March 4, 2024

March 4th, 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 0.8130 % 2,368.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8130 % 4,542.0
Floater 10.16 % 10.48 % 44,013 9.05 1 0.8130 % 2,617.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0363 % 3,394.4
SplitShare 4.96 % 7.37 % 48,451 1.87 7 0.0363 % 4,053.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0363 % 3,162.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0594 % 2,633.1
Perpetual-Discount 6.53 % 6.71 % 47,321 12.88 31 0.0594 % 2,871.3
FixedReset Disc 5.48 % 7.28 % 116,850 12.32 59 0.9110 % 2,412.4
Insurance Straight 6.36 % 6.55 % 62,002 13.15 22 0.5069 % 2,825.1
FloatingReset 9.98 % 10.19 % 35,133 9.38 3 0.1135 % 2,593.5
FixedReset Prem 7.02 % 7.01 % 154,395 12.35 1 -0.2789 % 2,487.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.9110 % 2,466.0
FixedReset Ins Non 5.54 % 7.37 % 75,460 12.20 14 0.2149 % 2,566.1
Performance Highlights
Issue Index Change Notes
MFC.PR.Q FixedReset Ins Non -3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.40 %
GWO.PR.G Insurance Straight -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 6.71 %
RY.PR.O Perpetual-Discount -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.45
Evaluated at bid price : 21.73
Bid-YTW : 5.67 %
MFC.PR.F FixedReset Ins Non -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 7.97 %
BIP.PR.A FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 9.63 %
BN.PF.I FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.87 %
BIP.PR.E FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 7.89 %
IFC.PR.G FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.24 %
BIK.PR.A FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 22.66
Evaluated at bid price : 23.76
Bid-YTW : 7.90 %
IFC.PR.K Insurance Straight -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 6.64 %
CU.PR.G Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 6.59 %
FTS.PR.J Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.34 %
BN.PR.Z FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 8.39 %
SLF.PR.C Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 5.96 %
MFC.PR.K FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.76
Evaluated at bid price : 22.15
Bid-YTW : 6.72 %
CM.PR.S FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 22.40
Evaluated at bid price : 22.40
Bid-YTW : 6.78 %
FTS.PR.G FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.90 %
ELF.PR.H Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.53 %
NA.PR.E FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.86
Evaluated at bid price : 22.27
Bid-YTW : 6.86 %
BN.PR.M Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.82 %
CM.PR.O FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.84
Evaluated at bid price : 22.31
Bid-YTW : 6.58 %
FTS.PR.K FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.53 %
POW.PR.D Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.56 %
RY.PR.Z FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.62
Evaluated at bid price : 21.98
Bid-YTW : 6.61 %
SLF.PR.H FixedReset Ins Non 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 7.17 %
TD.PF.A FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.94
Evaluated at bid price : 22.49
Bid-YTW : 6.42 %
NA.PR.S FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 7.02 %
TD.PF.C FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.89 %
MFC.PR.M FixedReset Ins Non 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 7.57 %
SLF.PR.G FixedReset Ins Non 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 7.97 %
RY.PR.H FixedReset Disc 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.92 %
BMO.PR.W FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.95 %
TD.PF.B FixedReset Disc 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 22.34
Evaluated at bid price : 23.15
Bid-YTW : 6.30 %
BN.PF.F FixedReset Disc 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 8.45 %
NA.PR.W FixedReset Disc 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.32 %
BMO.PR.T FixedReset Disc 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.41
Evaluated at bid price : 21.70
Bid-YTW : 6.69 %
GWO.PR.N FixedReset Ins Non 3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 7.99 %
CM.PR.Q FixedReset Disc 4.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 7.10 %
CM.PR.P FixedReset Disc 5.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 7.09 %
IFC.PR.E Insurance Straight 8.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.59 %
GWO.PR.T Insurance Straight 9.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.88 %
TD.PF.E FixedReset Disc 14.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 7.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 166,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.84
Evaluated at bid price : 22.31
Bid-YTW : 6.58 %
BMO.PR.T FixedReset Disc 116,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.41
Evaluated at bid price : 21.70
Bid-YTW : 6.69 %
BMO.PR.W FixedReset Disc 112,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.95 %
TD.PF.C FixedReset Disc 102,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.89 %
FTS.PR.H FixedReset Disc 82,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 13.72
Evaluated at bid price : 13.72
Bid-YTW : 8.71 %
RY.PR.J FixedReset Disc 81,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 7.29 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Y FixedReset Disc Quote: 20.79 – 23.47
Spot Rate : 2.6800
Average : 1.7401

