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MAPF Performance: April, 2024

Monday, May 6th, 2024

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close April 30, 2024, was $9.7982.

Performance was affected by MFC.PR.B underperforming (following last month’s underperformance) with a -4.18% return, PWF.PR.R with a -2.67% return and MIC.PR.A underperforming with a -1.42% return. This was outweighed by good performance from RY.PR.J (+7.86%, third month of outperformance streak), BN.PR.R (+7.00%) and
TD.PF.C (+6.16%, now largely sold off, the sixth straight month of outperformance) [small holdings are not considered for individual mention here].

The last few months have been very good to preferred shareholders, following the lows of the TXPR price index on 2023-10-31, but yields remain elevated well above those available on instruments with similar risk; for instance, Brookfield Renewable Partners L.P. recently noted they are refinancing BEP.PR.O on the “green perpetual subordinated notes” market at 70bp under the presumed reset rate of BEP.PR.O.

FixedResets continue to yield more, in general, than PerpetualDiscounts although the spread has narrowed considerably; on April 30, I reported median YTWs of 7.12% and 6.83%, respectively, for these two indices; compare with mean Current Yields of 5.24% and 6.66%, respectively.

In previous commentaries, I have used RY.PR.J as a ‘representative example’ of FixedResets, but the outperformance of bank issues in recent months has been so extraordinary that the calculated yield to perpetuity of this issue is now lower than that of the PerpetualDiscount subindex, so this seems to be a good time to stop showing the comparison in such detail. I will note that as the yield spread between FixedResets and PerpetualDiscounts has narrowed, there has been less and less reason to overweight the former class in portfolios; as those who pay close attention to the MAPF Portfolio Composition: April, 2024 will notice, the proportion of Straight Perpetuals held by the fund has been increasing over the past few months.

Returns to April 30, 2024
Period MAPF TXPR*
Total Return		 CPD – according to Blackrock
One Month +2.18% +1.22% N/A
Three Months +8.24% +4.86% N/A
One Year +27.73% +14.60% +13.90%
Two Years (annualized) +7.51% +3.07% N/A
Three Years (annualized) +4.76% +1.13% +0.60%
Four Years (annualized) +17.36% +8.83% N/A
Five Years (annualized) +8.36% +4.49% +3.90%
Six Years (annualized) +4.55% +2.63% N/A
Seven Years (annualized) +5.81% +2.98% N/A
Eight Years (annualized) +8.11% +4.79% N/A
Nine Years (annualized) +4.95% +2.67% N/A
Ten Years (annualized) +4.43% +2.07% +1.57%
Eleven Years (annualized) +4.15% +1.89%  
Twelve Years (annualized) +4.55% +2.16%  
Thirteen Years (annualized) +4.51% +2.40%  
Fourteen Years (annualized) +5.78% +3.18%  
Fifteen Years (annualized) +7.15% +3.73%  
Sixteen Years (annualized) +7.86% +2.97%  
Seventeen Years (annualized) +7.40%    
Eighteen Years (annualized) +7.36%    
Nineteen Years (annualized) +7.31%    
Twenty Years (annualized) +7.43%    
Twenty-One Years (annualized) +8.22%    
Twenty-Two Years (annualized) +7.92%    
Twenty-Three Years (annualized) +8.27%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The BMO Capital Markets “50” Preferred Share Index is no longer being calculated. The final performance report incorporating this venerable index was published as of December, 2020.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
Figures for NBI Preferred Equity Income Fund [NBC480] (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are +1.58%, +5.86% and +16.64%, respectively, according to National Bank Investments after all fees & expenses. Three year performance is +1.71%; five year is +5.48%; ten year is +3.05%.

Figures from Morningstar are no longer conveniently available.
Manulife Preferred Income Class Adv has been terminated by Manulife. The performance of this fund was last reported here in March, 2018.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are +2.01%, +6.97% & +20.15%, respectively. Three year performance is +2.75%, five-year is +6.07%, ten year is +3.17%
Figures for NBI Preferred Equity Fund [NBC410] (formerly Altamira Preferred Equity Fund) are +2.10%, +7.25% and +21.18% for one-, three- and twelve months, respectively. Three year performance is +2.44%; five-year is +5.56%; ten-year is +2.48%

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

The last time Altamira Preferred Equity Fund’s performance was reported here was April, 2014; performance under the National Bank banner was first reported here May, 2014.
The figures for the NAV of BMO Laddered Preferred Share Index ETF (ZPR) is +19.33% for the past twelve months. Two year performance is +4.48%, three year is +2.55%, five year is +5.74%, ten year is +1.63%

Note that analysis of ZPR shows some doubt as to whether this fund is either "laddered" or an "index fund".
Figures for Fiera Canadian Preferred Share Class Cg Series F, (formerly Natixis Canadian Preferred Share Class Series F) (formerly NexGen Canadian Preferred Share Tax Managed Fund) are no longer available as the Fund is now the property of Canoe Financial. The last reported performance for the merged fund was May 2020.
Figures for BMO Preferred Share Fund (advisor series) according to Morningstar are +0.05%, +3.60% and +12.10% for the past one-, three- and twelve-months, respectively. Three year performance is -1.12%; five-year is +2.44%; ten-year is +0.11%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are no longer available since the fund has been terminated. Performance was last reported for the fund to month-end, March 2023
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR).

Performance for the fund was last reported here in September, 2016; the first report of unavailability was in October, 2016.
Figures for Lysander-Slater Preferred Share Dividend Fund (Class F) according to the company are +1.8%, +5.8% and +17.8% for the past one, three and twelve months, respectively. Three year performance is +2.7%, five-year is +4.9%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are +1.05%, +4.13% and +13.69% for the past one, three and twelve months, respectively. Two year performance is +2.46%, three-year is +0.42%, five-year is +3.42%
Figures for the RBC Canadian Preferred Share ETF (RPF) are reported by Morningstar as +2.39%, +6.42% and +18.33% for the past one, three and twelve months, respectively. Three-year performance is +1.52%, five-year is +4.95%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are +1,3%, +5.2% and +16.9% for the past one, three and twelve months, respectively. Three-year performance is +3.7%; five-year is +7.1%
Figures for the Purpose Canadian Preferred Share Fund (Class F) are +2.40%, +7.08% and +21.61% for the past one, three and twelve months, respectively. Three-year performance is +2.81%; five-year is +6.81%; seven-year is +3.25%; ten-year is +5.30%.

