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.

LCS.PR.A To Reset At 7.00%

February 29th, 2024

Brompton Group has announced (on 2024-2-28):

that the distribution rate for the preferred shares (the “Preferred Shares”) for the 5-year term from April 30, 2024 to April 27, 2029 will be $0.70 per Preferred Share per annum (7.0% on the par value of $10.00) payable quarterly. This represents a pre-tax interest equivalent yield of approximately 9.1%.(1) The Preferred Share distribution rate is based on current market rates for preferred shares with similar terms.

The term extension offers preferred shareholders the opportunity to enjoy preferential cash dividends until April 27, 2029. Over the past 10-year period to January 31, 2024, the Preferred Share has delivered a 6.1% per annum return.(2) The Preferred Share has delivered consistent returns with less volatility and has outperformed the S&P/TSX Preferred Share Index over the past 10-year period by 4.2% per annum.(2)

Annual Compound Returns(2) 1-Year 3-Year 5-Year 10-Year
Preferred Shares (TSX: LCS.PR.A) 6.4% 6.4% 6.4% 6.1%
S&P/TSX Preferred Share Index 4.5% 2.2% 3.9% 1.9%

In addition, the Fund intends to maintain the targeted monthly class A share (the “Class A Share”) distribution rate at $0.075 per Class A Share.(3) The Class A Share has outperformed both the S&P/TSX Capped Financials Index and the S&P/TSX Composite Index over the past 1, 3, 5, and 10-year periods. (2) Over the past 10-year period to January 31, 2024, the Class A Share has delivered an 11.6% per annum return, outperforming the S&P/TSX Capped Financials Index and the S&P/TSX Composite Index (the “TSX Composite”) by 2.0% per annum and 4.0% per annum, respectively. (2)

Annual Compound Returns(2) 1-Year 3-Year 5-Year 10-Year
Class A Shares (TSX: LCS) 39.8% 32.4% 25.5% 11.6%
S&P/TSX Capped Financials Index 4.6% 12.1% 9.8% 9.6%
S&P/TSX Composite Index 4.7% 10.0% 9.6% 7.6%

Since inception on April 18, 2007 to January 31, 2024, Class A shareholders have received cash distributions of $8.36 per Class A Share. Class A shareholders have the option to benefit by reinvesting their cash distributions in a distribution reinvestment plan (“DRIP”) which is commission free to participants. Class A shareholders can enroll in the DRIP program by contacting their investment advisor.

The Fund invests in a portfolio of common shares of Canada’s four largest publicly-listed life insurance companies, on an approximately equal weight basis: Great-West Lifeco Inc., iA Financial Group, Manulife Financial Corporation and Sun Life Financial Inc.

In connection with the extension, shareholders who do not wish to continue their investment in the Fund, will be able to retract their Preferred Shares or Class A Shares on April 29, 2024 pursuant to a special retraction right and receive a retraction price that is calculated in the same way that such price would be calculated if the Fund were to terminate on April 29, 2024. Pursuant to this option, the retraction price may be less than the market price if the security is trading at a premium to net asset value. To exercise this retraction right, shareholders must provide notice to their investment dealer by March 28, 2024 at 5:00 p.m.(Toronto time). Alternatively, shareholders may sell their Preferred Shares and/or Class A Shares through their securities dealer for the market price at any time, potentially at a higher price than would be achieved through retraction, or shareholders may take no action and continue to hold their shares.

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

February 29, 2024

February 29th, 2024

TXPR closed at 566.46, up 0.55% on the day. Volume today was 1.37-million, a little above the median of the past 21 trading days.

CPD closed at 11.34, up 1.25% on the day. Volume was 136,500, highest of the past 21 trading days.

ZPR closed at 9.64, up 0.84% on the day. Volume was 168,730, fourth-highest of the past 21 trading days.

Five-year Canada yields were down to 3.60%.