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 7.24 %

GWO.PR.Y Insurance Straight Quote: 16.50 – 18.32
Spot Rate : 1.8200
Average : 1.2733

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 6.84 %

MFC.PR.Q FixedReset Ins Non Quote: 20.60 – 21.60
Spot Rate : 1.0000
Average : 0.6170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.40 %

BN.PF.G FixedReset Disc Quote: 17.25 – 17.95
Spot Rate : 0.7000
Average : 0.4549

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.01 %

NA.PR.W FixedReset Disc Quote: 19.70 – 20.38
Spot Rate : 0.6800
Average : 0.4709

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.32 %

GWO.PR.G Insurance Straight Quote: 19.42 – 20.01
Spot Rate : 0.5900
Average : 0.4428

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-04
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 6.71 %

BIK.PR.A To Reset To 7.475%

March 4th, 2024

Brookfield Infrastructure Partners L.P. (“Brookfield Infrastructure”) (NYSE: BIP; TSX: BIP.UN) today announced that BIP Investment Corporation (“BIPIC”), a wholly-owned subsidiary of Brookfield Infrastructure, has determined:

the fixed dividend rate on its Senior Preferred Shares, Series 1 (“Series 1 Shares”) (TSX: BIK.PR.A) for the five years commencing April 1, 2024 and ending March 31, 2029.

Series 1 Shares and Series 2 Shares

If declared, the fixed quarterly dividends on the Series 1 Shares during the five years commencing April 1, 2024 will be paid at an annual rate of 7.475% ($0.4671875 per share per quarter).

Holders of Series 1 Shares have the right, at their option, exercisable not later than 5:00 p.m. (Toronto time) on March 18, 2024, to convert all or part of their Series 1 Shares, on a one-for-one basis, into Senior Preferred Shares, Series 2 (“Series 2 Shares”), effective March 31, 2024.

The quarterly floating rate dividends on the Series 2 Shares will be paid at an annual rate, calculated for each quarter, of 3.96% over the annual yield on three-month Government of Canada treasury bills. The actual quarterly dividend rate in respect of the April 1, 2024 to June 30, 2024 dividend period for the Series 2 Shares will be 2.22913% (8.941% on an annualized basis) and the dividend, if declared, for such dividend period will be $0.5572825 per share, payable on June 30, 2024.

Holders of Series 1 Shares are not required to elect to convert all or any part of their Series 1 Shares into Series 2 Shares.

As provided in the share provisions of the Series 1 Shares, (i) if BIPIC determines that there would be fewer than 500,000 Series 1 Shares outstanding after March 31, 2024, all remaining Series 1 Shares will be automatically converted into Series 2 Shares on a one-for-one basis effective March 31, 2024; or (ii) if BIPIC determines that there would be fewer than 500,000 Series 2 Shares outstanding after March 31, 2024, no Series 1 Shares will be converted into Series 2 Shares. There are currently 4,000,000 Series 1 Shares outstanding.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 2 Shares effective upon conversion. Listing of the Series 2 Shares is subject to BIPIC fulfilling all the listing requirements of the TSX.

About Brookfield Infrastructure

Brookfield Infrastructure is a leading global infrastructure company that owns and operates high-quality, long-life assets in the utilities, transport, midstream and data sectors across the Americas, Asia Pacific and Europe. We are focused on assets that have contracted and regulated revenues that generate predictable and stable cash flows. Investors can access its portfolio either through Brookfield Infrastructure Partners L.P. (NYSE: BIP; TSX: BIP.UN), a Bermuda-based limited partnership, or Brookfield Infrastructure Corporation (NYSE, TSX: BIPC), a Canadian corporation. Further information is available at https://bip.brookfield.com.

Brookfield Infrastructure is the flagship listed infrastructure company of Brookfield Asset Management, a global alternative asset manager with over US$900 billion of assets under management. For more information, go to https://brookfield.com.

BIK.PR.A was issued as a FixedReset, 5.85%+396M585, that commenced trading 2019-02-05 after being announced 2019-1-29. It is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) sub-index.

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

BN.PF.B To Reset At 6.145%

March 4th, 2024

Brookfield Corporation has announced:

that it has determined the fixed dividend rate on its Cumulative Class A Preference Shares, Series 34 (“Series 34 Shares”) (TSX: BN.PF.B) for the five years commencing April 1, 2024 and ending March 31, 2029.

If declared, the fixed quarterly dividends on the Series 34 Shares during the five years commencing April 1, 2024 will be paid at an annual rate of 6.145% ($0.3840625 per share per quarter).

