Archive for March, 2024

DFN.PR.A To Be Extended

Wednesday, March 13th, 2024

Quadravest has announced:

Dividend 15 Split Corp. (the “Company”) is pleased to announce it will extend the termination date of the Company a further five year period from December 1, 2024 to December 1, 2029.

The term extension allows holders of DFN Class A Shares (“Class A Shares”) to continue to receive ongoing leveraged exposure to a portfolio consisting of high-quality Canadian dividend yielding stocks as well as receiving targeted monthly distributions. Since inception of the Company Class A shareholders have received monthly distributions totaling $26.60 per share (including five special distributions of $0.25 per share, one special distribution of $0.50 per share and one special stock dividend of $1.75 per share).

Holders of the DFN.PR.A Preferred Shares (“Preferred Shares”) are expected to continue to benefit from cumulative preferential monthly distributions. The Preferred shareholders have received a total of $10.58 per share since inception.

The extension of the term of the Company is not expected to be a taxable event and should enable shareholders to defer potential capital gains tax liability that would have otherwise been realized on the redemption of the Class A Shares or Preferred Shares at the end of the term, until such time as such shares are disposed of by shareholders.

In connection with the extension, the Company will have the right to amend the rate of cumulative preferential monthly dividends to be paid to the Preferred Shares for the five year renewal period, commencing December 1, 2024. Any change to the Preferred Share dividend rate for the extended term will be based on market yields for preferred shares with similar terms at such time and will be announced no later than September 30, 2024.

In connection with the term extension, the Company will offer a non-concurrent Special Retraction Right which will allow existing shareholders to tender one or both classes of Shares and receive a retraction price based on the November 29, 2024 net asset value per unit.

The Company invests in a high quality portfolio of leading Canadian dividend-yielding stocks as follows: Bank of Montreal, Bank of Nova Scotia, Canadian Imperial Bank of Commerce, Royal Bank of Canada, TorontoDominion Bank, National Bank of Canada, CI Financial Corp., BCE Inc., Manulife Financial, Enbridge Inc., Sun Life Financial, TELUS Corporation, Thomson Reuters Corporation, TransAlta Corporation, TC Energy Corp.

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

March 13, 2024

Wednesday, March 13th, 2024

PerpetualDiscounts now yield 6.68%, equivalent to 8.68% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.03% on 2024-3-13 so there’s no need to adjust for market movement. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 365bp from the 370bp reported March 6.

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 0.0000 % 2,368.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,542.0
Floater 10.16 % 10.22 % 41,345 9.43 1 0.0000 % 2,617.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0602 % 3,406.3
SplitShare 4.94 % 7.35 % 43,901 1.85 7 -0.0602 % 4,067.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0602 % 3,173.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1227 % 2,656.3
Perpetual-Discount 6.47 % 6.68 % 47,566 12.90 31 0.1227 % 2,896.6
FixedReset Disc 5.41 % 7.00 % 106,724 12.37 59 0.0727 % 2,441.0
Insurance Straight 6.29 % 6.48 % 51,124 13.29 22 0.2972 % 2,858.3
FloatingReset 9.92 % 10.09 % 29,607 9.36 3 0.3592 % 2,600.9
FixedReset Prem 6.98 % 6.89 % 152,349 12.44 1 0.1193 % 2,502.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0727 % 2,495.2
FixedReset Ins Non 5.49 % 7.18 % 72,478 12.48 14 0.0261 % 2,588.3
Performance Highlights
Issue Index Change Notes
MFC.PR.Q FixedReset Ins Non -3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.18 %
BN.PF.F FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 8.73 %
BIP.PR.A FixedReset Disc -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 9.30 %
POW.PR.C Perpetual-Discount -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 6.64 %
TD.PF.C FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.78 %
BMO.PR.W FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 21.31
Evaluated at bid price : 21.58
Bid-YTW : 6.55 %
BN.PR.X FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 8.33 %
BMO.PR.Y FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.97 %
SLF.PR.C Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 5.85 %
TD.PF.B FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 22.48
Evaluated at bid price : 23.41
Bid-YTW : 6.12 %
SLF.PR.H FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.05 %
GWO.PR.N FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 8.00 %
PWF.PR.S Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.69 %
IAF.PR.B Insurance Straight 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.29 %
BN.PR.T FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 8.84 %
NA.PR.W FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 7.00 %
CCS.PR.C Insurance Straight 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.66 %
TD.PF.E FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 21.58
Evaluated at bid price : 21.97
Bid-YTW : 6.90 %
CU.PR.I FixedReset Disc 4.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 7.66 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.L FixedReset Disc 541,899 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 5.40 %
BMO.PR.S FixedReset Disc 235,917 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 22.66
Evaluated at bid price : 23.77
Bid-YTW : 6.09 %
TD.PF.B FixedReset Disc 212,747 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 22.48
Evaluated at bid price : 23.41
Bid-YTW : 6.12 %
TD.PF.I FixedReset Disc 75,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 23.03
Evaluated at bid price : 24.31
Bid-YTW : 6.66 %
MFC.PR.F FixedReset Ins Non 58,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 7.65 %
PWF.PR.P FixedReset Disc 53,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 8.17 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Ins Non Quote: 19.33 – 21.00
Spot Rate : 1.6700
Average : 1.1950

