures in corporate governance related to antimoney laundering (AML) at TD’s U.S. retail operations and what Morningstar DBRS views as the heightened risk of discovering additional past transgressions or new missteps, including the potential for not remediating identified regulatory issues in a timely, effective manner. Moreover, Morningstar DBRS believes that profitability may be negatively affected for a prolonged period, which could lead to further negative credit rating pressure.

Certain U.S. subsidiaries of TD pleaded guilty to multiple criminal charges, including conspiracy to commit money laundering, as part of a global resolution to its AML investigations with the Office of the Comptroller of the Currency (OCC), the Federal Reserve Board, the Financial Crimes Enforcement Network, and the U.S. Department of Justice. Total fines of USD 3.09 billion were substantial and the largest ever imposed on a bank for AML-related matters, although Morningstar DBRS notes the USD 3.05 billion in provisions the Bank had already put aside. In addition, the OCC Consent Order included an asset cap on TD’s two U.S. banking subsidiaries (TD Bank USA, N.A. and TD Bank, N.A.) of approximately USD 434 billion. Morningstar DBRS considers this to be the outcome from multiple corporate governance failures at the Bank and expects the asset cap, combined with ongoing AML remediation efforts necessary to address TD’s material shortcomings, to reduce the Bank’s earnings power over the intermediate term. TD estimates its pretax U.S. governance and control costs to be USD 350 million in F2024 and USD 500 million in F2025. The extent of the AML resolution’s medium to long-term impact, including the asset cap, on TD’s reputation and earnings power remains uncertain. Further, TD’s AML remediation efforts will be a multiyear undertaking that will require a significant time commitment from the Bank’s revamped senior executive team if TD is to avoid any missteps, which could have further asset cap implications.

TD has some flexibility and levers to mitigate a prolonged and adverse impact to earnings. While the asset cap will hamper U.S. growth, Morningstar DBRS estimates the Bank is operating with a roughly USD 40 billion to USD 50 billion surplus in U.S. assets that can be redeployed to create loan capacity to support existing or new U.S. customer relationships. With U.S. assets representing 28.5% of total Bank assets at Q3 2024 and U.S. revenue comprising approximately 25% of total Bank revenue, Morningstar DBRS also views the Bank as having the ability to pivot its growth focus toward Canada and TD Securities to minimize the impact on earnings. TD has leading market positions in Canada in both retail and commercial, along with a large, integrated wealth management franchise. TD Securities, which is not affected by the asset cap, has a top two market share position in Canada and the integration of TD Cowen has notably increased its U.S. capital markets business while expanding the wholesale bank’s capabilities and product set, providing additional opportunities for growth in the U.S.

Finally, TD currently has an elevated liquidity position. At Q3 2024, the liquidity coverage ratio was 129%, representing a surplus of $75 billion over the published regulatory minimum. The Bank also currently has a solid capital position, with a healthy CET1 position of 12.8% in Q3 2024, which Morningstar DBRS expects to rise to 13% going forward. Both are expected to remain well above their respective regulatory minimum thresholds and remain supportive of the current credit ratings.

CREDIT RATING DRIVERS
Given the Negative trends, credit rating upgrades are unlikely. Morningstar DBRS would change the trends back to Stable if TD demonstrates substantial progress in its AML remediation efforts while demonstrating a credible path to return to profitability metrics commensurate with its credit rating category.

A credit ratings downgrade would occur if the Bank experienced any additional missteps or failures, including in its AML remediation efforts. Additionally, the credit ratings would be downgraded if profitability is negatively affected for a prolonged period, there is notable deterioration in franchise strength, or there is a sustained deterioration in asset quality.

CREDIT RATING RATIONALE
Franchise Combined Building Block (BB) Assessment: Very Strong

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

Risk Combined Building Block (BB) Assessment: Strong

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

Capitalization Combined Building Block (BB) Assessment: Strong

Affected issues are TD.PF.A, TD.PF.C, TD.PF.D, TD.PF.E, TD.PF.I and TD.PF.J.

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October 15, 2024

October 15th, 2024

So, there was some good inflation news today:

The Consumer Price Index (CPI) rose at an annual rate of 1.6 per cent in September, down from a 2-per-cent pace in August, Statistics Canada said in a report. Financial analysts were expecting a slowdown to 1.8 per cent. This was the weakest inflation rate since February, 2021.