Holders of Series 34 Shares have the right, at their option, exercisable not later than 5:00 p.m. (Toronto time) on March 18, 2024, to convert all or part of their Series 34 Shares, on a one-for-one basis, into Cumulative Class A Preference Shares, Series 35 (the “Series 35 Shares”), effective March 31, 2024. The quarterly floating rate dividends on the Series 35 Shares will be paid at an annual rate, calculated for each quarter, of 2.63% over the annual yield on three-month Government of Canada treasury bills. The actual quarterly dividend rate in respect of the April 1, 2024 to June 30, 2024 dividend period for the Series 35 Shares will be 1.89754% (7.611% on an annualized basis) and the dividend, if declared, for such dividend period will be $0.474385 per share, payable on June 30, 2024.

Holders of Series 34 Shares are not required to elect to convert all or any part of their Series 34 Shares into Series 35 Shares.

As provided in the share conditions of the Series 34 Shares, (i) if Brookfield determines that there would be fewer than 1,000,000 Series 34 Shares outstanding after March 31, 2024, all remaining Series 34 Shares will be automatically converted into Series 35 Shares on a one-for-one basis effective March 31, 2024; and (ii) if Brookfield determines that there would be fewer than 1,000,000 Series 35 Shares outstanding after March 31, 2024, no Series 34 Shares will be permitted to be converted into Series 35 Shares. There are currently 9,876,735 Series 34 Shares outstanding.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 35 Shares effective upon conversion. Listing of the Series 35 Shares is subject to Brookfield fulfilling all the listing requirements of the TSX.

BN.PF.B was issued as BAM.PF.B, a FixedReset, 4.20%+263, that commenced trading 2012-9-12 after being announced 2012-8-23. It reset to 4.437% effective 2019-4-1. I recommended against conversion and there was no conversion. The ticker changed to BN.PF.B in late 2022. The issue is tracked by HIMIPref™ and assigned to the FixedReset (Discount) sub-index.

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

MAPF Performance: February, 2024

March 3rd, 2024

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close February 29, 2024, was $9.2663.

Performance was affected by CU.PR.C underperforming with a -2.75% return (following three months of outperformance), BN.PR.R with a -1.33% return and FTS.PR.M with a -0.06% return. This was outweighed by good performance from NA.PR.W (+6.04%), RY.PR.J (+3.18%) and TD.PF.C (+1,81, adding to the last three month’s outperformance) [small holdings are not considered for individual mention here].

The last few months have been very good to preferred shareholders, 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.

FixedResets continue to yield more, in general, than PerpetualDiscounts; on February 29, I reported median YTWs of 7.46% and 6.74%, respectively, for these two indices; compare with mean Current Yields of 5.58% and 6.52%, respectively. RY.PR.J, to take a representative example, is calculated by HIMIPref™ as having a yield-to-worst of 7.43% at monthend (Current Yield of 3.86%); bid at 20.75, resetting 2025-5-24 at a spread of 274bp over GOC-5 (assumed to be constant at 3.62%) and currently paying 0.80 p.a. (3.20% annually). The next pay-date is 2024-5-24; it is trading cum-dividend.

If we plug the above data into the yield calculator for resets (which is discussed here and has recently been slightly modified), we arrive at a annualized (compounded semi-annually) yield of 7.35% for RY.PR.J . To take this 8bp (the difference between the spreadsheets and HIMIPref™) above the PerpetualDiscount index median YTW of 6.74% (to account for the calculation methodological differences), which is to say 6.66%, requires the assumption that GOC-5 will be 2.97% forever, as opposed the ‘constant rate’ assumption of 3.61%. Well … pays yer money and takes yer chances, gents! Assiduous Readers with long memories will liken this to all the calculations of Break-even Rate Shock when the puzzle represented the same problem with a different sign! Note that even if the unfavourable scenario of GOC-5 = 2.97% is realized, this has only reduced the yield of RY.PR.J to that of the median adjusted PerpetualDiscount yield of 6.66%, which isn’t the worst outcome one might fear from one’s investments!

