PrefBlog

Market Action

ENS.PR.A To Reset At 7.00%

Middlefield Group Inc. has announced (on 2023-4-26):

The board of directors of E Split Corp. (the “Company”) has extended the maturity date of the Company for an additional 5-year term to June 30, 2028, as was detailed in the press release dated February 1, 2023.

The Company is pleased to announce that the distribution rate for the Preferred Shares for the new 5-year term from June 30, 2023 to June 30, 2028 will be $0.70 per annum (7.0% on the original issue price of $10) payable quarterly. The new distribution rate represents a 33.3% increase from the current $0.525 per annum distribution rate and provides investors with a competitive yield reflecting current market yields for preferred shares with similar terms. The new 5-year term extension also offers Preferred shareholders the opportunity to enjoy preferential cash dividends until June 30, 2028. Since inception from June 29, 2018 to March 31, 2023, the Preferred Share has delivered an attractive 5.3% per annum return.

In addition, the Company intends to maintain the targeted monthly Class A Share distribution rate at $0.13 per Class A Share. Since inception to March 31, 2023, the Class A shares have delivered a 11.1% per annum total return, including cash distributions of $7.01 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 allows Class A shareholders to continue to have exposure to common shares of Enbridge Inc. (“Enbridge”), a leading North American pipeline, natural gas processing and distribution company, while benefiting from an attractive distribution rate of 11.0% per annum based on the April 25, 2023 net asset value per share and the opportunity for capital appreciation. As North America’s largest midstream company, Enbridge has generated highly predictable, resilient cash flow and has provided superior dividend growth and value creation through various
commodity price cycles.

In connection with the extension, Shareholders can continue to hold their shares of both Classes and receive the new, higher distribution rate on the Preferred Shares by taking no action. Shareholders who do not wish to continue their investment in the Company, will be able to retract Preferred Shares or Class A Shares on June 30, 2023 pursuant to a special retraction right and receive a retraction price that is calculated in the same way that such price would be calculated if the Company were to terminate on June 30, 2023. Pursuant to this option, the retraction price may be less than the market price if the shares are trading at a premium to net asset value. To exercise this retraction right, shareholders must provide notice to their investment dealer by May 31, 2023 at 5:00 p.m. (Toronto time). Alternatively, shareholders may sell their Preferred Shares and/or Class A Shares through their securities dealer for the market price at any time, potentially at a higher price than would be achieved through retraction.

E Split Corp. invests in common shares of Enbridge and intends to purchase Enbridge common shares from time to time in the market or through participation in future public offerings by Enbridge.

MAPF

MAPF Performance: May, 2023

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close May 31, 2023, was $7.7956.

Performance was affected by BN.PR.R underperforming at -6.32% [repeating the last two month’s underperformance, but worse]; as did TRP.PR.D (-6.05%). This was partially mitigated by good performance from MIC.PR.A (+1.93%) and SLF.PR.G (-0.76%) [small holdings are not considered for mention here].

There is still a pronounced ‘risk-off’ sentiment in the market, but I feel it is only a matter of time before investors start paying attention to the fundamental risk of these instruments compared to their eye-popping interest-equivalent yields. In addition, the market appears to be giving considerable weight to Current Yield as a measure of valuation, ignoring or strongly deprecating the potential for large dividend increases on the next few years of resets.

FixedResets continue to yield more, in general, than PerpetualDiscounts; on April 28, I reported median YTWs of 8.64% and 6.59%, respectively, for these two indices; compare with mean Current Yields of 6.05% and 6.43%, respectively. RY.PR.J, to take a representative example, is calculated by HIMIPref™ as having a yield-to-worst of 8.55% at monthend (Current Yield of 4.60%); priced at 17.40, resetting 2025-5-24 at a spread of 274bp over GOC-5 (assumed to be constant at 3.61%) and currently paying 0.80 p.a. (3.20% annually). The next pay-date is 2023-8-24; it is trading cum-dividend.

If we plug the above data into the yield calculator for resets (which is discussed here), we arrive at a quarterly annualized yield of 8.38% for RY.PR.J (this is quarterly compounded yield, not semi-annually as in HIMIPref™ there are also implementation differences). To take this down to 17bp below the PerpetualDiscount median index yield of 6.59% (to account for the calculation methodological differences), which is to say 6.42%, requires the assumption that GOC-5 will be 1.93% forever, as opposed the ‘constant rate’ assumption of 3.61%. Well … pays yer money and take yer chances, gents! Assiduous Readers with long memories will liken this to all the calculations of Break-even Rate Shock when the puzzle represented the same problem with a different sign! Note that even if the unfavourable scenario of GOC-5 = 1.93% is realized, this has only reduced the yield of RY.PR.J to that of the median PerpetualDiscount yield, which isn’t the worst outcome one might fear from one’s investments!

It is of interest to note that the Solactive Laddered Canadian Preferred Share Index (used as the basis for the BMO Laddered Preferred Share Index ETF (ZPR)) is now showing a negative total return for the ten years ending May 31, 2023. Now that’s what I call a bear market! It should come as no surprise that retail, egged on by boneheaded advisors, has decided that this proves it will produce negative returns forever!