The five-year Canada yield increased, with the five-year Canada yield (“GOC-5”) moving from 3.55% at March month-end to 3.85% at April month-end.

The Seniority Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 345bp on 2024-5-1 narrowing a bit from 355bp on 2024-3-27 (chart end-date 2024-4-12) :

The situation with FixedResets is interesting, with the spread between GOC-5 and the interest-adjusted FixedReset (Discount) rate widening significantly (despite recent narrowing) from its 2021-11-10 low of 344bp to a level of 512bp (as of 2024-5-1) … (chart end-date 2024-04-12):

…while at the same time the interest-equivalent spread between FixedReset (Discounts) and PerpetualDiscounts has narrowed to -15bp (as of 2024-5-1) from its 2021-7-28 level of +170bp (chart end-date 2024-04-12):

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

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

There are strong correlations for both the Pfd-2 Group (24%) and the Pfd-3 Group (36%) for 1-Month performance against term-to-reset:

… and we see similar behaviour for three-month returns vs. Term to Reset, with correlation for the Pfd-2 Group (40%) and the Pfd-3 Group (19%):

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

I ascribe the apparent correlation between term to reset and performance for Pfd-2 issues over three months to be due to the influence of bank issues; bank issues with a short term to reset have done very well recently due to a perception of a relatively high chance of redemption in the near future as financing is now available very cheaply in other markets.

… but now, with significant correlations found for both credit groups at both time-spans, I suspect that the enthusiasm for near term resets is due to expectations of higher reset rates in the near future than was previously the case.

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

I keep talking about ‘Sustainable Income’ and nowadays it’s far higher than the dividends that are currently being distributed. This is because Sustainable Income is the average yield-to-worst (YTW) of the portfolio when the YTW is calculated to perpetuity (or to redemption, of course, if the yield to redemption is lower), including resets at the current GOC-5 rate. The sharp increase in GOC-5 in the past year-odd has caused the difference between YTW and Current Yield to skyrocket, but one way or another I expect that these two values will become much closer – slowly at first, but quickening in about two years. We have to wait for the reset date of the MAPF portfolio securities before we see a change in actual cash receipts – and, of course, there is no guarantee whatsoever that the rate used for estimation purposes now will be used for the actual calculation in the future (chart prepared as of 2024-4-12).

I will note that the fund’s current holdings of FixedResets are now paying dividends based on their previous reset at an average GOC-5 rate of 1.59% (weighted by shares held). The jump from last month’s measurement of 1.45% is due to the fund’s significant purchases of CM.PR.S (which reset 2023-1-31, with a GOC-5 rate of 3.43%) and the reset of the fund’s holdings of TRP.PR.D (which reset 2024-4-30 with a GOC-5 rate of 3.61%). However, neither issue has yet earned a dividend at the new rates: CM.PR.S will go ex-dividend around 2024-6-27, while TRP.PR.D will have to wait until the third quarter this year with an ex-date of 2024-7-2 (declared).