Returns to February 29, 2024
Period MAPF TXPR*
Total Return
CPD – according to Blackrock
One Month +1.13% +0.13% N/A
Three Months +10.03% +6.81% N/A
One Year +14.69% +5.61% +5.03%
Two Years (annualized) -1.43% -3.02% N/A
Three Years (annualized) +4.07% +0.87% +0.35%
Four Years (annualized) +10.69% +4.76% N/A
Five Years (annualized) +6.69% +3.48% +2.90%
Six Years (annualized) +3.12% +1.66% N/A
Seven Years (annualized) +5.12% +2.56% N/A
Eight Years (annualized) +8.99% +5.73% N/A
Nine Years (annualized) +4.25% +2.05% N/A
Ten Years (annualized) +4.10% +1.87% +1.37%
Eleven Years (annualized) +3.53% +1.50%  
Twelve Years (annualized) +3.92% +1.80%  
Thirteen Years (annualized) +3.82% +2.08%  
Fourteen Years (annualized) +4.93% +2.62%  
Fifteen Years (annualized) +7.65% +3.93%  
Sixteen Years (annualized) +7.13% +2.48%  
Seventeen Years (annualized) +6.92%    
Eighteen Years (annualized) +6.91%    
Nineteen Years (annualized) +6.84%    
Twenty Years (annualized) +6.96%    
Twenty-One Years (annualized) +7.97%    
Twenty-Two Years (annualized) +7.65%    
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 National Bank Preferred Equity Income Fund [NBC780F] (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are +%, +% and +%, respectively, according to National Bank Investments after all fees & expenses. Three year performance is +%; five year is +%; ten year is +%.

Figures from Morningstar are no longer conveniently available.

Manulife Preferred Income Class Adv has been terminated by Manulife. The performance of this fund was last reported here in March, 2018.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are +0.74%, +8.73% & +9.60%, respectively. Three year performance is +2.46%, five-year is +4.59%, ten year is +2.81%
Figures for National Bank Preferred Equity Fund [NBC710F] (formerly Altamira Preferred Equity Fund) are +%, +% and +% for one-, three- and twelve months, respectively. Three year performance is +%; five-year is +%; ten-year is +%

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

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

The figures for the NAV of BMO Laddered Preferred Share Index ETF (ZPR) is +7.68% for the past twelve months. Two year performance is -3.04%, three year is +4.01%, five year is +4.78%, ten year is +1.42%

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 +0.65%, +6.36% and +5.30% for the past one-, three- and twelve-months, respectively. Three year performance is -0.91%; five-year is +1.60%; ten-year is -0.02%.
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 +0.5%, +7.2% and +8.1% for the past one, three and twelve months, respectively. Three year performance is +2.9%, five-year is +3.8%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are +0.23%, +7.56% and +6.71% for the past one, three and twelve months, respectively. Two year performance is -2.78%, three-year is +1.25%, five-year is +3.33%
Figures for the RBC Canadian Preferred Share ETF (RPF) are reported by Morningstar as +0.01%, +8.01% and +5.05% for the past one, three and twelve months, respectively. Three-year performance is +0.94%, five-year is +3.47%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are +0.3%, +7.8% and +8.2% for the past one, three and twelve months, respectively. Three-year performance is +3.9%; five-year is +6.0%
Figures for the Purpose Canadian Preferred Share Fund (Class F) are +1.11%, +7.60% and +9.03% for the past one, three and twelve months, respectively. Three-year performance is +2.29%; five-year is +5.29%; seven-year is +2.68%; ten-year is +5.00%.

The five-year Canada yield was steady, with the five-year Canada yield (“GOC-5”) rising slightly from 3.57% at January month-end to 3.61% at February month-end.

The Seniority Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 360bp on 2024-2-21, widening from 340bp on 2024-1-31 (chart end-date 2024-2-9) :

The situation with FixedResets is interesting, with the spread between GOC-5 and the interest-adjusted FixedReset (Discount) rate widening significantly from its 2021-11-10 low of 344bp to a level of 631bp (as of 2024-2-28) … (chart end-date 2024-02-9):

…while at the same time the interest-equivalent spread between FixedReset (Discounts) and PerpetualDiscounts has narrowed to -115bp (as of 2024-2-28) from its 2021-7-28 level of +170bp (chart end-date 2024-02-09):

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 correlation for either the Pfd-2 Group or the Pfd-3 Group for 1-Month performance against term-to-reset:

… and the same applies for three-month returns vs. Term to Reset for the Pfd-2 Group has disappeared:

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. In the three months from November 30 to February 29, the GOC-5 rate declined from 3.82% to 3.6`%, but this has had little effect. At present the situation is chaotic.

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 year-odd 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 about two years. 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 2024-1-12).

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 1.34% (weighted by shares held). While nobody knows what the future might bring, I suggest that we won’t see GOC-5 return to that level again for a while!

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 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
February 29, 2024 9.2663 7.83% 0.991 7.901% 1.0000 $0.7321
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%
February, 2024 3.61% 5.04%

MAPF Portfolio Composition: February, 2024

March 3rd, 2024

Turnover remained steady at 6% in February.