The results were largely driven by a decline in gasoline prices, which fell 7.1 per cent in September from August. Excluding gas, the CPI rose 2.2 per cent in September, year over year, matching the increase in August.
…
Statscan reported on Friday that employment rose by nearly 47,000 in September – nearly double analyst estimates – and the unemployment rate ticked lower for the first time since January.
…
U.S. inflation continued to tick lower last month, but not as quickly as Wall Street expected, decreasing the odds of another oversized interest rate cut from the Federal Reserve in November.

Annual consumer price index inflation in the United States fell to 2.4 per cent in September from 2.5 per cent the month before, the Bureau of Labor Statistics reported last week. However, this drop was smaller than analysts were forecasting, and measures of core inflation accelerated slightly.
…
Implied probabilities in overnight swaps markets, which capture market bets on where monetary policy is heading, are now giving about 67 per cent odds of a 50-basis point cut on Oct. 23. A smaller, 25-basis-point cut is now being given odds of 33 per cent. Prior to this morning’s inflation data, markets were putting 50/50 odds of whether it will be a larger or smaller cut.

Markets are now fully pricing in a total of 75 basis points worth of monetary easing by the end of this year.

The Canadian dollar immediately lost ground after the 8:30 a.m. data release, falling just over one-10th of a U.S. cent to about 72.30 US cents. The Canadian two-year bond yield fell five basis points on the data, to 3.018 per cent.

This is in interesting juxtaposition to the US Survey of Consumer Expectations:

Median inflation expectations remained unchanged at 3.0 percent at the one-year horizon, increased to 2.7 percent from 2.5 percent at the three-year horizon, and rose to 2.9 percent from 2.8 percent at the five-year horizon, according to the September Survey of Consumer Expectations. In the labor market, the mean probability of leaving one’s job voluntarily in the next twelve months increased to 20.4 percent from 19.1 percent, and the mean perceived probability of finding a job in the event of job loss increased to 52.7 percent from 52.3 percent in August. Year-ahead household income and spending growth expectations declined by 0.1 percentage point to 3.0 percent and 4.9 percent, respectively. Perceptions and expectations of credit access improved compared to a year ago; however, the average perceived probability of missing a minimum debt payment over the next three months increased to 14.2 percent from 13.6 percent in August, the highest reading of the series since April 2020.

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	0.2559 %	2,148.8
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.2559 %	4,121.4
Floater	9.60 %	10.16 %	36,437	9.42	4	0.2559 %	2,375.2
OpRet	0.00 %	0.00 %	0	0.00	0	0.0901 %	3,603.4
SplitShare	4.79 %	5.28 %	42,021	1.31	8	0.0901 %	4,303.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0901 %	3,357.6
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	0.4600 %	2,892.4
Perpetual-Discount	5.95 %	6.02 %	50,484	13.87	31	0.4600 %	3,154.0
FixedReset Disc	5.53 %	6.92 %	120,826	12.52	58	0.1609 %	2,658.0
Insurance Straight	5.82 %	5.87 %	58,537	14.10	20	-0.1095 %	3,111.6
FloatingReset	8.01 %	8.12 %	26,927	11.26	1	0.1372 %	2,773.2
FixedReset Prem	6.47 %	5.73 %	206,680	13.58	7	0.1904 %	2,560.1
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	0.1609 %	2,717.0
FixedReset Ins Non	5.24 %	6.20 %	95,942	13.61	14	-0.3467 %	2,802.4