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 0.5328 % 2,370.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5328 % 4,546.1
Floater 10.27 % 10.55 % 44,182 9.01 2 0.5328 % 2,619.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0545 % 3,391.5
SplitShare 4.96 % 7.33 % 51,010 1.88 7 0.0545 % 4,050.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0545 % 3,160.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2497 % 2,635.6
Perpetual-Discount 6.52 % 6.74 % 44,498 12.86 33 0.2497 % 2,874.0
FixedReset Disc 5.58 % 7.46 % 112,678 12.15 59 0.5768 % 2,376.8
Insurance Straight 6.43 % 6.49 % 63,856 13.25 21 -0.1101 % 2,821.0
FloatingReset 9.96 % 10.10 % 35,424 9.37 3 -0.0565 % 2,597.9
FixedReset Prem 7.01 % 7.04 % 156,433 12.34 1 0.1199 % 2,489.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5768 % 2,429.6
FixedReset Ins Non 5.55 % 7.37 % 81,370 12.37 14 -0.3870 % 2,559.1
Performance Highlights
Issue Index Change Notes
GWO.PR.T Insurance Straight -8.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.57 %
TD.PF.E FixedReset Disc -8.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 8.32 %
BMO.PR.Y FixedReset Disc -4.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.96 %
SLF.PR.H FixedReset Ins Non -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.37 %
CU.PR.I FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 22.18
Evaluated at bid price : 22.50
Bid-YTW : 7.79 %
IFC.PR.G FixedReset Ins Non -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.27 %
PWF.PR.T FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 7.35 %
PWF.PR.G Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.94
Evaluated at bid price : 22.17
Bid-YTW : 6.74 %
BN.PF.G FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 9.10 %
GWO.PR.L Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 6.51 %
BN.PF.C Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.00 %
RY.PR.N Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.91
Evaluated at bid price : 22.20
Bid-YTW : 5.54 %
CU.PR.C FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 7.69 %
BIP.PR.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 9.51 %
GWO.PR.Q Insurance Straight 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 6.54 %
RY.PR.H FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 7.19 %
RY.PR.S FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 22.09
Evaluated at bid price : 22.68
Bid-YTW : 6.64 %
BIP.PR.F FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 7.80 %
BN.PR.K Floater 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 12.22
Evaluated at bid price : 12.22
Bid-YTW : 10.63 %
CM.PR.P FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.50 %
TD.PF.B FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.90
Evaluated at bid price : 22.40
Bid-YTW : 6.58 %
BMO.PR.S FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.84
Evaluated at bid price : 22.30
Bid-YTW : 6.70 %
FTS.PR.M FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 8.15 %
NA.PR.S FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 7.21 %
GWO.PR.S Insurance Straight 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.54 %
NA.PR.W FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.53 %
RY.PR.Z FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.88 %
TD.PF.C FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 7.21 %
CM.PR.O FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 6.95 %
BMO.PR.W FixedReset Disc 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.19 %
TD.PF.A FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.47
Evaluated at bid price : 21.80
Bid-YTW : 6.69 %
FTS.PR.F Perpetual-Discount 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.04
Evaluated at bid price : 20.04
Bid-YTW : 6.16 %
RY.PR.J FixedReset Disc 2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.43 %
BMO.PR.T FixedReset Disc 3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 7.00 %
TD.PF.D FixedReset Disc 3.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 7.39 %
RY.PR.M FixedReset Disc 3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 7.36 %
CM.PR.Q FixedReset Disc 3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 84,375 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 7.00 %
GWO.PR.R Insurance Straight 65,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.49 %
TD.PF.D FixedReset Disc 63,607 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 7.39 %
BMO.PR.S FixedReset Disc 57,189 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 21.84
Evaluated at bid price : 22.30
Bid-YTW : 6.70 %
RY.PR.M FixedReset Disc 56,631 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 7.36 %
RY.PR.H FixedReset Disc 53,449 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 7.19 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.T Insurance Straight Quote: 17.05 – 20.59
Spot Rate : 3.5400
Average : 2.3598

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.57 %

TD.PF.E FixedReset Disc Quote: 18.55 – 21.11
Spot Rate : 2.5600
Average : 1.5630

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 8.32 %

BMO.PR.Y FixedReset Disc Quote: 19.01 – 20.95
Spot Rate : 1.9400
Average : 1.1037

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.96 %

SLF.PR.H FixedReset Ins Non Quote: 18.00 – 19.20
Spot Rate : 1.2000
Average : 0.9152

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.37 %

TD.PF.D FixedReset Disc Quote: 20.90 – 21.90
Spot Rate : 1.0000
Average : 0.7642

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 7.39 %

BN.PF.I FixedReset Disc Quote: 20.00 – 20.78
Spot Rate : 0.7800
Average : 0.5478

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-01
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.91 %

February 28, 2024

February 29th, 2024

Sorry this is late!