Sectoral distribution of the MAPF portfolio on February 29, 2024, were:

MAPF Sectoral Analysis 2024-2-29
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 8.7% 7.00% 12.49
Fixed-Reset Discount 63.8% 7.85% 11.90
Insurance – Straight 9.1% 6.14% 13.77
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 0% N/A N/A
Scraps – Ratchet 0% N/A N/A
Scraps – FixedFloater 1.4% 10.04% 10.69
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 3.2% 7.54% 2.11
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 13.0% 9.86% 10.09
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 +0.9% 0.00% 0.00
Total 100% 7.83% 11.45
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 3.61%, a constant 3-Month Bill rate of 5.04% and a constant Canada Prime Rate of 7.20%

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 2024-02-29
DBRS Rating MAPF Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 41.7%
Pfd-2 30.0%
Pfd-2(low) 9.9%
Pfd-3(high) 9.5%
Pfd-3 2.4%
Pfd-3(low) 5.5%
Pfd-4(high) 0.2%
Pfd-4 0%
Pfd-4(low) 0%
Pfd-5(high) 0%
Pfd-5 0%
Cash +0.9%
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 2024-02-29
Average Daily Trading MAPF Weighting
<$50,000 13.0%
$50,000 – $100,000 19.9%
$100,000 – $200,000 36.0%
$200,000 – $300,000 23.2%
>$300,000 7.0%
Cash +0.9%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 0%
150-199bp 6.6%
200-249bp 54.2%
250-299bp 14.1%
300-349bp 1.7%
350-399bp 1.2%
400-449bp 0%
450-499bp 0%
500-549bp 0%
550-599bp 0%
>= 600bp 0%
Undefined 22.1%

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 1.1%
0-1 Year 36.2%
1-2 Years 19.7%
2-3 Years 7.8%
3-4 Years 13.6%
4-5 Years 0.9%
5-6 Years 0%
>6 Years 0%
Not Floating Rate 20.7%

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

AIM.PR.C To Reset To 7.773%

March 1st, 2024

Aimia Inc. has announced:

the applicable dividend rates for its Cumulative Rate Reset Preferred Shares, Series 3 (the “Series 3 Shares”) and its Cumulative Floating Rate Preferred Shares, Series 4 (the “Series 4 Shares”), further to its February 22, 2024 notice and announcement that it will not exercise its right to redeem all or any part of the outstanding Series 3 Shares and, as a result of which, subject to certain conditions, the holders of the Series 3 Shares will have the right to convert all or any number of their Series 3 Shares into Series 4 Shares on a one-for-one basis.

With respect to any Series 3 Shares that remain outstanding on or after on April 1, 2024 (March 31, 2024 falling on a Sunday, a non-business day), holders of the Series 3 Shares will be entitled to receive fixed, cumulative, preferential cash dividends, payable quarterly, as and when declared by the Company’s Board of Directors. The annual dividend rate for the five-year period from and including March 31, 2024 to, but excluding, March 31, 2029 will be 7.773%, being equal to the five-year Government of Canada bond yield plus 4.20%, as determined in accordance with the rights, privileges, restrictions and conditions attaching to the Series 3 Shares.

With respect to any Series 4 Shares that may be issued on April 1, 2024, holders of the Series 4 Shares will be entitled to receive quarterly floating rate, cumulative, preferential cash dividends, as and when declared by the Board of Directors of Aimia. The dividend rate for the floating rate period from and including March 31, 2024 to, but excluding, June 30, 2024 will be 9.181%, being equal to the three-month Government of Canada Treasury Bill yield plus 4.20% per annum, calculated on the basis of the actual number of days in such quarterly period divided by 36, as determined in accordance with the rights, privileges, restrictions and conditions attaching to the Series 4 Shares (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset every quarter.

The Series 3 Shares are issued in “book entry only” form and must be purchased or transferred through a participant (a “CDS Participant”) in the depository service of CDS Clearing and Depository Services Inc. (“CDS”). All rights of holders of Series 3 Shares must be exercised through CDS or the CDS Participant through which the Series 3 Shares are held. As such, beneficial owners of Series 3 Shares who wish to exercise their conversion right should communicate as soon as possible with their broker or other nominee to obtain instructions for exercising such right through CDS on or prior to the deadline for exercise, which is 5:00 p.m. (Eastern time) on March 18, 2024. All notices received after this deadline will not be valid.

Holders of Series 3 Shares as of the applicable record date remain eligible to receive dividends on their Series 3 Shares, as and when declared by the Board of Directors of Aimia, for the period from and including December 31, 2023 to, but excluding, March 31, 2024 at the current annual dividend rate of 6.01%.