Performance Highlights
Issue	Index	Change	Notes
SLF.PR.H	FixedReset Ins Non	-5.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.83 %
IFC.PR.I	Insurance Straight	-3.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 22.07 Evaluated at bid price : 22.40 Bid-YTW : 6.07 %
GWO.PR.T	Insurance Straight	-3.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.12 %
ENB.PF.K	FixedReset Disc	-3.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 21.72 Evaluated at bid price : 22.00 Bid-YTW : 7.15 %
BN.PF.I	FixedReset Disc	-2.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 21.52 Evaluated at bid price : 21.90 Bid-YTW : 7.59 %
ENB.PF.G	FixedReset Disc	-2.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 8.15 %
CU.PR.D	Perpetual-Discount	-1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 6.12 %
BN.PF.E	FixedReset Disc	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 17.88 Evaluated at bid price : 17.88 Bid-YTW : 7.76 %
ENB.PF.C	FixedReset Disc	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 7.86 %
BIP.PR.B	FixedReset Disc	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 23.80 Evaluated at bid price : 24.25 Bid-YTW : 7.64 %
CU.PR.G	Perpetual-Discount	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 19.08 Evaluated at bid price : 19.08 Bid-YTW : 5.99 %
PWF.PR.G	Perpetual-Discount	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 24.00 Evaluated at bid price : 24.25 Bid-YTW : 6.10 %
TD.PF.J	FixedReset Prem	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 23.19 Evaluated at bid price : 24.70 Bid-YTW : 5.73 %
IFC.PR.A	FixedReset Ins Non	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 6.50 %
GWO.PR.Q	Insurance Straight	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 21.70 Evaluated at bid price : 21.95 Bid-YTW : 5.91 %
CU.PR.J	Perpetual-Discount	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.02 %
CU.PR.C	FixedReset Disc	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 6.58 %
ENB.PR.F	FixedReset Disc	1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 7.52 %
MIC.PR.A	Perpetual-Discount	1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.50 %
FFH.PR.C	FixedReset Disc	1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 21.80 Evaluated at bid price : 22.25 Bid-YTW : 6.95 %
CU.PR.F	Perpetual-Discount	2.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 19.21 Evaluated at bid price : 19.21 Bid-YTW : 5.95 %
BN.PF.D	Perpetual-Discount	3.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 6.29 %
TD.PF.E	FixedReset Disc	3.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 23.11 Evaluated at bid price : 23.65 Bid-YTW : 6.02 %
TD.PF.D	FixedReset Disc	14.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 23.23 Evaluated at bid price : 23.86 Bid-YTW : 5.93 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.M	FixedReset Ins Non	131,000	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 21.38 Evaluated at bid price : 21.65 Bid-YTW : 6.23 %
PVS.PR.L	SplitShare	54,300	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 5.21 %
ENB.PR.D	FixedReset Disc	41,000	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 18.14 Evaluated at bid price : 18.14 Bid-YTW : 7.57 %
ENB.PR.N	FixedReset Disc	29,800	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 21.68 Evaluated at bid price : 22.00 Bid-YTW : 6.88 %
MFC.PR.N	FixedReset Ins Non	29,500	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 21.44 Evaluated at bid price : 21.44 Bid-YTW : 6.20 %
CU.PR.J	Perpetual-Discount	25,500	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.02 %
There were 9 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
SLF.PR.H	FixedReset Ins Non	Quote: 18.00 – 19.50 Spot Rate : 1.5000 Average : 0.9560 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.83 %
ENB.PF.K	FixedReset Disc	Quote: 22.00 – 23.18 Spot Rate : 1.1800 Average : 0.7026 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 21.72 Evaluated at bid price : 22.00 Bid-YTW : 7.15 %
GWO.PR.G	Insurance Straight	Quote: 20.35 – 22.30 Spot Rate : 1.9500 Average : 1.5434 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 6.46 %
BN.PF.I	FixedReset Disc	Quote: 21.90 – 23.60 Spot Rate : 1.7000 Average : 1.3626 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 21.52 Evaluated at bid price : 21.90 Bid-YTW : 7.59 %
IFC.PR.I	Insurance Straight	Quote: 22.40 – 23.55 Spot Rate : 1.1500 Average : 0.8363 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 22.07 Evaluated at bid price : 22.40 Bid-YTW : 6.07 %
IFC.PR.F	Insurance Straight	Quote: 23.05 – 24.99 Spot Rate : 1.9400 Average : 1.6500 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-15 Maturity Price : 22.76 Evaluated at bid price : 23.05 Bid-YTW : 5.79 %

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October PrefLetter Released!