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 7.33 %

CU.PR.F Perpetual-Discount Quote: 17.50 – 18.64
Spot Rate : 1.1400
Average : 0.6745

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.50 %

BN.PF.F FixedReset Disc Quote: 18.30 – 19.80
Spot Rate : 1.5000
Average : 1.2005

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 8.73 %

TD.PF.A FixedReset Disc Quote: 20.50 – 22.96
Spot Rate : 2.4600
Average : 2.2139

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.96 %

BN.PR.N Perpetual-Discount Quote: 17.81 – 18.50
Spot Rate : 0.6900
Average : 0.4637

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 6.83 %

TD.PF.C FixedReset Disc Quote: 21.00 – 21.69
Spot Rate : 0.6900
Average : 0.4644

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.78 %

TD.PF.L To Be Redeemed

Tuesday, March 12th, 2024

The Toronto-Dominion Bank has announced:

that it will exercise its right to redeem all of its 14,000,000 outstanding Non-Cumulative 5-Year Rate Reset Class A First Preferred Shares, Series 22 (Non-Viability Contingent Capital) (the “Series 22 Shares”) on April 30, 2024 at the price of $25.00 per Series 22 Share for an aggregate total of approximately $350 million. The redemption has been approved by the Office of the Superintendent of Financial Institutions.

On February 29, 2024, TD announced that dividends of $0.325 per Series 22 Share had been declared. These will be the final dividends on the Series 22 Shares, and will be paid in the usual manner on April 30, 2024 to shareholders of record on April 9, 2024, as previously announced. After April 30, 2024, the Series 22 Shares will cease to be entitled to dividends and the only remaining rights of holders of such shares will be to receive payment of the redemption amount.

Beneficial holders who are not directly the registered holder of Series 22 Shares should contact the financial institution, broker or other intermediary through which they hold these shares to confirm how they will receive their redemption proceeds. Inquiries should be directed to our Registrar and Transfer Agent, TSX Trust Company, at 1-800-387-0825 (or in Toronto 416-682-3860).

TD.PF.L was issued as a FixedReset, 5.20%+327, that commenced trading 2019-1-28 after being announced 2019-01-17. It is currently assigned to the FixedReset-Discount subindex.

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

DGS.PR.A To Be Extended

Tuesday, March 12th, 2024

Brompton Funds has announced:

Dividend Growth Split Corp. (the “Fund”) is pleased to announce that the board of directors of the Fund has approved an extension of the maturity date of the class A shares (the “Class A Shares”) and preferred shares (the “Preferred Shares”) of the Fund. The current maturity date of September 27, 2024 will be extended for an additional term of approximately 5 years to August 30, 2029. The Preferred Share dividend rate for the extended term will be announced at least 60 days prior to the current September 27, 2024 maturity date and will be based on market yields for preferred shares with similar terms at that time. The term extension allows Class A shareholders to continue their investment with an attractive distribution rate of 20.5% based on the March 8, 2024 closing price, and the opportunity for capital appreciation.(1) The extension of the term of the Fund is not a taxable event and enables shareholders to defer potential capital gains tax liability that would have otherwise been realized on redemption of Class A Shares or Preferred Shares at the end of the term, until such time that shares are disposed of by shareholders.