All inquiries regarding the conversion of Aimia’s Series 3 Shares should be directed to the Company’s Transfer Agent, TSX Trust Company at 1-800-387-0825 or shareholderinquiries@tmx.com.

AIM.PR.C was issued as a FixedReset, 6.25%+420, that commenced trading 2014-1-15 after being announced 2014-1-6. The extension was announced 2019-2-26. AIM.PR.C reset at 6.011% effective 2019-3-31 (not 6.01%, as stated in the original press release) I recommended against conversion and there was no conversion. Notice of extension was provided in 2024. The issue is tracked by HIMIPref™ but relegated to the Scraps-FixedReset (Discount) subindex on credit concerns.

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

PPL.PR.Q To Reset At 6.605%

March 1st, 2024

Pembina Pipeline Corporation has announced:

that it does not intend to exercise its right to redeem the currently outstanding Cumulative Redeemable Rate Reset Class A Preferred Shares, Series 17 (“Series 17 Shares”) (TSX: PPL.PR.Q) on March 31, 2024.

As a result of the decision not to redeem the Series 17 Shares, and subject to certain terms of the Series 17 Shares, the holders of the Series 17 Shares will have the right to elect to convert all or part of their Series 17 Shares on a one-for-one basis into Cumulative Redeemable Floating Rate Class A Preferred Shares, Series 18 of Pembina (“Series 18 Shares”) on March 31, 2024 (the “Conversion Date”). Holders who do not exercise their right to convert their Series 17 Shares into Series 18 Shares will retain their Series 17 Shares.

As provided in the terms of the Series 17 Shares: (i) if Pembina determines that there would remain outstanding immediately following the conversion less than 1,000,000 Series 17 Shares, then all remaining Series 17 Shares will be automatically converted into Series 18 Shares on a one-for-one basis effective as of the Conversion Date; or (ii) if Pembina determines that there would be less than 1,000,000 Series 18 Shares outstanding immediately following the conversion, no Series 17 Shares will be converted into Series 18 Shares on the Conversion Date. There are currently 6,000,000 Series 17 Shares outstanding.

With respect to any Series 17 Shares that remain outstanding after the Conversion Date, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, if, as and when declared by the Board of Directors of Pembina. The annual dividend rate for the Series 17 Shares for the five-year period from and including March 31, 2024, to, but excluding, March 31, 2029, will be 6.605 percent, being equal to the five-year Government of Canada bond yield of 3.595 percent determined as of today plus 3.01 percent, in accordance with the terms of the Series 17 Shares.

With respect to any Series 18 Shares that may be issued on the Conversion Date, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, if, as and when declared by the Board of Directors of Pembina. The annual dividend rate applicable to the Series 18 Shares for the three-month floating rate period from and including March 31, 2024, to, but excluding, June 30, 2024, will be 7.991 percent, being equal to the annual rate of interest for the most recent auction of 90-day Government of Canada treasury bills of 4.981 percent plus 3.01 percent, in accordance with the terms of the Series 18 Shares (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset on the last day of March, June, September and December in each year.

Beneficial holders of Series 17 Shares who wish to exercise their right of conversion during the conversion period, which runs from March 1, 2024, until 3:00 pm (MT) / 5:00 pm (ET) on March 18, 2024, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with the time to complete the necessary steps. Any notices received after this deadline will not be valid.

As previously announced, the dividend payable on March 31, 2024, to holders of the Series 17 Shares of record on March 15, 2024, will be $0.301313 per Series 17 Share. Pursuant to the terms of the Series 17 Shares, as March 31, 2024 is not a business day, payment will occur on April 1, 2024. For more information on the terms of the Series 17 Shares and the Series 18 Shares, please see the articles of amalgamation dated October 2, 2017, which can be found on SEDAR+ at www.sedarplus.ca.

It will be recalled that PPL.PR.Q will reset at 4.821% effective March 31, 2019.

PPL.PR.Q was originally issued as VSN.PR.C, following a plan of arrangement between the two companies. VSN.PR.C was a FixedReset, 5.00%+301 that commenced trading 2013-10-21 after being announced 2013-10-9. PPL.PR.Q reset at 4.821% effective 2019-3-31. I recommended against conversion and there was no conversion. PPL.PR.Q is tracked by HIMIPref™ but is relegated to the Scraps-FixedReset (Discount) subindex on credit concerns.