October 13th, 2024

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

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “previous” edition will refer to the October, 2024, issue, while the “next” edition will be the November, 2024, issue scheduled to be prepared as of the close November 8, and emailed to subscribers prior to the market-opening on November 11. Prefletter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

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

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

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

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

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

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

Note: Assiduous Reader DG informs me:

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

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

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

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October 11, 2024

October 11th, 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	0.0427 %	2,143.3
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0427 %	4,110.9
Floater	9.63 %	10.17 %	35,865	9.42	4	0.0427 %	2,369.1
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0050 %	3,600.2
SplitShare	4.79 %	5.38 %	41,613	1.32	8	-0.0050 %	4,299.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0050 %	3,354.5
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	-0.1186 %	2,879.2
Perpetual-Discount	5.98 %	6.04 %	50,555	13.86	31	-0.1186 %	3,139.6
FixedReset Disc	5.54 %	6.89 %	121,620	12.51	58	-0.3477 %	2,653.7
Insurance Straight	5.81 %	5.83 %	58,729	14.12	20	-0.5332 %	3,115.1
FloatingReset	8.02 %	8.13 %	27,944	11.26	1	0.0915 %	2,769.4
FixedReset Prem	6.48 %	5.80 %	200,632	13.58	7	-0.2569 %	2,555.3
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-0.3477 %	2,712.7
FixedReset Ins Non	5.22 %	6.20 %	96,550	13.66	14	-0.0789 %	2,812.1

Performance Highlights
Issue	Index	Change	Notes
TD.PF.D	FixedReset Disc	-13.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 20.79 Evaluated at bid price : 20.79 Bid-YTW : 6.83 %
GWO.PR.G	Insurance Straight	-8.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 6.46 %
TD.PF.E	FixedReset Disc	-4.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 22.12 Evaluated at bid price : 22.79 Bid-YTW : 6.23 %
SLF.PR.C	Insurance Straight	-3.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 5.67 %
BN.PF.D	Perpetual-Discount	-2.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 6.50 %
ENB.PF.G	FixedReset Disc	-1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 17.54 Evaluated at bid price : 17.54 Bid-YTW : 7.94 %
ENB.PF.K	FixedReset Disc	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 22.25 Evaluated at bid price : 22.77 Bid-YTW : 6.89 %
TD.PF.J	FixedReset Prem	-1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 23.09 Evaluated at bid price : 24.44 Bid-YTW : 5.80 %
ENB.PR.F	FixedReset Disc	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 7.64 %
CU.PR.I	FixedReset Disc	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 23.68 Evaluated at bid price : 24.16 Bid-YTW : 6.82 %
IFC.PR.G	FixedReset Ins Non	-1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 22.67 Evaluated at bid price : 23.55 Bid-YTW : 6.03 %
CU.PR.J	Perpetual-Discount	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 6.08 %
PWF.PR.G	Perpetual-Discount	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 6.15 %
PWF.PR.E	Perpetual-Discount	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 22.55 Evaluated at bid price : 22.80 Bid-YTW : 6.04 %
ENB.PR.Y	FixedReset Disc	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 7.60 %
GWO.PR.T	Insurance Straight	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 22.03 Evaluated at bid price : 22.03 Bid-YTW : 5.90 %
CCS.PR.C	Insurance Straight	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 5.72 %
PWF.PR.T	FixedReset Disc	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 21.81 Evaluated at bid price : 22.20 Bid-YTW : 6.12 %
IFC.PR.C	FixedReset Ins Non	1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 20.83 Evaluated at bid price : 20.83 Bid-YTW : 6.50 %
PWF.PR.Z	Perpetual-Discount	1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 21.43 Evaluated at bid price : 21.43 Bid-YTW : 6.03 %
GWO.PR.I	Insurance Straight	1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 19.49 Evaluated at bid price : 19.49 Bid-YTW : 5.83 %
BN.PF.I	FixedReset Disc	2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 22.21 Evaluated at bid price : 22.55 Bid-YTW : 7.37 %
BN.PF.E	FixedReset Disc	6.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 7.66 %