Returns to May 31, 2023
Period	MAPF	TXPR* Total Return	CPD – according to Blackrock
One Month	-3.90%	-3.57%	N/A
Three Months	-7.65%	-6.93%	N/A
One Year	-18.32%	-14.86%	-15.24%
Two Years (annualized)	-8.95%	-8.13%	N/A
Three Years (annualized)	+12.70%	+6.30%	+5.73%
Four Years (annualized)	+4.30%	+1.96%	N/A
Five Years (annualized)	-0.53%	-0.53%	-1.09%
Six Years (annualized)	+2.06%	+0.83%	N/A
Seven Years (annualized)	+4.73%	+2.84%	N/A
Eight Years (annualized)	+1.94%	+0.87%	N/A
Nine Years (annualized)	+1.53%	+0.42%	N/A
Ten Years (annualized)	+1.63%	+0.35%	-0.12%
Eleven Years (annualized)	+2.36%	+0.82%
Twelve Years (annualized)	+2.11%	+1.02%
Thirteen Years (annualized)	+3.85%	+1.99%
Fourteen Years (annualized)	+4.93%	+2.43%
Fifteen Years (annualized)	+6.27%	+1.89%
Sixteen Years (annualized)	+6.04%
Seventeen Years (annualized)	+5.99%
Eighteen Years (annualized)	+5.95%
Nineteen Years (annualized)	+6.17%
Twenty Years (annualized)	+6.88%
Twenty-One Years (annualized)	+6.86%
Twenty-Two Years (annualized)	+7.28%
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The BMO Capital Markets “50” Preferred Share Index is no longer being calculated. The final performance report incorporating this venerable index was published as of December, 2020.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are -4.16%, -7.33% and -16.14%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +7.48%; five year is +0.30%; ten year is +1.22%. 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 -3.78%, -6.80% & -15.48%, respectively. Three year performance is +8.47%, five-year is -0.69%, ten year is +1.06%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are -3.85%, -6.92% and -15.69% for one-, three- and twelve months, respectively. Three year performance is +8.40%; five-year is -0.60%; ten-year is +0.85% 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 S&P/TSX Laddered Preferred Share Index ETF (ZPR) is -15.97% for the past twelve months. Two year performance is -8.20%, three year is +8.50%, five year is -0.63%, ten year is -0.59%
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 BMO are -3.90%, -7.09% and -16.54% for the past one-, three- and twelve-months, respectively. Two year performance is -10.12%; three year is +4.92%; five-year is -2.97%.
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 -2.5%, -5.9% and -14.2% for the past one, three and twelve months, respectively. Three year performance is +9.5%, five-year is -1.1%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are -3.54%, -6.64% and -14.92% for the past one, three and twelve months, respectively. Two year performance is -8.84%, three-year is +5.38%, five-year is -1.92%
Figures for the RBC Canadian Preferred Share ETF (RPF) are reported by Morningstar as -3.92%, -8.75% and -17.42% for the past one, three and twelve months, respectively. Three-year performance is +7.86%, five-year is -1.41%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are -3.7%, -6.4% and -11.8% for the past one, three and twelve months, respectively. Three-year performance is +11.1%; five-year is +1.0%
Figures for the Purpose Canadian Preferred Share Fund (Class F) are -3.68%, -8.55% and -18.51% for the past one, three and twelve months, respectively. Three-year performance is +10.96%; five-year is -1.17%; seven-year is +2.45%; ten-year is +4.12%.

The five-year Canada yield increased, with the five-year Canada yield (“GOC-5”) rising from 3.12% at April month-end to 3.61% at May month-end.

The Seniority Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 345bp as of 2023-5-31 (chart end-date 2023-5-12) :

The situation with FixedResets is interesting, with the spread between GOC-5 and the interest-adjusted FixedReset (Discount) rate widening significantly from its 2021-11-10 low of 344bp to its current level of 779bp (as of 2023-5-31) … (chart end-date 2023-5-12):

…while at the same time the interest-equivalent spread between FixedReset (Discounts) and PerpetualDiscounts has narrowed to -267bp (as of 2023-5-31) from its 2021-7-28 level of +170bp (chart end-date 2023-5-12):

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, which is normal because there is a lot of noise in this inefficient market.

However, the normally moderate correlations between Issue Reset Spread and three-month performance have disappeared again in this month’s check:

There were no significant correlations for either the Pfd-2 Group or the Pfd-3 Group for 1-Month performance against term-to-reset, although there seems to be some mitigating effect of a less than one-year term to reset against the overall poor performance:

… and for three-month performance against term-to-reset, there were again no correlations for either the Pfd-2 Group or the Pfd-3 Group:

It should be noted that to some extent such 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 PrefLetter.

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 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 2023-05-12).