Over the last 10 years to February 29, 2024, the Class A Share has delivered a 10.8% per annum return, which outperformed the S&P/TSX Composite Index by 3.4% per annum.(2) Since inception to February 29, 2024, Class A shareholders have received cash distributions of $15.99 per share. Class A shareholders also have the option to reinvest their cash distributions in a dividend reinvestment plan which is commission free to participants.

The term extension offers Preferred shareholders the opportunity to enjoy preferential cash dividends until August 30, 2029. Over the last 10 years to February 29, 2024, the Preferred Share has delivered a 5.5% per annum return, outperforming the S&P/TSX Preferred Share Index by 3.6% per annum with less volatility.(2)

The Fund invests, on an approximately equally-weighted basis, in a portfolio consisting primarily of equity securities of Canadian dividend growth companies. In addition, the Fund may hold up to 20% of the total assets of the portfolio in global dividend growth companies for diversification and enhanced return potential.

March 12, 2024

Tuesday, March 12th, 2024

Ontario Teachers’ Pension Plan had a really bad year due to market timing:

Teachers fell short of the 8.7-per-cent benchmark it uses to measure its own performance, as losses on real estate and infrastructure dragged down returns.

One reason for the fund’s underperformance was its cautious stance toward the stock market. The publicly traded stocks Teachers owns did well, gaining 20 per cent last year against a 20.3-per-cent benchmark, but they make up just 10 per cent of its assets. At the start of last year, Teachers was betting on “some correction in listed stock markets, which didn’t happen,” chief executive officer Jo Taylor said in an interview.

High interest rates prompted Teachers to mark down asset values in its real estate portfolio, which lost 5.9 per cent, as well as its infrastructure arm, which lost 2.8 per cent. Both portfolios fell far short of internal benchmarks, gaining 2 per cent and 7.6 per cent.

I got curious about the longer term performance, so I looked up their performance report and was very disappointed. Where’s their triangle? I want to run my finger down their five-year rolling returns vs. their benchmark and get some idea of trends, but this will not be possible without a great deal of work on my part, which isn’t going to happen.

This is before we even get to the question of their $58.5-billion private equity portfolio and its benchmark; God only knows how accurate the valuations in either group might be. As I keep saying until you guys are sick of it, the purpose of private equity is to enable lying to your clients. Mark my words, one day there’s going to be a monster blow-up and then – and only then – will the clients and their supposed protectors get interested.