Calculation of MAPF Sustainable Income Per Unit
Month NAVPU Portfolio
Average
YTW		 Leverage
Divisor		 Securities
Average
YTW		 Capital
Gains
Multiplier		 Sustainable
Income
per
current
Unit
June, 2007 9.3114 5.16% 1.03 5.01% 1.3240 0.3524
September 9.1489 5.35% 0.98 5.46% 1.3240 0.3773
December, 2007 9.0070 5.53% 0.942 5.87% 1.3240 0.3993
March, 2008 8.8512 6.17% 1.047 5.89% 1.3240 0.3938
June 8.3419 6.034% 0.952 6.338% 1.3240 $0.3993
September 8.1886 7.108% 0.969 7.335% 1.3240 $0.4537
December, 2008 8.0464 9.24% 1.008 9.166% 1.3240 $0.5571
March 2009 $8.8317 8.60% 0.995 8.802% 1.3240 $0.5872
June 10.9846 7.05% 0.999 7.057% 1.3240 $0.5855
September 12.3462 6.03% 0.998 6.042% 1.3240 $0.5634
December 2009 10.5662 5.74% 0.981 5.851% 1.1141 $0.5549
March 2010 10.2497 6.03% 0.992 6.079% 1.1141 $0.5593
June 10.5770 5.96% 0.996 5.984% 1.1141 $0.5681
September 11.3901 5.43% 0.980 5.540% 1.1141 $0.5664
December 2010 10.7659 5.37% 0.993 5.408% 1.0298 $0.5654
March, 2011 11.0560 6.00% 0.994 5.964% 1.0298 $0.6403
June 11.1194 5.87% 1.018 5.976% 1.0298 $0.6453
September 10.2709 6.10%
Note		 1.001 6.106% 1.0298 $0.6090
December, 2011 10.0793 5.63%
Note		 1.031 5.805% 1.0000 $0.5851
March, 2012 10.3944 5.13%
Note		 0.996 5.109% 1.0000 $0.5310
June 10.2151 5.32%
Note		 1.012 5.384% 1.0000 $0.5500
September 10.6703 4.61%
Note		 0.997 4.624% 1.0000 $0.4934
December, 2012 10.8307 4.24% 0.989 4.287% 1.0000 $0.4643
March, 2013 10.9033 3.87% 0.996 3.886% 1.0000 $0.4237
June 10.3261 4.81% 0.998 4.80% 1.0000 $0.4957
September 10.0296 5.62% 0.996 5.643% 1.0000 $0.5660
December, 2013 9.8717 6.02% 1.008 5.972% 1.0000 $0.5895
March, 2014 10.2233 5.55% 0.998 5.561% 1.0000 $0.5685
June 10.5877 5.09% 0.998 5.100% 1.0000 $0.5395
September 10.4601 5.28% 0.997 5.296% 1.0000 $0.5540
December, 2014 10.5701 4.83% 1.009 4.787% 1.0000 $0.5060
March, 2015 9.9573 4.99% 1.001 4.985% 1.0000 $0.4964
June, 2015 9.4181 5.55% 1.002 5.539% 1.0000 $0.5217
September 7.8140 6.98% 0.999 6.987% 1.0000 $0.5460
December, 2015 8.1379 6.85% 0.997 6.871% 1.0000 $0.5592
March, 2016 7.4416 7.79% 0.998 7.805% 1.0000 $0.5808
June 7.6704 7.67% 1.011 7.587% 1.0000 $0.5819
September 8.0590 7.35% 0.993 7.402% 1.0000 $0.5965
December, 2016 8.5844 7.24% 0.990 7.313% 1.0000 $0.6278
March, 2017 9.3984 6.26% 0.994 6.298% 1.0000 $0.5919
June 9.5313 6.41% 0.998 6.423% 1.0000 $0.6122
September 9.7129 6.56% 0.998 6.573% 1.0000 $0.6384
December, 2017 10.0566 6.06% 1.004 6.036% 1.0000 $0.6070
March, 2018 10.2701 6.22% 1.007 6.177% 1.0000 $0.6344
June 10.2518 6.22% 0.995 6.251% 1.0000 $0.6408
September 10.2965 6.62% 1.018 6.503% 1.0000 $0.6696
December, 2018 8.6875 7.16% 0.997 7.182% 1.0000 $0.6240
March, 2019 8.4778 7.09% 1.007 7.041% 1.0000 $0.5969
June 8.0896 7.33% 0.996 7.359% 1.0000 $0.5953
September 7.7948 7.96% 0.998 7.976% 1.0000 $0.6217
December, 2019 8.0900 6.03% 0.995 6.060% 1.0000 $0.4903
March 5.5596 7.04% 1.006 6.998% 1.0000 $0.3891
June 6.3568 6.10% 0.9900 6.162% 1.0000 $0.3917
September 7.2852 5.32% 1.00 5.320% 1.0000 $0.3876
December, 2020 8.3947 4.46% 0.999 4.464% 1.0000 $0.3747
March, 2021 9.6473 4.48% 0.996 4.498% 1.0000 $0.4339
June 10.3712 3.92% 0.985 3.980% 1.0000 $0.4127
September 10.7572 4.08% 1.017 4.012% 1.0000 $0.4316
December, 2021 10.7432 4.31% 0.999 4.314% 1.0000 $0.4635
March, 2022 10.5040 5.53% 1.004 5.508% 1.0000 $0.5786
June 9.3115 7.04% 0.993 7.090% 1.0000 $0.6672
September 8.4093 8.10% 0.997 8.124% 1.0000 $0.6916
December, 2022 7.9921 8.47% 0.996 8.504% 1.0000 $0.6796
March, 2023 8.0788 7.90% 0.997 7.924% 1.0000 $0.6401
June 30 8.0197 9.19% 1.003 9.163% 1.0000 $0.7348
September 29 7.9922 9.86% 0.997 9.890% 1.0000 $0.7904
Decenber 29, 2023 8.4715 8.14% 1.002 8.124% 1.0000 $0.6882
March 28,2024 9.5892 7.60% 1.006 7.555% 1.0000 $0.7244
April 30, 2024 9.7982 7.60% 0.988 7.743% 1.0000 $0.7587
NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains.
Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00%
The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99
Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings.
The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested.
Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or the Deemed Maturity date for insurers and insurance holding companies (see below)), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis.

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

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

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

Canada Yields Assumed in Calculations
Month-end GOC-5 3-Month Bill
September, 2015 0.78% 0.40%
December, 2015 0.71% 0.46%
March, 2016 0.70% 0.44%
June 0.57% 0.47%
September 0.58% 0.53%
December, 2016 1.16% 0.47%
March, 2017 1.08% 0.55%
June 1.35% 0.69%
September 1.79% 0.97%
December, 2017 1.83% 1.00%
March, 2018 2.06% 1.08%
June 1.95% 1.22%
September 2.33% 1.55%
December, 2018 1.88% 1.65%
March, 2019 1.46% 1.66%
June 1.34% 1.66%
September 1.41% 1.66%
December, 2019 1.68% 1.68%
March, 2020 0.57% 0.21%
June 0.37% 0.21%
September 0.35% 0.14%
December, 2020 0.42% 0.08%
March, 2021 0.94% 0.09%
June 0.93% 0.13%
September 1.07% 0.13%
December, 2021 1.31% 0.16%
March, 2022 2.44% 0.53%
June 3.24% 2.11%
September 3.45% 3.60%
December, 2022 3.37% 4.35%
March, 2023 2.93% 4.44%
June 3.74% 5.00%
September 4.31% 5.21%
December, 2023 3.21% 5.13%
March, 2024 3.55% 5.06%
April, 2024 3.85% 5.03%

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MAPF Portfolio Composition: April, 2024

Sunday, May 5th, 2024

Turnover increased substantially to 21% in April, largely due to trading within and out of the very well performing bank FixedReset sector..