Calculation of MAPF Sustainable Income Per Unit
Month	NAVPU	Portfolio Average YTW	Leverage Divisor	Securities Average YTW	Capital Gains Multiplier	Sustainable Income per current Unit
June, 2007	9.3114	5.16%	1.03	5.01%	1.3240	0.3524
September	9.1489	5.35%	0.98	5.46%	1.3240	0.3773
December, 2007	9.0070	5.53%	0.942	5.87%	1.3240	0.3993
March, 2008	8.8512	6.17%	1.047	5.89%	1.3240	0.3938
June	8.3419	6.034%	0.952	6.338%	1.3240	$0.3993
September	8.1886	7.108%	0.969	7.335%	1.3240	$0.4537
December, 2008	8.0464	9.24%	1.008	9.166%	1.3240	$0.5571
March 2009	$8.8317	8.60%	0.995	8.802%	1.3240	$0.5872
June	10.9846	7.05%	0.999	7.057%	1.3240	$0.5855
September	12.3462	6.03%	0.998	6.042%	1.3240	$0.5634
December 2009	10.5662	5.74%	0.981	5.851%	1.1141	$0.5549
March 2010	10.2497	6.03%	0.992	6.079%	1.1141	$0.5593
June	10.5770	5.96%	0.996	5.984%	1.1141	$0.5681
September	11.3901	5.43%	0.980	5.540%	1.1141	$0.5664
December 2010	10.7659	5.37%	0.993	5.408%	1.0298	$0.5654
March, 2011	11.0560	6.00%	0.994	5.964%	1.0298	$0.6403
June	11.1194	5.87%	1.018	5.976%	1.0298	$0.6453
September	10.2709	6.10% Note	1.001	6.106%	1.0298	$0.6090
December, 2011	10.0793	5.63% Note	1.031	5.805%	1.0000	$0.5851
March, 2012	10.3944	5.13% Note	0.996	5.109%	1.0000	$0.5310
June	10.2151	5.32% Note	1.012	5.384%	1.0000	$0.5500
September	10.6703	4.61% Note	0.997	4.624%	1.0000	$0.4934
December, 2012	10.8307	4.24%	0.989	4.287%	1.0000	$0.4643
March, 2013	10.9033	3.87%	0.996	3.886%	1.0000	$0.4237
June	10.3261	4.81%	0.998	4.80%	1.0000	$0.4957
September	10.0296	5.62%	0.996	5.643%	1.0000	$0.5660
December, 2013	9.8717	6.02%	1.008	5.972%	1.0000	$0.5895
March, 2014	10.2233	5.55%	0.998	5.561%	1.0000	$0.5685
June	10.5877	5.09%	0.998	5.100%	1.0000	$0.5395
September	10.4601	5.28%	0.997	5.296%	1.0000	$0.5540
December, 2014	10.5701	4.83%	1.009	4.787%	1.0000	$0.5060
March, 2015	9.9573	4.99%	1.001	4.985%	1.0000	$0.4964
June, 2015	9.4181	5.55%	1.002	5.539%	1.0000	$0.5217
September	7.8140	6.98%	0.999	6.987%	1.0000	$0.5460
December, 2015	8.1379	6.85%	0.997	6.871%	1.0000	$0.5592
March, 2016	7.4416	7.79%	0.998	7.805%	1.0000	$0.5808
June	7.6704	7.67%	1.011	7.587%	1.0000	$0.5819
September	8.0590	7.35%	0.993	7.402%	1.0000	$0.5965
December, 2016	8.5844	7.24%	0.990	7.313%	1.0000	$0.6278
March, 2017	9.3984	6.26%	0.994	6.298%	1.0000	$0.5919
June	9.5313	6.41%	0.998	6.423%	1.0000	$0.6122
September	9.7129	6.56%	0.998	6.573%	1.0000	$0.6384
December, 2017	10.0566	6.06%	1.004	6.036%	1.0000	$0.6070
March, 2018	10.2701	6.22%	1.007	6.177%	1.0000	$0.6344
June	10.2518	6.22%	0.995	6.251%	1.0000	$0.6408
September	10.2965	6.62%	1.018	6.503%	1.0000	$0.6696
December, 2018	8.6875	7.16%	0.997	7.182%	1.0000	$0.6240
March, 2019	8.4778	7.09%	1.007	7.041%	1.0000	$0.5969
June	8.0896	7.33%	0.996	7.359%	1.0000	$0.5953
September	7.7948	7.96%	0.998	7.976%	1.0000	$0.6217
December, 2019	8.0900	6.03%	0.995	6.060%	1.0000	$0.4903
March	5.5596	7.04%	1.006	6.998%	1.0000	$0.3891
June	6.3568	6.10%	0.9900	6.162%	1.0000	$0.3917
September	7.2852	5.32%	1.00	5.320%	1.0000	$0.3876
December, 2020	8.3947	4.46%	0.999	4.464%	1.0000	$0.3747
March, 2021	9.6473	4.48%	0.996	4.498%	1.0000	$0.4339
June	10.3712	3.92%	0.985	3.980%	1.0000	$0.4127
September	10.7572	4.08%	1.017	4.012%	1.0000	$0.4316
December, 2021	10.7432	4.31%	0.999	4.314%	1.0000	$0.4635
March, 2022	10.5040	5.53%	1.004	5.508%	1.0000	$0.5786
June	9.3115	7.04%	0.993	7.090%	1.0000	$0.6672
September	8.4093	8.10%	0.997	8.124%	1.0000	$0.6916
December, 2022	7.9921	8.47%	0.996	8.504%	1.0000	$0.6796
March	8.0788	7.90%	0.997	7.924%	1.0000	$0.6401
May, 2023	7.7956	9.24%	0.994	9.296%	1.0000	$0.7247
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	2.93%	4.44%
May, 2023	3.61%	4.73%

MAPF

MAPF Portfolio Composition: May, 2023

Turnover declined to under 1% in May. With volatility and nervousness due to worries about financial stability, spreads were wide; in addition, high trading volumes in the early part of the year have left the portfolio in a highly optimized condition.