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 0.0000 % 2,368.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,542.0
Floater 10.16 % 10.22 % 41,229 9.43 1 0.0000 % 2,617.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0603 % 3,408.3
SplitShare 4.94 % 7.20 % 44,384 1.85 7 0.0603 % 4,070.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0603 % 3,175.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0917 % 2,653.0
Perpetual-Discount 6.48 % 6.67 % 47,916 12.89 31 0.0917 % 2,893.0
FixedReset Disc 5.42 % 7.05 % 102,403 12.42 59 0.1212 % 2,439.2
Insurance Straight 6.31 % 6.50 % 51,226 13.27 22 0.8856 % 2,849.8
FloatingReset 9.96 % 10.13 % 30,803 9.36 3 -0.3954 % 2,591.6
FixedReset Prem 6.99 % 6.90 % 154,242 12.43 1 0.0000 % 2,499.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1212 % 2,493.3
FixedReset Ins Non 5.49 % 7.12 % 71,632 12.56 14 0.5024 % 2,587.6
Performance Highlights
Issue Index Change Notes
TD.PF.A FixedReset Disc -7.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.96 %
CU.PR.I FixedReset Disc -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 8.02 %
FTS.PR.G FixedReset Disc -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 6.96 %
MFC.PR.F FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 7.69 %
TD.PF.B FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 22.35
Evaluated at bid price : 23.16
Bid-YTW : 6.19 %
RY.PR.M FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.82 %
RY.PR.H FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.56
Evaluated at bid price : 21.56
Bid-YTW : 6.65 %
CU.PR.C FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 7.38 %
FTS.PR.H FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 8.07 %
TD.PF.D FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.53
Evaluated at bid price : 21.90
Bid-YTW : 6.90 %
BN.PR.B Floater 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 10.22 %
SLF.PR.H FixedReset Ins Non 2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.12 %
BN.PF.F FixedReset Disc 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 8.48 %
BMO.PR.S FixedReset Disc 3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 22.65
Evaluated at bid price : 23.75
Bid-YTW : 6.09 %
MFC.PR.C Insurance Straight 3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.07 %
MFC.PR.Q FixedReset Ins Non 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.52
Evaluated at bid price : 21.80
Bid-YTW : 6.90 %
GWO.PR.T Insurance Straight 16.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.50 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 108,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.85
Evaluated at bid price : 22.34
Bid-YTW : 6.37 %
FFH.PR.G FixedReset Disc 100,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 16.72
Evaluated at bid price : 16.72
Bid-YTW : 8.64 %
PWF.PR.P FixedReset Disc 53,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 8.16 %
BMO.PR.W FixedReset Disc 36,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.55
Evaluated at bid price : 21.90
Bid-YTW : 6.45 %
TD.PF.L FixedReset Disc 28,975 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 23.95
Evaluated at bid price : 24.92
Bid-YTW : 6.82 %
NA.PR.S FixedReset Disc 25,788 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.63
Evaluated at bid price : 22.00
Bid-YTW : 6.72 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.A FixedReset Disc Quote: 20.50 – 22.87
Spot Rate : 2.3700
Average : 1.9440

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.96 %

CU.PR.I FixedReset Disc Quote: 21.50 – 22.40
Spot Rate : 0.9000
Average : 0.6242

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 8.02 %

RY.PR.N Perpetual-Discount Quote: 22.14 – 23.00
Spot Rate : 0.8600
Average : 0.5856

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.86
Evaluated at bid price : 22.14
Bid-YTW : 5.57 %

FTS.PR.G FixedReset Disc Quote: 20.84 – 21.40
Spot Rate : 0.5600
Average : 0.3394

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 6.96 %

TD.PF.D FixedReset Disc Quote: 21.90 – 23.00
Spot Rate : 1.1000
Average : 0.9084

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.53
Evaluated at bid price : 21.90
Bid-YTW : 6.90 %

PWF.PF.A Perpetual-Discount Quote: 17.26 – 17.79
Spot Rate : 0.5300
Average : 0.4000