Sectoral distribution of the MAPF portfolio on April 30, 2024, were:

MAPF Sectoral Analysis 2024-4-30
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 6.7% 6.85% 12.75
Fixed-Reset Discount 53.3% 7.61% 12.14
Insurance – Straight 11.5% 6.55% 13.10
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 5.3% 7.30% 12.82
Scraps – Ratchet 0.9% 10.30% 9.85
Scraps – FixedFloater 0.4% 10.07% 10.71
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 4.2% 7.88% 2.48
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 4.6% 7.30 12.15
Scraps – FR Discount 11.9% 9.66% 10.28
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 +1.2% 0.00% 0.00
Total 100% 7.60% 11.53
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 3.85%, a constant 3-Month Bill rate of 5.03% 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 2024-04-30
DBRS Rating MAPF Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 37.8%
Pfd-2 30.0%
Pfd-2(low) 13.6%
Pfd-3(high) 9.0%
Pfd-3 3.3%
Pfd-3(low) 4.9%
Pfd-4(high) 0.2%
Pfd-4 0%
Pfd-4(low) 0%
Pfd-5(high) 0%
Pfd-5 0%
Cash +1.2%
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 2024-04-30
Average Daily Trading MAPF Weighting
<$50,000 13.7%
$50,000 – $100,000 28.6%
$100,000 – $200,000 23.6%
$200,000 – $300,000 14.1%
>$300,000 18.8%
Cash +1.2%
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 1.0%
200-249bp 49.6%
250-299bp 18.4%
300-349bp 1.8%
350-399bp 0.6%
400-449bp 0%
450-499bp 0%
500-549bp 0%
550-599bp 0%
>= 600bp 0%
Undefined 28.5%

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 1.9%
0-1 Year 19.4%
1-2 Years 14.2%
2-3 Years 15.3%
3-4 Years 17.2%
4-5 Years 4.9%
5-6 Years 0%
>6 Years 0%
Not Floating Rate 27.2%

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.

Posted in MAPF | 1 Comment »

May 3, 2024

Friday, May 3rd, 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 -2.5974 % 2,291.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.5974 % 4,395.5
Floater 10.50 % 10.74 % 55,541 8.94 1 -2.5974 % 2,533.1
OpRet 0.00 % 0.00 % 0 0.00 0 1.3941 % 3,449.2
SplitShare 4.88 % 7.05 % 35,181 1.71 7 1.3941 % 4,119.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 1.3941 % 3,213.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 1.2858 % 2,662.5
Perpetual-Discount 6.46 % 6.60 % 50,544 13.08 29 1.2858 % 2,903.3
FixedReset Disc 5.13 % 6.86 % 131,173 11.67 56 0.3702 % 2,593.3
Insurance Straight 6.41 % 6.55 % 57,933 13.11 21 0.9278 % 2,828.5
FloatingReset 9.26 % 9.26 % 26,727 10.10 2 0.3561 % 2,774.9
FixedReset Prem 6.93 % 6.37 % 196,106 3.12 2 0.1577 % 2,529.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3702 % 2,650.9
FixedReset Ins Non 5.05 % 7.07 % 82,983 12.71 14 1.0886 % 2,814.5
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.30 %
BN.PR.B Floater -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 10.74 %
BN.PR.M Perpetual-Discount -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.93 %
GWO.PR.I Insurance Straight -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 6.67 %
GWO.PR.M Insurance Straight -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 21.57
Evaluated at bid price : 21.83
Bid-YTW : 6.73 %
CM.PR.O FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 23.44
Evaluated at bid price : 24.40
Bid-YTW : 6.29 %
BN.PF.D Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 6.90 %
FTS.PR.J Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.38 %
PWF.PR.F Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 6.64 %
FFH.PR.D FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 22.21
Evaluated at bid price : 22.50
Bid-YTW : 9.26 %
FTS.PR.F Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 6.33 %
FFH.PR.I FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 8.58 %
CU.PR.F Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.42 %
SLF.PR.G FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.63 %
PVS.PR.G SplitShare 1.24 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 6.69 %
POW.PR.A Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.64 %
GWO.PR.R Insurance Straight 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.55 %
FTS.PR.K FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.65 %
NA.PR.E FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 22.72
Evaluated at bid price : 23.71
Bid-YTW : 6.61 %
BN.PR.T FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 8.78 %
GWO.PR.P Insurance Straight 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 6.61 %
PWF.PF.A Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 6.56 %
IFC.PR.E Insurance Straight 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.43 %
PWF.PR.E Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.61 %
IFC.PR.F Insurance Straight 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.64 %
PWF.PR.Z Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 6.64 %
GWO.PR.T Insurance Straight 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.52 %
POW.PR.D Perpetual-Discount 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.62 %
BN.PF.A FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 21.87
Evaluated at bid price : 22.30
Bid-YTW : 7.68 %
PWF.PR.L Perpetual-Discount 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 6.58 %
MFC.PR.F FixedReset Ins Non 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 7.07 %
GWO.PR.H Insurance Straight 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.54 %
CU.PR.J Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.47 %
BIP.PR.E FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 21.59
Evaluated at bid price : 21.86
Bid-YTW : 7.89 %
CU.PR.G Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 6.42 %
MFC.PR.Q FixedReset Ins Non 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 22.50
Evaluated at bid price : 23.30
Bid-YTW : 6.82 %
POW.PR.B Perpetual-Discount 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 6.63 %
CU.PR.E Perpetual-Discount 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.29 %
BIP.PR.F FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 8.11 %
BN.PF.B FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 8.02 %
MFC.PR.C Insurance Straight 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.22 %
PWF.PR.G Perpetual-Discount 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 22.39
Evaluated at bid price : 22.65
Bid-YTW : 6.56 %
PVS.PR.J SplitShare 2.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 7.07 %
PWF.PR.H Perpetual-Discount 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 21.86
Evaluated at bid price : 22.10
Bid-YTW : 6.55 %
MFC.PR.B Insurance Straight 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.14 %
IFC.PR.C FixedReset Ins Non 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.09 %
POW.PR.G Perpetual-Discount 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 6.60 %
GWO.PR.S Insurance Straight 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.53 %
PWF.PR.R Perpetual-Discount 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.60 %
BN.PF.F FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 8.24 %
IFC.PR.G FixedReset Ins Non 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 22.72
Evaluated at bid price : 23.75
Bid-YTW : 6.68 %
PWF.PR.O Perpetual-Discount 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 6.55 %
IFC.PR.I Insurance Straight 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 6.58 %
SLF.PR.E Insurance Straight 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 6.13 %
GWO.PR.Y Insurance Straight 3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.45 %
BN.PR.N Perpetual-Discount 3.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 6.84 %
MFC.PR.J FixedReset Ins Non 5.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 22.94
Evaluated at bid price : 24.17
Bid-YTW : 6.66 %
PVS.PR.H SplitShare 5.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 6.76 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.W FixedReset Disc 993,039 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 23.19
Evaluated at bid price : 23.92
Bid-YTW : 6.28 %
TD.PF.C FixedReset Disc 140,176 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 22.64
Evaluated at bid price : 23.25
Bid-YTW : 6.45 %
CM.PR.Q FixedReset Disc 104,885 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 23.33
Evaluated at bid price : 23.81
Bid-YTW : 6.68 %
BMO.PR.S FixedReset Disc 100,865 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 4.52 %
RY.PR.Z FixedReset Disc 99,060 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-23
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 4.23 %
RY.PR.J FixedReset Disc 81,468 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 23.38
Evaluated at bid price : 23.91
Bid-YTW : 6.69 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PR.R FixedReset Disc Quote: 16.25 – 17.45
Spot Rate : 1.2000
Average : 0.7515