Volume Highlights
Issue	Index	Shares Traded	Notes
ENB.PF.A	FixedReset Disc	110,725	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 19.18 Evaluated at bid price : 19.18 Bid-YTW : 7.48 %
BMO.PR.W	FixedReset Disc	44,800	YTW SCENARIO Maturity Type : Call Maturity Date : 2024-11-25 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 4.59 %
GWO.PR.N	FixedReset Ins Non	41,600	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 14.65 Evaluated at bid price : 14.65 Bid-YTW : 7.02 %
FFH.PR.C	FixedReset Disc	37,713	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 21.52 Evaluated at bid price : 21.85 Bid-YTW : 7.08 %
BN.PR.B	Floater	23,460	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 11.24 Evaluated at bid price : 11.24 Bid-YTW : 10.20 %
SLF.PR.E	Insurance Straight	20,600	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.48 %
There were 8 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PF.D	FixedReset Disc	Quote: 20.79 – 24.16 Spot Rate : 3.3700 Average : 1.8720 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 20.79 Evaluated at bid price : 20.79 Bid-YTW : 6.83 %
GWO.PR.G	Insurance Straight	Quote: 20.32 – 22.30 Spot Rate : 1.9800 Average : 1.0976 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 6.46 %
IFC.PR.F	Insurance Straight	Quote: 22.96 – 24.99 Spot Rate : 2.0300 Average : 1.3321 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 22.68 Evaluated at bid price : 22.96 Bid-YTW : 5.81 %
TD.PF.E	FixedReset Disc	Quote: 22.79 – 24.10 Spot Rate : 1.3100 Average : 0.8064 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 22.12 Evaluated at bid price : 22.79 Bid-YTW : 6.23 %
CU.PR.J	Perpetual-Discount	Quote: 19.82 – 20.69 Spot Rate : 0.8700 Average : 0.5662 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 6.08 %
SLF.PR.C	Insurance Straight	Quote: 19.80 – 20.50 Spot Rate : 0.7000 Average : 0.4804 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-11 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 5.67 %

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October 10, 2024

October 10th, 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	-0.2554 %	2,142.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.2554 %	4,109.1
Floater	9.63 %	10.18 %	35,935	9.41	4	-0.2554 %	2,368.1
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0450 %	3,600.3
SplitShare	4.79 %	5.15 %	42,200	1.32	8	-0.0450 %	4,299.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0450 %	3,354.7
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	-0.7674 %	2,882.6
Perpetual-Discount	5.97 %	6.03 %	50,977	13.85	31	-0.7674 %	3,143.3
FixedReset Disc	5.52 %	6.96 %	123,651	12.44	58	-0.4763 %	2,663.0
Insurance Straight	5.78 %	5.82 %	59,256	14.12	20	0.0116 %	3,131.8
FloatingReset	8.18 %	8.29 %	27,762	11.10	1	0.2294 %	2,766.8
FixedReset Prem	6.46 %	5.79 %	207,856	13.52	7	-0.2284 %	2,561.8
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-0.4763 %	2,722.1
FixedReset Ins Non	5.22 %	6.30 %	93,925	13.54	14	-0.4813 %	2,814.3

Performance Highlights
Issue	Index	Change	Notes
BN.PF.E	FixedReset Disc	-6.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 17.07 Evaluated at bid price : 17.07 Bid-YTW : 8.25 %
IFC.PR.A	FixedReset Ins Non	-4.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 6.64 %
BN.PF.I	FixedReset Disc	-3.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 21.59 Evaluated at bid price : 22.00 Bid-YTW : 7.63 %
GWO.PR.I	Insurance Straight	-3.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 5.93 %
ENB.PR.Y	FixedReset Disc	-2.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 7.77 %
PWF.PR.Z	Perpetual-Discount	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 6.13 %
PWF.PR.T	FixedReset Disc	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 21.56 Evaluated at bid price : 21.85 Bid-YTW : 6.30 %
CU.PR.F	Perpetual-Discount	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 6.11 %
IFC.PR.C	FixedReset Ins Non	-1.49 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.69 %
GWO.PR.P	Insurance Straight	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 6.04 %
PWF.PF.A	Perpetual-Discount	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 5.82 %
BN.PF.F	FixedReset Disc	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 7.21 %
MFC.PR.B	Insurance Straight	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.82 %
ENB.PR.F	FixedReset Disc	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 7.61 %
GWO.PR.T	Insurance Straight	2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 21.75 Evaluated at bid price : 21.75 Bid-YTW : 5.98 %