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.63 %

March 11, 2024

Monday, March 11th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.4049 % 2,368.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4049 % 4,542.0
Floater 10.16 % 10.50 % 41,427 9.01 1 0.4049 % 2,617.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0724 % 3,406.3
SplitShare 4.94 % 7.21 % 43,915 1.85 7 0.0724 % 4,067.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0724 % 3,173.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2281 % 2,650.6
Perpetual-Discount 6.48 % 6.69 % 49,595 12.88 31 0.2281 % 2,890.4
FixedReset Disc 5.42 % 7.07 % 105,932 12.58 59 0.4465 % 2,436.2
Insurance Straight 6.37 % 6.52 % 55,747 13.24 22 -0.7154 % 2,824.8
FloatingReset 9.92 % 10.06 % 30,864 9.37 3 0.1320 % 2,601.9
FixedReset Prem 6.99 % 6.90 % 156,178 12.44 1 0.6000 % 2,499.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4465 % 2,490.3
FixedReset Ins Non 5.52 % 7.20 % 74,576 12.54 14 -0.3475 % 2,574.7
Performance Highlights
Issue Index Change Notes
GWO.PR.T Insurance Straight -14.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.59 %
SLF.PR.H FixedReset Ins Non -5.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.31 %
BN.PF.F FixedReset Disc -4.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 8.74 %
MFC.PR.Q FixedReset Ins Non -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.17 %
MFC.PR.C Insurance Straight -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.28 %
BMO.PR.S FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 22.27
Evaluated at bid price : 23.00
Bid-YTW : 6.31 %
BN.PF.B FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 7.97 %
IFC.PR.C FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.34 %
MFC.PR.K FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.76
Evaluated at bid price : 22.15
Bid-YTW : 6.64 %
RY.PR.M FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.90 %
MFC.PR.F FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 7.60 %
FTS.PR.G FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 6.77 %
PWF.PR.P FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 8.16 %
IFC.PR.F Insurance Straight 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.55 %
ELF.PR.H Perpetual-Discount 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.47 %
PWF.PR.G Perpetual-Discount 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.94
Evaluated at bid price : 22.17
Bid-YTW : 6.75 %
BIP.PR.A FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 9.04 %
TD.PF.E FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.53
Evaluated at bid price : 21.53
Bid-YTW : 7.05 %
BMO.PR.Y FixedReset Disc 7.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.92 %
TD.PF.A FixedReset Disc 7.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.65
Evaluated at bid price : 22.05
Bid-YTW : 6.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset Disc 58,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.63 %
RY.PR.Z FixedReset Disc 56,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.49
Evaluated at bid price : 21.80
Bid-YTW : 6.55 %
NA.PR.G FixedReset Disc 55,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 23.13
Evaluated at bid price : 24.85
Bid-YTW : 6.53 %
BMO.PR.E FixedReset Disc 52,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 23.07
Evaluated at bid price : 24.67
Bid-YTW : 6.41 %
NA.PR.S FixedReset Disc 45,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.50
Evaluated at bid price : 21.82
Bid-YTW : 6.78 %
BMO.PR.T FixedReset Disc 38,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.83
Evaluated at bid price : 22.30
Bid-YTW : 6.38 %
There were 11 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 – 19.91
Spot Rate : 2.8600
Average : 1.6358

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.59 %

MFC.PR.N FixedReset Ins Non Quote: 19.22 – 21.00
Spot Rate : 1.7800
Average : 1.2380

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 7.36 %

SLF.PR.H FixedReset Ins Non Quote: 17.75 – 18.95
Spot Rate : 1.2000
Average : 0.8918

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.31 %

MFC.PR.Q FixedReset Ins Non Quote: 21.00 – 21.84
Spot Rate : 0.8400
Average : 0.5599

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.17 %

SLF.PR.G FixedReset Ins Non Quote: 14.67 – 15.40
Spot Rate : 0.7300
Average : 0.4589

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 7.88 %

BMO.PR.S FixedReset Disc Quote: 23.00 – 23.77
Spot Rate : 0.7700
Average : 0.5087

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 22.27
Evaluated at bid price : 23.00
Bid-YTW : 6.31 %

March PrefLetter Released!

Sunday, March 10th, 2024

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

This edition of PrefLetter contains a short appendix republishing the summary of the Investigation of ZPR – BMO Laddered Preferred Share Index ETF for those who might not have seen this analysis.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “previous” edition will refer to the March, 2024, issue, while the “next” edition will be the April, 2024, issue scheduled to be prepared as of the close April 12, and emailed to subscribers prior to the market-opening on April 15. Prefletter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

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

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

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

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

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

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

Note: Assiduous Reader DG informs me:

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

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

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

March 8, 2024

Friday, March 8th, 2024

Jobs, jobs, jobs!

Employers added 275,000 jobs in February, the Labor Department reported Friday, in another month that exceeded expectations.

It was the third straight month of gains above 200,000, and the 38th consecutive month of growth — fresh evidence that after surging back from the pandemic shutdowns, America’s jobs engine still has plenty of steam.

Average hourly earnings rose by 4.3 percent over the year, although the pace of increases has been fading.

… and in the frozen North:

Canada’s labour market is getting a helping hand from population growth as the economy added 41,000 jobs in February.

Statistics Canada also reported on Friday that the unemployment rate ticked up to 5.8 per cent.

Job gains, which were driven by full-time employment, were spread across several industries in the services-producing sector, with the strongest growth in accommodation and food services.

The February increase comes after similar stronger-than-expected job gains in January.

Meanwhile, wages continue to grow rapidly in Canada. Average hourly wages were up 5 per cent from a year ago, down from a rate of 5.3 per cent in January.