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 8.86 %
GWO.PR.M Insurance Straight Quote: 21.83 – 22.98
Spot Rate : 1.1500
Average : 0.7709

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 21.57
Evaluated at bid price : 21.83
Bid-YTW : 6.73 %
SLF.PR.C Insurance Straight Quote: 17.90 – 18.86
Spot Rate : 0.9600
Average : 0.6003

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.30 %
PWF.PR.R Perpetual-Discount Quote: 21.03 – 21.99
Spot Rate : 0.9600
Average : 0.6401

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.60 %
MFC.PR.N FixedReset Ins Non Quote: 20.87 – 22.30
Spot Rate : 1.4300
Average : 1.1154

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 7.33 %
CCS.PR.C Insurance Straight Quote: 18.60 – 19.72
Spot Rate : 1.1200
Average : 0.8467

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-03
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.82 %

Posted in Market Action | No Comments »

May 2, 2024

Thursday, May 2nd, 2024

TXPR closed at 596.87, up 0.92% on the day after setting a new 52-week high. Volume today was 6.95-million, highest by far of the past 21 trading days.

CPD closed at 11.78, up 0.94% on the day after setting a new 52-week high. Volume was 66,820, near the median of the past 21 trading days.

ZPR closed at 10.18, up 0.89% on the day after setting a new 52-week high. Volume was 252,000, fourth-highest of the past 21 trading days.

Five-year Canada yields were down to 3.80%.

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 % 2,352.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,512.7
Floater 10.23 % 10.45 % 54,009 9.15 1 0.0000 % 2,600.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0181 % 3,401.7
SplitShare 4.95 % 7.65 % 34,633 1.71 7 -0.0181 % 4,062.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0181 % 3,169.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.9347 % 2,628.7
Perpetual-Discount 6.54 % 6.70 % 49,958 12.95 29 0.9347 % 2,866.5
FixedReset Disc 5.15 % 6.78 % 121,179 11.58 56 0.6916 % 2,583.7
Insurance Straight 6.47 % 6.63 % 58,225 12.99 21 0.9515 % 2,802.5
FloatingReset 9.30 % 9.35 % 25,982 10.02 2 0.8981 % 2,765.1
FixedReset Prem 6.94 % 6.30 % 203,363 3.13 2 -0.1968 % 2,525.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.6916 % 2,641.1
FixedReset Ins Non 5.10 % 7.18 % 83,444 12.64 14 1.0262 % 2,784.2
Performance Highlights
Issue Index Change Notes
CCS.PR.C Insurance Straight -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 6.89 %
MFC.PR.J FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 22.35
Evaluated at bid price : 23.00
Bid-YTW : 7.03 %
FFH.PR.G FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 8.49 %
GWO.PR.N FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 8.05 %
MFC.PR.M FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 7.19 %
BN.PR.X FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 8.68 %
SLF.PR.D Insurance Straight 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.15 %
IFC.PR.A FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 7.18 %
CU.PR.J Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.57 %
BN.PF.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 8.86 %
MFC.PR.L FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 21.63
Evaluated at bid price : 22.00
Bid-YTW : 6.93 %
BN.PR.M Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.75 %
POW.PR.A Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 6.72 %
GWO.PR.H Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.65 %
MFC.PR.I FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 22.92
Evaluated at bid price : 23.99
Bid-YTW : 6.89 %
PWF.PR.F Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 6.71 %
GWO.PR.L Insurance Straight 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 6.71 %
GWO.PR.S Insurance Straight 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 6.67 %
MFC.PR.K FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 22.45
Evaluated at bid price : 23.25
Bid-YTW : 6.69 %
CU.PR.E Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 6.41 %
NA.PR.E FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 22.56
Evaluated at bid price : 23.40
Bid-YTW : 6.70 %
CU.PR.F Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 6.49 %
PWF.PR.P FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 8.33 %
SLF.PR.J FloatingReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 9.63 %
GWO.PR.Q Insurance Straight 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 6.66 %
BN.PF.A FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 21.63
Evaluated at bid price : 21.96
Bid-YTW : 7.80 %
FTS.PR.J Perpetual-Discount 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.44 %
GWO.PR.R Insurance Straight 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 6.63 %
BN.PF.G FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 8.64 %
GWO.PR.M Insurance Straight 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 6.62 %
POW.PR.C Perpetual-Discount 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 21.91
Evaluated at bid price : 22.15
Bid-YTW : 6.61 %
BN.PF.C Perpetual-Discount 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 6.97 %
PWF.PR.G Perpetual-Discount 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 21.98
Evaluated at bid price : 22.21
Bid-YTW : 6.69 %
GWO.PR.G Insurance Straight 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.70 %
BN.PF.D Perpetual-Discount 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.97 %
MFC.PR.B Insurance Straight 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.27 %
CU.PR.G Perpetual-Discount 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 6.53 %
FTS.PR.F Perpetual-Discount 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.39 %
CM.PR.S FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 24.19
Evaluated at bid price : 24.19
Bid-YTW : 6.46 %
FFH.PR.C FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 21.79
Evaluated at bid price : 22.25
Bid-YTW : 7.87 %
GWO.PR.T Insurance Straight 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.62 %
SLF.PR.H FixedReset Ins Non 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.32 %
RY.PR.S FixedReset Disc 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 22.89
Evaluated at bid price : 24.24
Bid-YTW : 6.28 %
BN.PF.J FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 21.49
Evaluated at bid price : 21.49
Bid-YTW : 8.00 %
TD.PF.J FixedReset Disc 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 22.90
Evaluated at bid price : 24.09
Bid-YTW : 6.59 %
MFC.PR.N FixedReset Ins Non 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 7.33 %
MFC.PR.Q FixedReset Ins Non 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 22.27
Evaluated at bid price : 22.90
Bid-YTW : 6.94 %
FTS.PR.M FixedReset Disc 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 8.05 %
GWO.PR.I Insurance Straight 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 6.52 %
CU.PR.C FixedReset Disc 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 7.44 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset Disc 3,068,334 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-23
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 4.43 %
BMO.PR.F FixedReset Disc 505,804 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 5.15 %
FTS.PR.H FixedReset Disc 488,047 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 15.03
Evaluated at bid price : 15.03
Bid-YTW : 8.52 %
RY.PR.H FixedReset Disc 166,089 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 23.48
Evaluated at bid price : 24.36
Bid-YTW : 6.24 %
RY.PR.J FixedReset Disc 144,369 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 23.32
Evaluated at bid price : 23.85
Bid-YTW : 6.70 %
BMO.PR.T FixedReset Disc 113,144 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 23.29
Evaluated at bid price : 24.19
Bid-YTW : 6.26 %
TD.PF.C FixedReset Disc 105,541 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 22.79
Evaluated at bid price : 23.42
Bid-YTW : 6.41 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 19.10 – 23.50
Spot Rate : 4.4000
Average : 2.5503