There was a sharp increase in the proportion of the portfolio due to be reset within one year; this was due to the simple passage of time, not to current-month trading. The fund holds significant positions in TRP.PR.D, NA.PR.S, RY.PR.Z and BMO.PR.S.

Sectoral distribution of the MAPF portfolio on May 31, 2023, were:

MAPF Sectoral Analysis 2023-5-31
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	6.5%	6.69%	12.86
Fixed-Reset Discount	73.6%	9.29%	10.63
Insurance – Straight	0%	N/A	N/A
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	1.7%	9.12%	11.51
Scraps – Ratchet	1.5%	9.78%	10.38
Scraps – FixedFloater	0%	N/A	N/A
Scraps – Floater	0%	N/A	N/A
Scraps – OpRet	0%	N/A	N/A
Scraps – SplitShare	2.3%	10.45%	1.34
Scraps – PerpPrem	0%	N/A	N/A
Scraps – PerpDisc	0%	N/A	N/A
Scraps – FR Discount	5.4%	11.92%	8.97
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	8.3%	9.27%	11.10
Cash	+0.6%	0.00%	0.00
Total	100%	9.24%	10.46
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 resettable instruments are performed assuming a constant GOC-5 rate of 3.61%, a constant 3-Month Bill rate of 4.73% and a constant Canada Prime Rate of 6.70%

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 2023-5-31
DBRS Rating	MAPF Weighting
Pfd-1	0
Pfd-1(low)	0
Pfd-2(high)	45.8%
Pfd-2	20.8%
Pfd-2(low)	23.6%
Pfd-3(high)	3.2%
Pfd-3	3.8%
Pfd-3(low)	1.5%
Pfd-4(high)	0.6%
Pfd-4	0%
Pfd-4(low)	0%
Pfd-5(high)	0%
Pfd-5	0%
Cash	+0.6%
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 2023-5-31
Average Daily Trading	MAPF Weighting
<$50,000	33.1%
$50,000 – $100,000	15.1%
$100,000 – $200,000	45.8%
$200,000 – $300,000	4.3%
>$300,000	1.0%
Cash	+0.6%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range	MAPF Weight
<100bp	0%
100-149bp	10.0%
150-199bp	15.7%
200-249bp	58.7%
250-299bp	2.3%
300-349bp	2.2%
350-399bp	0%
400-449bp	0%
450-499bp	0%
500-549bp	0%
550-599bp	0%
>= 600bp	0%
Undefined	10.9%

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	1.5%
0-1 Year	23.9%
1-2 Years	34.2%
2-3 Years	19.0%
3-4 Years	12.0%
4-5 Years	0%
5-6 Years	0%
>6 Years	0%
Not Floating Rate	9.4%

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.

Market Action

June 2, 2023

TXPR closed at 530.35, up 0.90% on the day. Volume today was 852,710, a little below the median of the past 21 trading days.

CPD closed at 10.64, up 1.53% on the day. Volume was 57,180, fourth-highest of the past 21 trading days.

ZPR closed at 8.71, up 1.16% on the day. Volume was 128,000, below the median of the past 21 trading days.

Five-year Canada yields up to 3.52% today.

Jobs, jobs, jobs!:

U.S. employers added 339,000 jobs on a seasonally adjusted basis, the Labor Department said on Friday, an increase from a revised total of 294,000 in April.

The strong figures emerged from a survey of employers. A separate component of the report, based on a survey of households, yielded a somewhat dissonant picture.

That data showed a rise in the unemployment rate to 3.7 percent, from 3.4 percent, and a decrease of 310,000 in the number of people employed, as participation in the labor force was little changed.

In a sign that the pressure to entice workers with pay increases is easing, wage growth slowed slightly in May, with average hourly earnings increasing 0.3 percent from April, and 4.3 percent over the year.
…
How can job growth accelerate while the unemployment rate rises? The two figures come from different surveys, one of businesses (the source of the monthly payroll figure) and one of households (the source of the unemployment rate). Over time, the two typically tell consistent stories. but they can diverge in any given month.

Often, that divergence is nothing more than noise. But sometimes, it reflects something real happening in the economy. That’s because the two surveys measure different things: The survey of households, for example, includes gig workers and other people doing nontraditional jobs that aren’t counted in the business survey.

That appears to be what happened last month. In May, “unincorporated self-employment” — which includes gig workers, independent contractors and some small businesses — fell by 369,000, the third straight monthly decrease. Looking just at people working in more traditional jobs, employment rose in both surveys last month.
…
The share of people in their prime working years — 25- to 54-years-old — participating in the labor market reached 83.4 percent in May, a level not seen since 2007.
…
Investors have added to bets on the Fed raising interest rates in June. Still, bets remain skewed toward the central bank holding rates at their current level, in a range between 5 percent and 5.25 percent.

And the US debt limit will be out of the headlines for the next two years:

After weeks of political impasse, tense negotiations and mounting economic anxiety, the Senate gave final approval on Thursday night to bipartisan legislation suspending the debt limit and imposing new spending caps, sending it to President Biden and ending the possibility of a calamitous government default.

The approval by the Senate on a 63-to-36 vote brought to a close a political showdown that began brewing as soon as Republicans narrowly won the House in November, promising to use their new majority and the threat of a default to try to extract spending and policy concessions from Mr. Biden.