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 0.4065 % 2,358.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4065 % 4,523.7
Floater 10.20 % 10.54 % 41,978 9.00 1 0.4065 % 2,607.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.2964 % 3,403.8
SplitShare 4.95 % 7.19 % 45,712 1.86 7 0.2964 % 4,064.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2964 % 3,171.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0016 % 2,644.6
Perpetual-Discount 6.50 % 6.68 % 48,274 12.89 31 -0.0016 % 2,883.8
FixedReset Disc 5.45 % 7.12 % 106,998 12.48 59 -0.1556 % 2,425.4
Insurance Straight 6.32 % 6.49 % 52,321 13.29 22 -0.0669 % 2,845.1
FloatingReset 9.93 % 10.09 % 31,919 9.41 3 -0.0754 % 2,598.4
FixedReset Prem 7.03 % 6.94 % 158,256 12.40 1 0.0000 % 2,484.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1556 % 2,479.3
FixedReset Ins Non 5.50 % 7.08 % 75,577 12.56 14 0.3449 % 2,583.6
Performance Highlights
Issue Index Change Notes
BMO.PR.Y FixedReset Disc -6.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 7.40 %
MFC.PR.B Insurance Straight -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 6.15 %
CU.PR.I FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 21.71
Evaluated at bid price : 22.16
Bid-YTW : 7.76 %
ELF.PR.H Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.59 %
SLF.PR.H FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.95 %
FTS.PR.H FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 8.29 %
IFC.PR.E Insurance Straight 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 6.51 %
FFH.PR.G FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 8.62 %
IFC.PR.A FixedReset Ins Non 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 7.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.S FixedReset Disc 116,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 22.65
Evaluated at bid price : 23.75
Bid-YTW : 6.09 %
BMO.PR.Y FixedReset Disc 90,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 7.40 %
FTS.PR.M FixedReset Disc 51,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.94 %
GWO.PR.N FixedReset Ins Non 50,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 13.71
Evaluated at bid price : 13.71
Bid-YTW : 8.01 %
GWO.PR.G Insurance Straight 34,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 6.50 %
PWF.PR.E Perpetual-Discount 30,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.72 %
There were 7 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: 20.01 – 21.65
Spot Rate : 1.6400
Average : 1.1706

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 7.40 %

MFC.PR.N FixedReset Ins Non Quote: 19.22 – 20.25
Spot Rate : 1.0300
Average : 0.6437

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 7.36 %

TD.PF.A FixedReset Disc Quote: 20.50 – 23.07
Spot Rate : 2.5700
Average : 2.1971

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.96 %

BN.PR.R FixedReset Disc Quote: 14.90 – 15.70
Spot Rate : 0.8000
Average : 0.5100

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 9.08 %

TD.PF.J FixedReset Disc Quote: 22.70 – 23.58
Spot Rate : 0.8800
Average : 0.5991

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 22.15
Evaluated at bid price : 22.70
Bid-YTW : 6.74 %

GWO.PR.P Insurance Straight Quote: 20.15 – 20.78
Spot Rate : 0.6300
Average : 0.4244

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.72 %

PVS Upgraded to Pfd-2 by DBRS

Friday, March 8th, 2024

DBRS Limited has announced that it:

upgraded its credit ratings on the Class AA Preferred Shares, Series 8; the Class AA Preferred Shares, Series 9; the Class AA Preferred Shares, Series 10; the Class AA Preferred Shares, Series 11; the Class AA Preferred Shares, Series 12; and the Class AA Preferred Shares, Series 13 (collectively, the Class AA Preferred Shares) issued by Partners Value Split Corp. (the Company) to Pfd-2 from Pfd-2 (low).

Previously, the Company’s portfolio (the Portfolio) consisted entirely of the Class A Limited Voting Shares of Brookfield Asset Management Inc. (Brookfield). However, in November 2022, Brookfield and Brookfield Asset Management Limited (BAM or the Manager) made an announcement regarding the public listing of the Manager and distribution of a 25% interest in Brookfield’s asset management business through the Manager. This transaction became effective on December 9, 2022, and resulted in the division of Brookfield into two publicly traded companies: (1) Brookfield Corporation (BN; Issuer Rating and Senior Notes and Debentures rated “A” and Preferred Shares rated Pfd-2 with Stable trends by Morningstar DBRS), which was previously named Brookfield Asset Management Inc.; and (2) Brookfield Asset Management Limited. As a result of this spinoff, Partners Value Split Corp. now holds shares of BN and BAM.