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.32 %
IFC.PR.E Insurance Straight Quote: 20.20 – 23.22
Spot Rate : 3.0200
Average : 1.6496

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.53 %
PVS.PR.K SplitShare Quote: 22.40 – 25.00
Spot Rate : 2.6000
Average : 1.6842

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 7.13 %
BN.PR.Z FixedReset Disc Quote: 20.65 – 21.99
Spot Rate : 1.3400
Average : 0.7955

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 8.15 %
MFC.PR.J FixedReset Ins Non Quote: 23.00 – 24.11
Spot Rate : 1.1100
Average : 0.7481

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-02
Maturity Price : 22.35
Evaluated at bid price : 23.00
Bid-YTW : 7.03 %
PVS.PR.H SplitShare Quote: 22.60 – 24.99
Spot Rate : 2.3900
Average : 2.0529

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 8.96 %

Posted in Market Action | No Comments »

ENB.PR.T To Reset To 6.314%

Thursday, May 2nd, 2024

Enbridge Inc. has announced:

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Redeemable Preference Shares, Series R (Series R Shares) (TSX: ENB.PR.T) on June 3, 2024. As a result, subject to certain conditions, the holders of the Series R Shares have the right to convert all or part of their Series R Shares on a one-for-one basis into Cumulative Redeemable Preference Shares, Series S of Enbridge (Series S Shares) on June 3, 2024. Holders who do not exercise their right to convert their Series R Shares into Series S Shares will retain their Series R Shares.

The foregoing conversion right is subject to the conditions that: (i) if Enbridge determines that there would be less than 1,000,000 Series R Shares outstanding after June 3, 2024, then all remaining Series R Shares will automatically be converted into Series S Shares on a one-for-one basis on June 3, 2024; and (ii) alternatively, if Enbridge determines that there would be less than 1,000,000 Series S Shares outstanding after June 3, 2024, no Series R Shares will be converted into Series S Shares. There are currently 16,000,000 Series R Shares outstanding.

With respect to any Series R Shares that remain outstanding after June 3, 2024, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The new annual dividend rate applicable to the Series R Shares for the five-year period commencing on June 3, 2024 to, but excluding, June 1, 2029 will be 6.314% percent, being equal to the five-year Government of Canada bond yield of 3.814% percent determined as of today plus 2.50 percent in accordance with the terms of the Series R Shares.

With respect to any Series S Shares that may be issued on June 3, 2024, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The dividend rate applicable to the Series S Shares for the three-month floating rate period commencing on June 3, 2024 to, but excluding, September 1, 2024 will be 1.82951 percent, based on the annual rate on three month Government of Canada treasury bills for the most recent treasury bills auction of 4.94 percent plus 2.50 percent in accordance with the terms of the Series S Shares (the Floating Quarterly Dividend Rate). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series R Shares who wish to exercise their right of conversion during the conversion period, which runs from May 2, 2024 until 5:00 p.m. (EST) on May 17, 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 time to complete the necessary steps. Any notices received after this deadline will not be valid.

ENB.PR.T was issued as a FixedReset, 4.00%+250, that commenced trading 2012-12-5 after being announced 2012-11-26. It reset At 4.073% effective 2019-6-1. I recommended against conversion and there was no conversion. It is tracked by HIMIPref™ but relegated to the Scraps – FixedReset (Discount) subindex on credit concerns.

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

Update, 2024-5-22: No conversion. Thanks, NK!

Posted in Issue Comments | No Comments »

PPL.PR.E To Reset To 6.814%

Thursday, May 2nd, 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 5 (“Series 5 Shares”) (TSX: PPL.PR.E) on June 1, 2024.

As a result of the decision not to redeem the Series 5 Shares, and subject to certain terms of the Series 5 Shares, the holders of the Series 5 Shares will have the right to elect to convert all or part of their Series 5 Shares on a one-for-one basis into Cumulative Redeemable Floating Rate Class A Preferred Shares, Series 6 of Pembina (“Series 6 Shares”) on June 1, 2024 (the “Conversion Date”). Holders who do not exercise their right to convert their Series 5 Shares into Series 6 Shares will retain their Series 5 Shares.

As provided in the terms of the Series 5 Shares: (i) if Pembina determines that there would remain outstanding immediately following the conversion less than 1,000,000 Series 5 Shares, then all remaining Series 5 Shares will be automatically converted into Series 6 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 6 Shares outstanding immediately following the conversion, no Series 5 Shares will be converted into Series 6 Shares on the Conversion Date. There are currently 10,000,000 Series 5 Shares outstanding.