Volume Highlights
Issue	Index	Shares Traded	Notes
ENB.PF.C	FixedReset Disc	138,210	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 18.38 Evaluated at bid price : 18.38 Bid-YTW : 7.85 %
ENB.PF.A	FixedReset Disc	130,054	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 7.61 %
ENB.PR.P	FixedReset Disc	106,910	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 7.36 %
RY.PR.J	FixedReset Disc	86,360	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 23.54 Evaluated at bid price : 24.22 Bid-YTW : 5.95 %
BN.PF.A	FixedReset Disc	60,500	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 22.57 Evaluated at bid price : 23.40 Bid-YTW : 6.65 %
BMO.PR.Y	FixedReset Disc	56,035	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 23.77 Evaluated at bid price : 24.32 Bid-YTW : 5.84 %
There were 16 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BN.PF.E	FixedReset Disc	Quote: 17.07 – 18.30 Spot Rate : 1.2300 Average : 0.7365 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 17.07 Evaluated at bid price : 17.07 Bid-YTW : 8.25 %
BN.PF.I	FixedReset Disc	Quote: 22.00 – 23.25 Spot Rate : 1.2500 Average : 0.9300 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 21.59 Evaluated at bid price : 22.00 Bid-YTW : 7.63 %
GWO.PR.I	Insurance Straight	Quote: 19.15 – 19.90 Spot Rate : 0.7500 Average : 0.4323 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 5.93 %
MIC.PR.A	Perpetual-Discount	Quote: 20.61 – 21.92 Spot Rate : 1.3100 Average : 1.0313 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 6.62 %
BN.PF.J	FixedReset Disc	Quote: 23.00 – 23.70 Spot Rate : 0.7000 Average : 0.4625 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 22.41 Evaluated at bid price : 23.00 Bid-YTW : 6.79 %
CU.PR.F	Perpetual-Discount	Quote: 18.70 – 19.88 Spot Rate : 1.1800 Average : 0.9434 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-10 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 6.11 %

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October 9, 2024

October 9th, 2024

PerpetualDiscounts now yield 6.03%, equivalent to 7.84% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.77% on 2024-9-20 and since then the closing price of ZLC has changed from 15.51 to 15.22 after going ex-dividend for $0.06 on 9/27, a total return of -1.48%, implying an increase of yields of 12bp (BMO reports a duration of 12.47, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.89%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 295bp from the 300bp reported October 2.

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	0.4919 %	2,147.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.4919 %	4,119.7
Floater	9.61 %	10.14 %	36,152	9.45	4	0.4919 %	2,374.2
OpRet	0.00 %	0.00 %	0	0.00	0	0.1504 %	3,602.0
SplitShare	4.79 %	5.21 %	42,397	1.33	8	0.1504 %	4,301.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1504 %	3,356.2
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	0.2135 %	2,904.9
Perpetual-Discount	5.92 %	6.03 %	49,758	13.81	31	0.2135 %	3,167.6
FixedReset Disc	5.50 %	6.91 %	122,438	12.49	58	0.0432 %	2,675.8
Insurance Straight	5.78 %	5.85 %	59,296	14.11	20	-0.8802 %	3,131.4
FloatingReset	8.20 %	8.30 %	28,149	11.09	1	0.4608 %	2,760.5
FixedReset Prem	6.45 %	5.79 %	211,058	13.50	7	-0.0557 %	2,567.7
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	0.0432 %	2,735.2
FixedReset Ins Non	5.19 %	6.30 %	95,333	13.61	14	0.0888 %	2,828.0