All series of Class AA Preferred Shares rank senior to the Capital Shares, the Class AAA Preferred Shares, and the Junior Preferred Shares, Series 1; the Junior Preferred Shares, Series 2; and the Junior Preferred Shares, Series 3 (collectively, the Junior Preferred Shares) and rank pari passu with all other Class AA Preferred Shares with respect to the payment of dividends and repayment of principal. Dividends from the Portfolio are used to fund the payment of interest on the debentures to the extent that any have been issued and to fund the payment of dividends on the Class AA Preferred Shares. Currently, there are no outstanding debentures in the Company.

Preferred shareholders of Class AA Preferred Shares are entitled to receive fixed cumulative dividends with a yield of 4.80%, 4.90%, 4.70%, 4.75%, 4.40%, and 4.45% on the issue price of $25 (listed in sequential order from Series 8 to Series 13). The Junior Preferred Shareholders are entitled to receive quarterly noncumulative cash distributions at an annual rate of 5% when declared by the board of directors. There is $295 million worth of Junior Preferred Shares currently outstanding. The Company’s Capital Shareholders will receive excess dividend income only after interest on the debentures, Class AA Preferred Share distributions, Junior Preferred Share distributions, and other Company expenses have been paid. Any capital appreciation of the BN and BAM shares will benefit the Capital Shareholders.

The Company has issued a limited number of Class A Voting Shares that rank senior to the Class AA Preferred Shares in respect of capital upon the Company’s dissolution, winding up, or insolvency. There are currently 100 of such shares outstanding with a book value of USD 8.00 each.

As of February 27, 2024, the asset coverage, downside protection, and dividend coverage stood at 8.9 times (x), 88.8%, and 2.8x, respectively. Because of the excess-only nature of both Junior Preferred Share and Capital Share dividends, there is no grind on the Portfolio. The Company receives dividends in U.S. dollars; consequently, there is risk that an appreciating Canadian dollar will cause the dividend coverage ratio to fall below 1.0x. In the event of a shortfall, the Company may sell some of the BN or BAM shares, engage in security lending, or write covered call options to generate sufficient income to satisfy its obligations to pay the Class AA Preferred Shares dividends. If the Company chooses to lend its holdings, the Portfolio would be exposed to the potential losses if the borrower defaults on its obligations to return the borrowed securities.

Given that the Company’s portfolio holds BN and BAM only and BN further owns 75% of BAM, the credit rating on the Company’s Class AA Preferred Shares is driven by the credit ratings on BN’s Preferred Shares. Because of the recent upgrade of the credit rating on BN’s Preferred Shares to Pfd-2 from Pfd-2 (low) in November 2023 and the Company’s stable performance in 2023, Morningstar DBRS upgraded the credit rating on the Company’s Class AA Preferred Shares to Pfd-2 from Pfd-2 (low).

The main constraints to the credit ratings are the following:

(1) The downside protection available to the Class AA Preferred Shareholders depends solely on the market value of BN and BAM shares held in the Portfolio, which could fluctuate over time.

(2) There is a lack of diversification, as the Portfolio is entirely made up of BN and BAM shares.

(3) Changes in BN and BAM’s dividend policies may result in reductions in Class AA Preferred Shares dividend coverage.

(4) Downside protection available to the Class AA Preferred Shares may be negatively affected by the retraction of the Junior Preferred Shares.

Affected issues are PVS.PR.F, PVS.PR.G, PVS.PR.H, PVS.PR.I, PVS.PR.J and PVS.PR.K.