With respect to any Series 5 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 5 Shares for the five-year period from and including June 1, 2024, to, but excluding, June 1, 2029, will be 6.814 percent, being equal to the five-year Government of Canada bond yield of 3.814 percent determined as of today plus 3.00 percent, in accordance with the terms of the Series 5 Shares.

With respect to any Series 6 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 6 Shares for the three-month floating rate period from and including June 1, 2024, to, but excluding, September 1, 2024, will be 7.940 percent, being equal to the annual rate of interest for the most recent auction of 90-day Government of Canada treasury bills of 4.940 percent plus 3.00 percent, in accordance with the terms of the Series 6 Shares (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset on the first day of March, June, September and December in each year.

Beneficial holders of Series 5 Shares who wish to exercise their right of conversion during the conversion period, which runs from May 2, 2024, until 3:00 pm (MT) / 5:00 pm (ET) on May 17, 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 June 1, 2024, to holders of the Series 5 Shares of record on May 1, 2024, will be $0.285813 per Series 5 Share. Pursuant to the terms of the Series 5 Shares, as June 1, 2024, is not a business day, payment will occur on June 3, 2024. For more information on the terms of the Series 5 Shares and the Series 6 Shares, please see the prospectus supplement dated January 9, 2014, which can be found on SEDAR+ at www.sedarplus.ca.

PPL.PR.E was issued as a FixedReset, 5.00%+300, that commenced trading 2014-1-16 after being announced 2014-1-7. It reset At 4.573% effective 2019-6-1. I recommended against conversion and there was no conversion. The issue is tracked by HIMIPref™ but relegated to the Scraps – FixedReset Discount index on credit concerns.

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

Posted in Issue Comments | 1 Comment »

May 1, 2024

Wednesday, May 1st, 2024

TXPR closed at 591.41, up 0.64% on the day after setting a new 52-week high. Volume today was 2.65-million, near the median of the past 21 trading days.

CPD closed at 11.67, up 0.34% on the day after setting a new 52-week high. Volume was 140,940, second-highest of the past 21 trading days.

ZPR closed at 10.09, up 0.20% on the day after setting a new 52-week high. Volume was 145,760, near the median of the past 21 trading days.

Five-year Canada yields were down to 3.84%.

The Fed did its thing today:

Recent indicators suggest that economic activity has continued to expand at a solid pace. Job gains have remained strong, and the unemployment rate has remained low. Inflation has eased over the past year but remains elevated. In recent months, there has been a lack of further progress toward the Committee’s 2 percent inflation objective.

The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. The Committee judges that the risks to achieving its employment and inflation goals have moved toward better balance over the past year. The economic outlook is uncertain, and the Committee remains highly attentive to inflation risks.

In support of its goals, the Committee decided to maintain the target range for the federal funds rate at 5-1/4 to 5-1/2 percent. In considering any adjustments to the target range for the federal funds rate, the Committee will carefully assess incoming data, the evolving outlook, and the balance of risks. The Committee does not expect it will be appropriate to reduce the target range until it has gained greater confidence that inflation is moving sustainably toward 2 percent. In addition, the Committee will continue reducing its holdings of Treasury securities and agency debt and agency mortgage‑backed securities. Beginning in June, the Committee will slow the pace of decline of its securities holdings by reducing the monthly redemption cap on Treasury securities from $60 billion to $25 billion. The Committee will maintain the monthly redemption cap on agency debt and agency mortgage‑backed securities at $35 billion and will reinvest any principal payments in excess of this cap into Treasury securities. The Committee is strongly committed to returning inflation to its 2 percent objective.

In assessing the appropriate stance of monetary policy, the Committee will continue to monitor the implications of incoming information for the economic outlook. The Committee would be prepared to adjust the stance of monetary policy as appropriate if risks emerge that could impede the attainment of the Committee’s goals. The Committee’s assessments will take into account a wide range of information, including readings on labor market conditions, inflation pressures and inflation expectations, and financial and international developments.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Thomas I. Barkin; Michael S. Barr; Raphael W. Bostic; Michelle W. Bowman; Lisa D. Cook; Mary C. Daly; Philip N. Jefferson; Adriana D. Kugler; Loretta J. Mester; and Christopher J. Waller.

The significant part of the decision is the slowdown of QT:

But some savvy traders are excited about another key decision. The Fed announced that it will significantly curtail its quantitative tightening (QT) program — that’s the selling off of its assets to decrease money supply and increase interest rates — beginning in June.

US Treasury yields fell on the news. Yields on the 10-year and 2-year both dropped by .05 percentage points.

What’s happening: The Fed bought a ton of government-backed bonds between 2020 and 2022 to help support economic recovery after the pandemic-induced recession. Those purchases ended up pushing down interest rates in certain parts of the economy, like housing and auto sales.

In mid-2022, as inflation soared higher, the Fed reversed that and began unloading those bonds.

The Fed currently lets up to $60 billion in Treasuries mature each month without replacing them, reducing the amount of money circulating in the economy. The idea is that QT can help exert some downward pressure on prices.

But there’s also some downside to the practice — changing the amount of liquidity in the economy and redirecting that money could have some major consequences.

As JPMorgan Chase CEO Jamie Dimon pointed out in his annual letter to shareholders last month, “we have never truly experienced the full effect of quantitative tightening on this scale.” The current pace of QT is draining more than $900 billion in liquidity from the system annually, he said, adding, “I am more worried [about it] than most.”

QT reduces the amount of money in the banking system, leading to higher interest rates and tighter monetary conditions, but last time the Fed implemented such a program in 2019, some banks fell very short of reserves.

That led to a “repo crisis”, where the interest rates for overnight loans between banks spiked unusually high. The Fed had to intervene and provide liquidity to bring down those repo rates.