Performance Highlights
Issue	Index	Change	Notes
CCS.PR.C	Insurance Straight	-3.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 21.44 Evaluated at bid price : 21.70 Bid-YTW : 5.80 %
GWO.PR.T	Insurance Straight	-3.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.12 %
GWO.PR.Q	Insurance Straight	-3.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 6.06 %
MFC.PR.B	Insurance Straight	-3.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 5.91 %
ENB.PR.F	FixedReset Disc	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 7.73 %
BN.PR.X	FixedReset Disc	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 7.48 %
BN.PF.H	FixedReset Disc	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 23.05 Evaluated at bid price : 23.54 Bid-YTW : 7.55 %
CU.PR.G	Perpetual-Discount	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 18.89 Evaluated at bid price : 18.89 Bid-YTW : 6.05 %
BN.PF.I	FixedReset Disc	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 22.34 Evaluated at bid price : 22.75 Bid-YTW : 7.38 %
BN.PF.F	FixedReset Disc	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 7.29 %
GWO.PR.H	Insurance Straight	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 5.90 %
IFC.PR.G	FixedReset Ins Non	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 22.84 Evaluated at bid price : 23.90 Bid-YTW : 6.00 %
BN.PR.K	Floater	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 11.30 Evaluated at bid price : 11.30 Bid-YTW : 10.14 %
ENB.PR.A	Perpetual-Discount	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 22.55 Evaluated at bid price : 22.80 Bid-YTW : 6.11 %
POW.PR.C	Perpetual-Discount	1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 24.00 Evaluated at bid price : 24.25 Bid-YTW : 6.00 %
TD.PF.E	FixedReset Disc	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 23.48 Evaluated at bid price : 24.00 Bid-YTW : 6.07 %
IFC.PR.C	FixedReset Ins Non	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 20.81 Evaluated at bid price : 20.81 Bid-YTW : 6.59 %
PWF.PR.L	Perpetual-Discount	1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 21.39 Evaluated at bid price : 21.66 Bid-YTW : 6.00 %
PWF.PR.E	Perpetual-Discount	2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 22.77 Evaluated at bid price : 23.05 Bid-YTW : 6.08 %
PWF.PR.T	FixedReset Disc	3.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 22.06 Evaluated at bid price : 22.57 Bid-YTW : 6.20 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.W	FixedReset Disc	323,000	YTW SCENARIO Maturity Type : Call Maturity Date : 2024-11-25 Maturity Price : 25.00 Evaluated at bid price : 25.09 Bid-YTW : 4.71 %
PWF.PF.A	Perpetual-Discount	113,227	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 19.89 Evaluated at bid price : 19.89 Bid-YTW : 5.77 %
CM.PR.Q	FixedReset Disc	102,000	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 23.61 Evaluated at bid price : 24.20 Bid-YTW : 5.93 %
PWF.PR.K	Perpetual-Discount	100,330	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.96 %
MFC.PR.Q	FixedReset Ins Non	70,000	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 22.89 Evaluated at bid price : 24.01 Bid-YTW : 5.97 %
ENB.PF.A	FixedReset Disc	68,044	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 7.59 %
There were 17 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
CU.PR.H	Perpetual-Discount	Quote: 21.76 – 23.34 Spot Rate : 1.5800 Average : 1.0682 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 21.50 Evaluated at bid price : 21.76 Bid-YTW : 6.11 %
MFC.PR.B	Insurance Straight	Quote: 19.90 – 20.66 Spot Rate : 0.7600 Average : 0.4342 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 5.91 %
IFC.PR.A	FixedReset Ins Non	Quote: 19.25 – 20.07 Spot Rate : 0.8200 Average : 0.5102 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 6.33 %
GWO.PR.Q	Insurance Straight	Quote: 21.45 – 22.18 Spot Rate : 0.7300 Average : 0.4390 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 6.06 %
GWO.PR.T	Insurance Straight	Quote: 21.25 – 22.37 Spot Rate : 1.1200 Average : 0.8927 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.12 %
GWO.PR.Y	Insurance Straight	Quote: 19.40 – 20.00 Spot Rate : 0.6000 Average : 0.3830 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-09 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 5.85 %

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Volume Highlights
Issue	Index	Shares Traded	Notes
CM.PR.S	FixedReset Disc	89,701	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-17 Maturity Price : 24.84 Evaluated at bid price : 24.84 Bid-YTW : 5.61 %
RY.PR.J	FixedReset Disc	87,574	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-17 Maturity Price : 23.78 Evaluated at bid price : 24.43 Bid-YTW : 5.82 %
NA.PR.E	FixedReset Disc	87,557	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-17 Maturity Price : 23.16 Evaluated at bid price : 24.63 Bid-YTW : 5.66 %
FFH.PR.I	FixedReset Disc	51,914	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-17 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 7.64 %
RY.PR.M	FixedReset Disc	37,455	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-17 Maturity Price : 23.44 Evaluated at bid price : 23.95 Bid-YTW : 5.72 %
ENB.PR.Y	FixedReset Disc	20,516	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-17 Maturity Price : 17.98 Evaluated at bid price : 17.98 Bid-YTW : 7.60 %
There were 6 other index-included issues trading in excess of 10,000 shares.

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