The Canaccord deal (last mentioned May 8) continues to appear dubious:

Canaccord Genuity Group Inc CF-T -7.03%decrease
management-led consortium said on Friday its $1.13-billion take-private offer may not result in a deal as there was “no reasonable chance” its conditions would be met by the expiry date.

This comes just a month after the management warned of delays in securing regulatory approvals for the offer, first announced in January.

The management has made no final decision on extending the June 13 deadline for the offer, which was opposed by a special committee of independent directors at the Canadian firm in February.

And, for what it’s worth, my faith in the company’s governance also continues to be dubious.

Toronto real estate continues to impress:

Toronto’s housing market recovered further in May, with sales and home prices climbing for the fourth consecutive month, as the shortage of properties for sale fuelled competition among buyers.

The home price index, which excludes the highest valued properties, increased by 1.6 per cent to $1,164,400 from April to May, according to the Toronto Regional Real Estate Board, or TRREB. Adjusting for seasonal influences, the home price index was up 3.2 per cent to $1,139,600.

Sales rose by 5 per cent month over month on a seasonally adjusted basis. And although new listings increased by 10 per cent as more homeowners put their properties on the market, the volume was about 50 per cent below the 10-year average for May.

Sales represented more than 70 per cent of the new listings, the second consecutive month of similar conditions. TRREB’s chief market analyst Jason Mercer said a measurement this high “represents a very tight market supporting strong price growth.” The last time the market was this tight was at the peak of the pandemic’s real estate boom in January of last year.

Pablo Hernández de Cos, Governor of the Bank of Spain, gave a speech titled The European Central Bank’s monetary policy in response to the price stability challenge:

From a monetary policy perspective, it must be borne in mind that this inflation forecast – which, I stress, is compatible with our medium-term price stability target – is based, among other assumptions, on market expectations for our interest rates that envisage the deposit facility rate peaking at around 3.75% in the coming months, holding at that level over the following quarters and only gradually falling from 2024 Q2.

Although no new projections were available in May, the latest data published since the March projections were prepared show, firstly, that economic activity has performed in line with the forecast. Thus, euro area GDP grew 0.1% in Q1 and the partial and essentially qualitative information available for Q2 suggests a slight acceleration. By component, private consumption remained weak, but the labour market continued to prove robust: the unemployment rate stood at historically low levels (6.9% in March, almost 1 pp below the February 2020 rate), although hours worked were still 1.6% below the pre-pandemic level.

Inflation of 7% in April was slightly higher than expected, while financial conditions tightened further – as a result, above all, of an even stronger euro exchange rate – and energy prices were at somewhat lower levels than those incorporated into the March projections.

All this information led us to consider that the medium-term inflation outlook in the March projections essentially remained valid. In this respect, the International Monetary Fund projections published on 18 April forecast a similar GDP and inflation outlook to that of the Eurosystem.

Underlying inflation (i.e. excluding energy and food) fell slightly in April, to 5.6%, but was higher than expected, after reaching a record high of 5.7% in March. Other indicators confirm that underlying price pressures remain strong. First, inflation rates for the underlying inflation components most exposed to higher energy prices,3 which increased by 4.5 pp over the course of 2022 (to 7.2% in December), have continued to rise and stood at 7.7% in April. Second, the price growth of those items most affected by the recovery in demand after the pandemic restrictions were lifted, such as those related to transport and household equipment and maintenance, shows signs of stabilising, albeit at levels that remain high (above 7%).4

In addition, inflation rates for the components related to recreation, food service activities and tourism reached an all-time high of 7.5% in March (7.4% in April). Lastly, inflation rates for the rest of the items, which account for more than 30% of the consumption basket, held at 3.6%5 in April, with the prices of more than half of the items
growing at rates of over 4%.

Nonetheless, various short-term underlying inflation indicators – measured in month-onmonth or quarter-on-quarter terms – have started to ease somewhat. In this respect, nonenergy industrial goods inflation fell from 6.6% in March
to 6.2% in April.

At the same time, wage pressures have continued to increase, with compensation per employee and per hour growing by 5% and 4.3%, respectively, in 2022 Q4 (3.9% and 2.9% in Q3). In any event, this is in line with the March projections.

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	-0.2256 %	2,124.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.2256 %	4,075.5
Floater	10.61 %	10.89 %	21,979	8.76	2	-0.2256 %	2,348.7
OpRet	0.00 %	0.00 %	0	0.00	0	0.0860 %	3,341.0
SplitShare	5.03 %	7.34 %	40,300	2.53	7	0.0860 %	3,989.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0860 %	3,113.1
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	0.5194 %	2,679.8
Perpetual-Discount	6.37 %	6.52 %	39,522	13.12	34	0.5194 %	2,922.2
FixedReset Disc	5.96 %	8.49 %	80,970	11.23	63	1.1006 %	2,092.7
Insurance Straight	6.34 %	6.37 %	59,344	13.42	19	0.5080 %	2,837.6
FloatingReset	11.18 %	11.55 %	47,017	8.53	2	0.5980 %	2,321.3
FixedReset Prem	6.98 %	7.00 %	290,851	3.79	1	0.2789 %	2,315.5
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	1.1006 %	2,139.1
FixedReset Ins Non	6.05 %	7.60 %	84,529	11.80	11	1.2365 %	2,305.6