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

V
alues are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading< br>Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.0
0
0 -0.4894 % 2,357.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4894 % 4,522.0
Floater 10.33 % 10.51 % 44,826 9.04 2 -0.4894 % 2,606.1
OpRet 0.00 % 0.
00 %
0 0.00 0 0.1274 % 3,389.6
SplitShare 4.97 % 7.51 % 50,989 1.88 7 0.1274 % 4,047.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1274 % 3,158.4
Per
petual-Premium
0.00 % 0.00 % 0 0.00 0 -0.1904 % 2,629.1
Perpetual-Discount 6.54 % 6.74
%
44,899 12.85 33 -0.1904 % 2,866.9
FixedReset Disc 5.61 % 7.62 % 111,513 12.15 59 0.3868 % 2,363.2
Insurance Straight 6.42 % 6.54 % 59,095 13.19 21 -0.8252 % 2,82
4.1
FloatingReset 9.96 % 10.13 % 35,545 9.35 3 0.5877 % 2,599.4
FixedReset Prem 7.02 % 7.04 % 161,672 12.33 1 0.0000 % 2,486.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3868 % 2,415.7
FixedReset Ins Non 5.53 % 7.22 % 80,103 12.34 14 0.045
1 %
2,569.1
Performance Highlights
Issue Index Change Notes
CU.PR.D Perpetual-Discount -5.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.82 %
BN.PF.F FixedReset Disc -3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.94 %
FTS.PR.F Perpetual-Discount -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.33 %
FTS.PR.M FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.29 %
BN.PR.K Floater -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 12.05
Evaluated at bid price : 12.05
Bid-YTW : 10.78 %
MIC.PR.A Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.17 %
BN.PF.I FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.91 %
GWO.PR.S Insurance Straight -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.65 %
RY.PR.J FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.64 %
BMO.PR.Y FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.57 %
FFH.PR.I FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.82 %
CU.PR.C FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.77 %
BIP.PR.F FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.91 %
SLF.PR.H FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.20 %
MFC.PR.F FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 7.85 %
SLF.PR.J FloatingReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 9.91 %
RY.PR.H FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 7.28 %
PWF.PR.T FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 7.25 %
TD.PF.D FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.66 %
CM.PR.P FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.61 %
TD.PF.B FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 21.66
Evaluated at bid price : 22.05
Bid-YTW : 6.69 %
TD.PF.E FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 7.62 %
GWO.PR.M Insurance Straight 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 22.58
Evaluated at bid price : 22.83
Bid-YTW : 6.35 %
RY.PR.Z FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 7.01 %
POW.PR.C Perpetual-Discount 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.54 %
BMO.PR.T FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.24 %
BMO.PR.S FixedReset Disc 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 21.59
Evaluated at bid price : 21.95
Bid-YTW : 6.81 %
TD.PF.A FixedReset Disc 3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.88 %
BMO.PR.W FixedReset Disc 3.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.35 %
Volume Highlights
Issue Index Shares
Traded
Notes
B
MO.PR.S
FixedReset Disc 160,062 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 21.59
Evaluated at bid price : 21.95
Bid-YTW : 6.81 %
RY.PR.M FixedReset Disc 134,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 7.62 %
MFC.PR.F FixedReset Ins Non 91,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 7.85 %
NA.PR.S FixedReset Disc 47,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 7.34 %
MFC.PR.K FixedReset Ins Non 44,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 21.73
Evaluated at bid price : 22.10
Bid-YTW : 6.77 %
BMO.PR.T FixedReset Disc 37,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.24 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.W FixedReset Disc Quote: 19.75 – 22.50
Spot Rate : 2.7500
Average : 1.5473


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.35 %
BN.PF.F FixedReset Disc Quote: 18.25 – 20.00
Spot Rate : 1.7500
Average : 1.0450