PerpetualDiscounts now yield 6.75%, equivalent to 8.78% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.30% on 2024-4-19 and since then the closing price of ZLC has changed from 14.61 to 14.59, a decrease of 14bp in price, implying an increase of yields of 1bp (BMO reports a duration of 12.23, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.31%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 345bp from the 360bp reported April 24.

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 0.0812 % 2,352.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0812 % 4,512.7
Floater 10.23 % 10.45 % 53,592 9.16 1 0.0812 % 2,600.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1571 % 3,402.4
SplitShare 4.95 % 7.71 % 35,957 1.71 7 0.1571 % 4,063.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1571 % 3,170.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.9471 % 2,604.4
Perpetual-Discount 6.60 % 6.75 % 48,671 12.88 29 0.9471 % 2,839.9
FixedReset Disc 5.18 % 6.87 % 115,347 11.54 56 0.4020 % 2,566.0
Insurance Straight 6.54 % 6.73 % 58,115 12.87 21 1.1132 % 2,776.1
FloatingReset 9.38 % 9.39 % 26,047 9.99 2 0.9585 % 2,740.5
FixedReset Prem 6.93 % 6.20 % 201,876 3.13 2 0.4904 % 2,530.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4020 % 2,622.9
FixedReset Ins Non 5.16 % 7.21 % 80,466 12.59 14 0.9761 % 2,755.9
Performance Highlights
Issue Index Change Notes
BN.PF.G FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 8.78 %
SLF.PR.H FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.47 %
IFC.PR.K Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.66 %
CM.PR.O FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 23.84
Evaluated at bid price : 24.70
Bid-YTW : 6.21 %
NA.PR.S FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 22.56
Evaluated at bid price : 23.54
Bid-YTW : 6.62 %
PWF.PR.H Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 21.30
Evaluated at bid price : 21.57
Bid-YTW : 6.71 %
GWO.PR.H Insurance Straight 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 6.73 %
GWO.PR.M Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 21.57
Evaluated at bid price : 21.83
Bid-YTW : 6.73 %
CU.PR.C FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 7.70 %
MFC.PR.C Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.34 %
MFC.PR.M FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 7.28 %
GWO.PR.Q Insurance Straight 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.76 %
IFC.PR.C FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 7.21 %
BN.PF.J FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 8.18 %
BN.PR.Z FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 8.23 %
POW.PR.D Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 6.78 %
GWO.PR.T Insurance Straight 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.75 %
PWF.PR.R Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 6.76 %
GWO.PR.R Insurance Straight 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 6.74 %
POW.PR.B Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.77 %
PWF.PR.K Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.75 %
BN.PR.M Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 6.83 %
PWF.PR.S Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.71 %
GWO.PR.Y Insurance Straight 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.68 %
PWF.PF.A Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 6.65 %
GWO.PR.S Insurance Straight 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 6.76 %
POW.PR.G Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.77 %
GWO.PR.P Insurance Straight 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 6.76 %
CCS.PR.C Insurance Straight 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.77 %
CM.PR.S FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 23.71
Evaluated at bid price : 23.71
Bid-YTW : 6.59 %
SLF.PR.E Insurance Straight 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.36 %
CU.PR.F Perpetual-Discount 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 6.59 %
GWO.PR.N FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 8.12 %
BN.PF.C Perpetual-Discount 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 7.10 %
IFC.PR.A FixedReset Ins Non 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 7.26 %
SLF.PR.J FloatingReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 9.78 %
PWF.PR.E Perpetual-Discount 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 6.71 %
CU.PR.I FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 23.25
Evaluated at bid price : 23.66
Bid-YTW : 7.64 %
SLF.PR.D Insurance Straight 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 6.21 %
PWF.PR.L Perpetual-Discount 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 6.71 %
MFC.PR.F FixedReset Ins Non 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 7.21 %
CU.PR.J Perpetual-Discount 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.65 %
BIP.PR.E FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 7.98 %
MFC.PR.L FixedReset Ins Non 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 7.02 %
MFC.PR.I FixedReset Ins Non 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 22.78
Evaluated at bid price : 23.70
Bid-YTW : 6.98 %
PWF.PR.F Perpetual-Discount 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.79 %
SLF.PR.C Insurance Straight 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 6.17 %
CU.PR.E Perpetual-Discount 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 6.50 %
SLF.PR.G FixedReset Ins Non 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 7.76 %
BN.PF.B FixedReset Disc 4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 8.17 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset Disc 237,616 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 23.32
Evaluated at bid price : 23.85
Bid-YTW : 6.70 %
BMO.PR.S FixedReset Disc 126,162 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.91 %
TD.PF.C FixedReset Disc 125,882 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 22.79
Evaluated at bid price : 23.42
Bid-YTW : 6.40 %
FTS.PR.H FixedReset Disc 92,904 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 8.53 %
RY.PR.S FixedReset Disc 92,533 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 22.65
Evaluated at bid price : 23.70
Bid-YTW : 6.43 %
MFC.PR.F FixedReset Ins Non 84,020 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 7.21 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.H SplitShare Quote: 22.60 – 24.94
Spot Rate : 2.3400
Average : 1.6833

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 8.95 %
CU.PR.I FixedReset Disc Quote: 23.66 – 24.90
Spot Rate : 1.2400
Average : 0.7551

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 23.25
Evaluated at bid price : 23.66
Bid-YTW : 7.64 %
BN.PF.D Perpetual-Discount Quote: 17.51 – 18.50
Spot Rate : 0.9900
Average : 0.6178

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 7.10 %
CU.PR.F Perpetual-Discount Quote: 17.11 – 17.90
Spot Rate : 0.7900
Average : 0.5433

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 6.59 %
PWF.PR.H Perpetual-Discount Quote: 21.57 – 22.25
Spot Rate : 0.6800
Average : 0.4462

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 21.30
Evaluated at bid price : 21.57
Bid-YTW : 6.71 %
FFH.PR.C FixedReset Disc Quote: 21.80 – 22.45
Spot Rate : 0.6500
Average : 0.4468

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-01
Maturity Price : 21.47
Evaluated at bid price : 21.80
Bid-YTW : 8.04 %

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