Performance Highlights
Issue	Index	Change	Notes
BIK.PR.A	FixedReset Disc	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 22.24 Evaluated at bid price : 23.00 Bid-YTW : 8.10 %
TRP.PR.C	FixedReset Disc	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 10.68 %
TD.PF.L	FixedReset Disc	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 21.98 Evaluated at bid price : 22.56 Bid-YTW : 7.61 %
MFC.PR.C	Insurance Straight	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 6.24 %
RY.PR.H	FixedReset Disc	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 8.50 %
CM.PR.Y	FixedReset Disc	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 22.85 Evaluated at bid price : 23.35 Bid-YTW : 7.63 %
PWF.PR.E	Perpetual-Discount	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 21.22 Evaluated at bid price : 21.22 Bid-YTW : 6.58 %
MFC.PR.K	FixedReset Ins Non	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 8.14 %
PVS.PR.K	SplitShare	1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 6.96 %
PWF.PR.Z	Perpetual-Discount	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 20.03 Evaluated at bid price : 20.03 Bid-YTW : 6.52 %
RY.PR.N	Perpetual-Discount	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 21.75 Evaluated at bid price : 21.75 Bid-YTW : 5.68 %
BMO.PR.S	FixedReset Disc	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 8.44 %
BN.PF.D	Perpetual-Discount	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.96 %
PWF.PR.P	FixedReset Disc	1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 11.76 Evaluated at bid price : 11.76 Bid-YTW : 9.62 %
BIP.PR.A	FixedReset Disc	1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 10.12 %
FTS.PR.J	Perpetual-Discount	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 19.47 Evaluated at bid price : 19.47 Bid-YTW : 6.15 %
BN.PR.R	FixedReset Disc	1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 12.86 Evaluated at bid price : 12.86 Bid-YTW : 10.37 %
BN.PF.G	FixedReset Disc	1.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 14.44 Evaluated at bid price : 14.44 Bid-YTW : 10.41 %
RY.PR.Z	FixedReset Disc	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 16.81 Evaluated at bid price : 16.81 Bid-YTW : 8.55 %
RY.PR.S	FixedReset Disc	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 7.62 %
BMO.PR.W	FixedReset Disc	1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 8.64 %
TRP.PR.E	FixedReset Disc	1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 9.89 %
MFC.PR.I	FixedReset Ins Non	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 21.30 Evaluated at bid price : 21.58 Bid-YTW : 7.36 %
CM.PR.Q	FixedReset Disc	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 8.51 %
IFC.PR.C	FixedReset Disc	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 8.42 %
BN.PF.A	FixedReset Disc	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 18.17 Evaluated at bid price : 18.17 Bid-YTW : 9.16 %
CM.PR.O	FixedReset Disc	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 8.68 %
CCS.PR.C	Insurance Straight	1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 6.29 %
TD.PF.D	FixedReset Disc	1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 17.57 Evaluated at bid price : 17.57 Bid-YTW : 8.42 %
NA.PR.S	FixedReset Disc	1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 17.49 Evaluated at bid price : 17.49 Bid-YTW : 8.53 %
GWO.PR.M	Insurance Straight	1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 6.44 %
TRP.PR.B	FixedReset Disc	1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 10.22 Evaluated at bid price : 10.22 Bid-YTW : 10.64 %
BN.PF.C	Perpetual-Discount	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 6.96 %
BN.PF.B	FixedReset Disc	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 9.92 %
MFC.PR.N	FixedReset Ins Non	1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 8.99 %
TD.PF.J	FixedReset Disc	1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 21.49 Evaluated at bid price : 21.49 Bid-YTW : 7.24 %
CM.PR.P	FixedReset Disc	1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 8.59 %
BN.PR.T	FixedReset Disc	1.85 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 13.20 Evaluated at bid price : 13.20 Bid-YTW : 10.23 %
TRP.PR.G	FixedReset Disc	1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 9.43 %
BN.PF.I	FixedReset Disc	1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 19.36 Evaluated at bid price : 19.36 Bid-YTW : 9.06 %
MFC.PR.M	FixedReset Ins Non	1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 8.97 %
BMO.PR.E	FixedReset Disc	1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 7.53 %
BN.PR.N	Perpetual-Discount	1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 6.84 %
RY.PR.J	FixedReset Disc	1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 8.31 %
BN.PR.X	FixedReset Disc	2.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 9.45 %
RY.PR.M	FixedReset Disc	2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 17.16 Evaluated at bid price : 17.16 Bid-YTW : 8.31 %
MFC.PR.F	FixedReset Ins Non	2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 9.20 %
BN.PR.Z	FixedReset Disc	2.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 8.56 %
BMO.PR.T	FixedReset Disc	2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 16.64 Evaluated at bid price : 16.64 Bid-YTW : 8.60 %
POW.PR.B	Perpetual-Discount	2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 6.47 %
NA.PR.W	FixedReset Disc	2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 8.61 %
TD.PF.A	FixedReset Disc	2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 8.49 %
TD.PF.M	FixedReset Disc	2.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 23.09 Evaluated at bid price : 23.60 Bid-YTW : 7.48 %
TD.PF.K	FixedReset Disc	2.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 7.39 %
TD.PF.C	FixedReset Disc	2.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 8.49 %
FTS.PR.K	FixedReset Disc	2.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 8.96 %
BMO.PR.Y	FixedReset Disc	3.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 8.36 %
MFC.PR.L	FixedReset Ins Non	5.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 8.70 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BN.PF.H	FixedReset Disc	67,000	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 9.07 %
TD.PF.A	FixedReset Disc	27,300	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 8.49 %
BN.PF.J	FixedReset Disc	25,000	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 7.97 %
RY.PR.J	FixedReset Disc	24,868	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 8.31 %
TRP.PR.C	FixedReset Disc	18,249	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 10.68 %
NA.PR.W	FixedReset Disc	17,150	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 8.61 %
There were 5 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: 20.02 – 23.20 Spot Rate : 3.1800 Average : 1.8477 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 6.44 %
CU.PR.C	FixedReset Disc	Quote: 17.93 – 22.72 Spot Rate : 4.7900 Average : 3.7870 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 17.93 Evaluated at bid price : 17.93 Bid-YTW : 8.14 %
RY.PR.J	FixedReset Disc	Quote: 17.95 – 20.00 Spot Rate : 2.0500 Average : 1.2780 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 8.31 %
RY.PR.M	FixedReset Disc	Quote: 17.16 – 18.75 Spot Rate : 1.5900 Average : 1.0598 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 17.16 Evaluated at bid price : 17.16 Bid-YTW : 8.31 %
TRP.PR.E	FixedReset Disc	Quote: 14.70 – 17.45 Spot Rate : 2.7500 Average : 2.2550 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 9.89 %
BN.PF.C	Perpetual-Discount	Quote: 17.80 – 19.19 Spot Rate : 1.3900 Average : 0.9177 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-02 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 6.96 %