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

March 1, 2024

March 1st, 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 -0.8969 % 2,349.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8969 % 4,505.3
Floater 10.37 % 10.56 % 44,579 9.00 2 -0.8969 % 2,596.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0484 % 3,393.1
SplitShare 4.96 % 7.34 % 50,428 1.88 7 0.0484 % 4,052.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0484 % 3,161.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1547 % 2,631.6
Perpetual-Discount 6.53 % 6.73 % 44,535 12.87 33 -0.1547 % 2,869.6
FixedReset Disc 5.58 % 7.39 % 110,558 12.16 59 0.5801 % 2,390.6
Insurance Straight 6.45 % 6.54 % 61,359 13.22 21 -0.3601 % 2,810.9
FloatingReset 9.99 % 10.17 % 36,484 9.36 3 -0.2829 % 2,590.6
FixedReset Prem 7.00 % 7.02 % 154,764 12.35 1 0.1996 % 2,494.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5801 % 2,443.7
FixedReset Ins Non 5.55 % 7.34 % 78,571 12.37 14 0.0566 % 2,560.6
Performance Highlights
Issue Index Change Notes
GWO.PR.Y Insurance Straight -5.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 6.81 %
BN.PR.K Floater -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 10.82 %
CU.PR.E Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.57 %
IFC.PR.K Insurance Straight -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.55 %
SLF.PR.G FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 14.49
Evaluated at bid price : 14.49
Bid-YTW : 8.21 %
FTS.PR.F Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.23 %
MFC.PR.M FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 7.78 %
SLF.PR.D Insurance Straight -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 5.97 %
BN.PR.X FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 8.50 %
IFC.PR.C FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 7.57 %
GWO.PR.G Insurance Straight 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 6.55 %
RY.PR.Z FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.37
Evaluated at bid price : 21.64
Bid-YTW : 6.78 %
IFC.PR.G FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.52
Evaluated at bid price : 21.80
Bid-YTW : 7.16 %
TD.PF.A FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.70
Evaluated at bid price : 22.12
Bid-YTW : 6.59 %
BIP.PR.E FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 7.81 %
CM.PR.S FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 22.15
Evaluated at bid price : 22.15
Bid-YTW : 6.89 %
BN.PF.I FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 8.76 %
TD.PF.C FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 7.07 %
BN.PF.F FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 8.72 %
CM.PR.O FixedReset Disc 3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.64
Evaluated at bid price : 22.02
Bid-YTW : 6.72 %
BMO.PR.S FixedReset Disc 4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 22.41
Evaluated at bid price : 23.27
Bid-YTW : 6.40 %
BMO.PR.Y FixedReset Disc 8.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.32 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.L FixedReset Disc 86,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 23.91
Evaluated at bid price : 24.85
Bid-YTW : 6.99 %
PWF.PR.P FixedReset Disc 67,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 8.46 %
BMO.PR.S FixedReset Disc 54,573 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 22.41
Evaluated at bid price : 23.27
Bid-YTW : 6.40 %
CM.PR.O FixedReset Disc 48,790 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.64
Evaluated at bid price : 22.02
Bid-YTW : 6.72 %
PWF.PR.F Perpetual-Discount 29,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 6.70 %
PWF.PR.H Perpetual-Discount 22,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.29
Evaluated at bid price : 21.56
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
TD.PF.C FixedReset Disc Quote: 20.62 – 22.95
Spot Rate : 2.3300
Average : 1.4365

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 7.07 %

CM.PR.O FixedReset Disc Quote: 22.02 – 23.92
Spot Rate : 1.9000
Average : 1.0803

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.64
Evaluated at bid price : 22.02
Bid-YTW : 6.72 %

CU.PR.E Perpetual-Discount Quote: 18.79 – 20.70
Spot Rate : 1.9100
Average : 1.1734

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.57 %

TD.PF.E FixedReset Disc Quote: 18.55 – 21.48
Spot Rate : 2.9300
Average : 2.2779

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 8.33 %

BMO.PR.W FixedReset Disc Quote: 20.30 – 22.50
Spot Rate : 2.2000
Average : 1.5775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 7.16 %

RY.PR.J FixedReset Disc Quote: 20.86 – 22.15
Spot Rate : 1.2900
Average : 0.7664

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 7.39 %

HIMI Releases Research Into ZPR

March 1st, 2024

James Hymas, president of preferred share specialist firm Hymas Investment Management Inc. (“HIMI”), stated today that his investigation of discrepancies between Bank of Montreal’s (“BMO”) regulatory and advertising material for BMO Laddered Preferred Share Index ETF (TSX: ZPR) and the actual portfolio held by the fund has led to the conclusion that BMO has not been straightforward with its investors regarding the portfolio composition of the fund.