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.94 %
TD.PF.C FixedReset Disc Quote: 19.85 – 21.00
Spot Rate : 1.1500
Average : 0.6728


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 7.34 %
RY.PR.M FixedReset Disc Quote: 19.38 – 20.49
Spot Rate : 1.1100
Average : 0.6676


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 7.62 %
GWO.PR.T Insurance Straight Quote: 18.67 – 20.10
Spot Rate : 1.4300
Average : 1.0659


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 6.91 %
CU.PR.D Perpetual-Discount Quote: 18.10 – 19.20
Spot Rate : 1.1000
Average : 0.7838


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.82 %

February 27, 2024

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2453 % 2,369.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2453 % 4,544.3
Floater 10.28 % 10.54 % 46,359 9.02 2 0.2453 % 2,618.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1944 % 3,385.3
SplitShare 4.97 % 7.50 % 47,190 1.89 7 0.1944 % 4,042.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1944 % 3,154.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2301 % 2,634.1
Perpetual-Discount 6.52 % 6.74 % 46,744 12.86 33 -0.2301 % 2,872.3
FixedReset Disc 5.63 % 7.68 % 111,792 12.11 59 -0.0574 % 2,354.1
Insurance Straight 6.37 % 6.54 % 60,143 13.08 21 -0.1285 % 2,847.6
FloatingReset 10.01 % 10.16 % 35,955 9.34 3 -0.1892 % 2,584.2
FixedReset Prem 7.02 % 7.04 % 164,275 12.33 1 -0.5169 % 2,486.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0574 % 2,406.4
FixedReset Ins Non 5.53 % 7.27 % 78,562 12.39 14 -1.1959 % 2,567.9
Performance Highlights
Issue Index Change Notes
GWO.PR.T Insurance Straight -5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.92 %
POW.PR.C Perpetual-Discount -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.69 %
RY.PR.Z FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.17 %
SLF.PR.H FixedReset Ins Non -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.27 %
SLF.PR.G FixedReset Ins Non -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 14.87
Evaluated at bid price : 14.87
Bid-YTW : 8.00 %
TD.PF.E FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 7.76 %
BN.PR.X FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 8.60 %
GWO.PR.N FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 8.29 %
CU.PR.G Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 6.51 %
CU.PR.C FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.85 %
BMO.PR.Y FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.64 %
BN.PF.B FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 8.17 %
BN.PF.I FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 8.80 %
PVS.PR.J SplitShare 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 7.08 %
GWO.PR.S Insurance Straight 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.60 %
SLF.PR.J FloatingReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 16.09
Evaluated at bid price : 16.09
Bid-YTW : 10.04 %
SLF.PR.C Insurance Straight 7.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.86 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.G FixedReset Ins Non 51,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 14.87
Evaluated at bid price : 14.87
Bid-YTW : 8.00 %
TD.PF.B FixedReset Disc 44,848 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 21.41
Evaluated at bid price : 21.70
Bid-YTW : 6.81 %
TD.PF.C FixedReset Disc 33,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 7.36 %
BN.PF.I FixedReset Disc 32,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 8.80 %
TD.PF.A FixedReset Disc 32,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.13 %
TD.PF.J FixedReset Disc 21,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 21.64
Evaluated at bid price : 21.95
Bid-YTW : 7.10 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 18.50 – 20.97
Spot Rate : 2.4700
Average : 1.9633

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.18 %

GWO.PR.T Insurance Straight Quote: 19.00 – 20.03
Spot Rate : 1.0300
Average : 0.6667

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.92 %

POW.PR.C Perpetual-Discount Quote: 22.00 – 22.76
Spot Rate : 0.7600
Average : 0.5111

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.69 %

SLF.PR.H FixedReset Ins Non Quote: 18.25 – 19.15
Spot Rate : 0.9000
Average : 0.6608

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.27 %

RY.PR.Z FixedReset Disc Quote: 20.50 – 21.01
Spot Rate : 0.5100
Average : 0.3130

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.17 %

MFC.PR.J FixedReset Ins Non Quote: 22.00 – 22.58
Spot Rate : 0.5800
Average : 0.3832

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 21.68
Evaluated at bid price : 22.00
Bid-YTW : 7.06 %