Market Action

June 1, 2023

The current issue of IMF’s F&D magazine is devoted to globalization this week:

Mounting disillusionment with globalization has consequences. Yale’s Pinelopi Goldberg concludes that protectionism would make the world less resilient and more conflict-prone. Dartmouth’s Doug Irwin says history shows industrial policies and subsidies could leave countries worse off. Growing global tensions, notes the IMF’s Michele Ruta, may push regional trade alliances toward less integration and more discrimination. And smaller economies may be sidelined as the world fragments into rival trading blocs. Some will find it advantageous to remain nonaligned, says Oxford’s Ngaire Woods.

But the IMF’s Kristalina Georgieva and the World Trade Organization’s Ngozi Okonjo-Iweala appeal to countries to keep faith in trade as a transformative force that has lifted many millions out of poverty and call for a strengthening of multilateral institutions. Other contributors advocate for a new political consensus to resolve competing demands on the global trading system, taking into account structural changes in the global economy.

Michelle W Bowman, Member of the Board of Governors of the Federal Reserve System, gave a short speech at a Fed Listens event:

In the near term, higher interest rates intended to lower inflation work most directly in the housing market. While we expect lower rents will eventually be reflected in inflation data as new leases make their way into the calculations, the residential real estate market appears to be rebounding, with home prices leveling out recently, which has implications for our fight to lower inflation.

The pandemic abruptly changed the lives of most Americans and their families, and it fed a surge of demand for those who sought larger homes. It ushered in a wave of homebuilding and renovation that was a significant contributing factor for inflation and supply chain challenges. Much of that initial inflation has moderated, but it will be important to understand the long-term effect of the pandemic environment on household formation and housing demand going forward.

Christine Lagarde, President of the European Central Bank, gave a speech titled The Fight Against Inflation:

Underlying inflation refers to the slow-moving part of inflation which, when temporary shocks have faded, will persist into the medium term. Therefore, by looking at underlying inflation, we can be more confident that inflation is on the right path. And it has an important benefit – measures of underlying inflation can be observed in real time.

However, there is no clear evidence that underlying inflation has peaked. To date, all measures monitored by the ECB are still strong. And whether they remain so will depend mainly on the balance between two forces: energy prices and wages.

On the one hand, as energy is an important input into every economic activity, the sharp rise in energy prices last year has fed through to all prices – including those that make up our various measures of underlying inflation.
But energy prices have dropped considerably since then, which should have the opposite effect. HICP energy inflation in Germany fell from 44.2% in September 2022 to 9.4% in April 2023.

This decline in energy costs for both consumers and producers should, in turn, limit firms’ ability to further raise profit margins, which has been a key factor driving recent price pressures in the euro area.

Consumers are less likely to accept disproportionate price rises when they know that firms are saving on their energy bills.

On the other hand, mounting wage pressures are becoming a more important driver of inflation. So far, workers have faced a significant loss from the erosion in overall labour income caused by the energy crisis. In the euro area, real wages at the end of last year were still around 4 percentage points below prepandemic levels.

But labour markets across the euro area are tight and workers have considerable bargaining power, which they are starting to use to recoup these losses. This is especially visible here in Germany, where labour shortages reached historic highs in the second half of last year, leading to strong wage agreements in many sectors. Wage growth in Germany increased from 3.9% in the fourth quarter of last year to 5.1% in the first quarter of this year.

To be clear: a period of catch-up wage growth need not cause unduly persistent inflation over time – if the costs of the energy shock are ultimately shared in a balanced way between firms and workers. But if we start to see what I have called “tit-for-tat” inflation – with both parties trying to offset any real income losses – we could see a negative spiral taking hold.

The ECB cannot allow this to happen. And since profits are ultimately influenced by the business cycle, it is our responsibility to restrict demand enough to prevent such a spiral. That should, in turn, lead to slower margin growth and lower wage demands while reducing pressure in the labour market.