March 7, 2024

Thursday, March 7th, 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 -0.1623 % 2,349.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1623 % 4,505.3
Floater 10.24 % 10.58 % 42,541 8.97 1 -0.1623 % 2,596.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0545 % 3,393.7
SplitShare 4.96 % 7.40 % 45,220 1.86 7 0.0545 % 4,052.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0545 % 3,162.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1709 % 2,644.6
Perpetual-Discount 6.50 % 6.69 % 46,904 12.89 31 0.1709 % 2,883.8
FixedReset Disc 5.44 % 7.22 % 111,363 12.50 59 0.2088 % 2,429.2
Insurance Straight 6.32 % 6.50 % 53,045 13.27 22 0.6172 % 2,847.0
FloatingReset 9.95 % 10.14 % 32,082 9.38 3 -0.0377 % 2,600.4
FixedReset Prem 7.03 % 7.02 % 160,721 12.33 1 -0.2394 % 2,484.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2088 % 2,483.1
FixedReset Ins Non 5.52 % 7.33 % 76,419 12.29 14 0.3801 % 2,574.8
Performance Highlights
Issue Index Change Notes
TD.PF.A FixedReset Disc -9.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.09 %
PWF.PR.G Perpetual-Discount -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.36
Evaluated at bid price : 21.63
Bid-YTW : 6.92 %
MFC.PR.C Insurance Straight -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 6.07 %
NA.PR.E FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.85
Evaluated at bid price : 22.25
Bid-YTW : 6.87 %
BN.PR.M Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 6.88 %
BMO.PR.E FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 23.05
Evaluated at bid price : 24.62
Bid-YTW : 6.51 %
TD.PF.J FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 22.18
Evaluated at bid price : 22.75
Bid-YTW : 6.81 %
GWO.PR.S Insurance Straight 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 6.54 %
RY.PR.J FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.13 %
FFH.PR.I FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 8.63 %
CU.PR.G Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.49 %
CU.PR.J Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 6.58 %
GWO.PR.H Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 6.45 %
ELF.PR.H Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.27
Evaluated at bid price : 21.54
Bid-YTW : 6.49 %
CM.PR.O FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 22.14
Evaluated at bid price : 22.80
Bid-YTW : 6.43 %
MFC.PR.Q FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.48
Evaluated at bid price : 21.75
Bid-YTW : 7.00 %
CM.PR.Q FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 7.00 %
BN.PF.J FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 8.04 %
FTS.PR.F Perpetual-Discount 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.19 %
GWO.PR.T Insurance Straight 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.49 %
SLF.PR.H FixedReset Ins Non 4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.14 %
IAF.PR.B Insurance Straight 7.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.36 %
TD.PF.E FixedReset Disc 13.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 127,767 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 22.14
Evaluated at bid price : 22.80
Bid-YTW : 6.43 %
TD.PF.L FixedReset Disc 72,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 23.96
Evaluated at bid price : 24.90
Bid-YTW : 6.93 %
BMO.PR.T FixedReset Disc 69,253 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.90
Evaluated at bid price : 22.41
Bid-YTW : 6.47 %
BMO.PR.S FixedReset Disc 56,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 22.67
Evaluated at bid price : 23.80
Bid-YTW : 6.19 %
FTS.PR.M FixedReset Disc 51,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 8.10 %
NA.PR.S FixedReset Disc 30,360 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.36
Evaluated at bid price : 21.63
Bid-YTW : 6.97 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.A FixedReset Disc Quote: 20.50 – 23.25
Spot Rate : 2.7500
Average : 1.7881

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.09 %

CU.PR.E Perpetual-Discount Quote: 18.93 – 20.70
Spot Rate : 1.7700
Average : 1.4556

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 6.53 %

PWF.PR.G Perpetual-Discount Quote: 21.63 – 22.30
Spot Rate : 0.6700
Average : 0.4799

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.36
Evaluated at bid price : 21.63
Bid-YTW : 6.92 %

IFC.PR.K Insurance Straight Quote: 20.21 – 20.75
Spot Rate : 0.5400
Average : 0.3520

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 6.64 %

BN.PF.D Perpetual-Discount Quote: 18.02 – 18.58
Spot Rate : 0.5600
Average : 0.3797

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 6.96 %

PWF.PF.A Perpetual-Discount Quote: 17.16 – 17.74
Spot Rate : 0.5800
Average : 0.4194

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 6.66 %