“Like many funds, ZPR relies on a gimmick to attract customers: in this case, the fund’s advertising emphasizes the idea that the fund is ‘laddered’”, Hymas explained. “The word ‘laddered’ is even included in the name of the fund! Certainly, the index on which ZPR purports to be based is laddered – the proportion of the portfolio that will reset in each of the next five years is very close to 20% for all reset years – even when measured between the monthly index rebalancing dates. However, BMO’s own report for ZPR dated October 31, 2023, shows a range of 11.38% to 27.69%.”

Hymas also stated “Problematical laddering is not the only issue. Aggregate weights by issuer for the portfolio are wildly different from the index on the dates I sampled, as are weights by individual issue – to the extent that over 12% of the fund’s portfolio is held in issues not included in the index. This does not support the prospectus claim that ‘The investment strategy of BMO Laddered Preferred Share Index ETF is currently to invest in and hold the constituent securities of the Solactive Laddered Canadian Preferred Share Index in the same proportion as they are reflected in the Index.’”

BMO claims that the quoted sentence “cannot be read in isolation and is qualified by other statements in the prospectus”, but this is not well-supported by the evidence – a discussion is embodied in the supporting commentary linked below. Hymas remarked that he will leave it to investors to determine for themselves whether they accept BMO’s claim, noting that the ‘same proportion’ assertion is repeated on the fund’s web page without any qualifying statement; the fund’s “Factsheet” – which may be obtained from the fund’s web page – repeats the web page’s unequivocal yet false statement of strategy.

“As it stands, BMO Laddered Preferred Share Index ETF is neither laddered nor an Index fund – BMO must make immediate full and frank disclosure of their shortcomings in the management of the fund and make restitution to clients for the risks that they have borne that they had been seeking to avoid”, Hymas concluded.

Further information has been published by HIMI on a dedicated web page at https://himivest.com/ZPR/ .

AIM.PR.C To Be Extended

March 1st, 2024

Aimia Inc. has announced (on 2024-2-22):

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Rate Reset Preferred Shares, Series 3 (“Series 3 Shares”) (TSX: AIM.PF.C) on March 31, 2024. As a result, subject to certain conditions, the holders of the Series 3 Shares have the right to convert all or part of their Series 3 Shares on a one-for-one basis into Cumulative Floating Rate Preferred Shares, Series 4 of Aimia (“Series 4 Shares”) on April 1, 2024 (March 31, 2024 falling on a Sunday, a non-business day). Holders who do not exercise their right to convert their Series 3 Shares into Series 4 Shares will retain their Series 3 Shares.

The foregoing conversion right is subject to the conditions that: (i) if Aimia determines that there would be fewer than 1,000,000 Series 3 Shares outstanding after April 1, 2024, then all remaining Series 3 Shares will automatically be converted into Series 4 Shares on a one-for-one basis on April 1, 2024; and alternatively (ii) if Aimia determines that there would be less than 1,000,000 Series 4 Shares after April 1, 2024 no Series 3 Shares will be converted into Series 4 Shares. There are currently 4,355,263 Preferred Series 3 Shares outstanding.

The annual fixed dividend rate applicable to the Series 3 Preferred Shares for the 5-year period from and including March 31, 2024 to but excluding March 31, 2029, and the floating quarterly dividend rate applicable to the Series 4 Preferred Shares for the 3-month period from and including March 31, 2024 to but excluding June 30, 2024 will be announced by a news release on March 1, 2024.

Beneficial holders of Series 3 Shares who wish to exercise their right of conversion during the conversion period, which runs from March 1, 2024 to March 18, 2024 at 5:00 pm (Eastern Time), should communicate with their broker or other intermediary for more information as soon as possible. It is recommended that holders do this well in advance of the deadline date to provide their broker or intermediary sufficient time to complete necessary steps. All notices received after the deadline date will not be valid.

All inquiries regarding the conversion of Aimia’s Series 3 Preferred Shares should be directed to the Company’s Transfer Agent, TSX Trust Company at 1-800-387-0825 or shareholderinquiries@tmx.com.

AIM.PR.C was issued as a FixedReset, 6.25%+420, that commenced trading 2014-1-15 after being announced 2014-1-6. The extension was announced 2019-2-26. AIM.PR.C reset at 6.011% effective 2019-3-31 (not 6.01%, as stated in the original press release) I recommended against conversion and there was no conversion. The issue is tracked by HIMIPref™ but relegated to the Scraps-FixedReset (Discount) subindex on credit concerns.