But to gauge whether rates are sufficiently restrictive, we need to know how much traction our policy tightening is having – and is likely to have – on spending in the economy.

That is why policy transmission is the third element we are looking at.

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	0.2261 %	2,129.7
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.2261 %	4,084.7
Floater	10.58 %	10.85 %	22,928	8.79	2	0.2261 %	2,354.0
OpRet	0.00 %	0.00 %	0	0.00	0	0.0799 %	3,338.2
SplitShare	5.04 %	7.26 %	40,073	2.54	7	0.0799 %	3,986.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0799 %	3,110.4
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	0.5147 %	2,665.9
Perpetual-Discount	6.40 %	6.54 %	41,155	13.08	34	0.5147 %	2,907.1
FixedReset Disc	6.02 %	8.62 %	81,174	11.08	63	0.4794 %	2,069.9
Insurance Straight	6.37 %	6.41 %	60,018	13.38	19	0.8612 %	2,823.2
FloatingReset	11.25 %	11.63 %	46,474	8.48	2	0.2822 %	2,307.5
FixedReset Prem	7.00 %	7.02 %	302,204	12.35	1	-0.2385 %	2,309.0
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	0.4794 %	2,115.9
FixedReset Ins Non	6.12 %	7.62 %	84,942	11.76	11	0.3713 %	2,277.4

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.P	FixedReset Disc	-1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 11.62 Evaluated at bid price : 11.62 Bid-YTW : 9.72 %
BN.PF.I	FixedReset Disc	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 9.23 %
BIP.PR.A	FixedReset Disc	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 16.25 Evaluated at bid price : 16.25 Bid-YTW : 10.24 %
BIP.PR.F	FixedReset Disc	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 18.79 Evaluated at bid price : 18.79 Bid-YTW : 8.63 %
BN.PR.N	Perpetual-Discount	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 17.41 Evaluated at bid price : 17.41 Bid-YTW : 6.97 %
CU.PR.G	Perpetual-Discount	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 6.13 %
PWF.PR.G	Perpetual-Discount	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 6.49 %
POW.PR.A	Perpetual-Discount	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 21.49 Evaluated at bid price : 21.75 Bid-YTW : 6.54 %
BMO.PR.W	FixedReset Disc	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 16.24 Evaluated at bid price : 16.24 Bid-YTW : 8.75 %
RY.PR.J	FixedReset Disc	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 8.46 %
BMO.PR.S	FixedReset Disc	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 8.54 %
GWO.PR.H	Insurance Straight	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 6.44 %
RY.PR.O	Perpetual-Discount	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 21.41 Evaluated at bid price : 21.41 Bid-YTW : 5.77 %
FTS.PR.G	FixedReset Disc	1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 8.40 %
BMO.PR.E	FixedReset Disc	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 7.68 %
TRP.PR.A	FixedReset Disc	1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 13.05 Evaluated at bid price : 13.05 Bid-YTW : 10.06 %
IFC.PR.G	FixedReset Ins Non	1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 7.58 %
BN.PR.Z	FixedReset Disc	1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 8.74 %
BN.PF.D	Perpetual-Discount	1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 7.04 %
PWF.PR.O	Perpetual-Discount	1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 22.09 Evaluated at bid price : 22.37 Bid-YTW : 6.56 %
FTS.PR.H	FixedReset Disc	1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 9.56 %
BIK.PR.A	FixedReset Disc	1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 22.80 Evaluated at bid price : 23.40 Bid-YTW : 7.97 %
FTS.PR.M	FixedReset Disc	1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 9.03 %
BMO.PR.F	FixedReset Disc	1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 22.88 Evaluated at bid price : 23.44 Bid-YTW : 7.52 %
BN.PR.R	FixedReset Disc	1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 12.70 Evaluated at bid price : 12.70 Bid-YTW : 10.49 %
BN.PR.M	Perpetual-Discount	2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 6.93 %
BN.PF.A	FixedReset Disc	2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 9.30 %
TRP.PR.E	FixedReset Disc	2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 10.03 %
RY.PR.N	Perpetual-Discount	3.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.75 %
GWO.PR.P	Insurance Straight	3.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 6.49 %
SLF.PR.C	Insurance Straight	6.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 6.14 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.D	FixedReset Disc	135,947	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 14.66 Evaluated at bid price : 14.66 Bid-YTW : 10.16 %
BN.PF.J	FixedReset Disc	79,400	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 8.03 %
MFC.PR.L	FixedReset Ins Non	42,500	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 15.51 Evaluated at bid price : 15.51 Bid-YTW : 9.13 %
TD.PF.A	FixedReset Disc	41,800	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 8.70 %
TD.PF.M	FixedReset Disc	36,500	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 22.53 Evaluated at bid price : 23.01 Bid-YTW : 7.67 %
TD.PF.K	FixedReset Disc	28,500	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 7.59 %
There were 4 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
CU.PR.C	FixedReset Disc	Quote: 17.89 – 22.72 Spot Rate : 4.8300 Average : 2.6873 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 17.89 Evaluated at bid price : 17.89 Bid-YTW : 8.15 %
TRP.PR.E	FixedReset Disc	Quote: 14.50 – 17.45 Spot Rate : 2.9500 Average : 1.7124 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 10.03 %
BMO.PR.Y	FixedReset Disc	Quote: 16.88 – 19.05 Spot Rate : 2.1700 Average : 1.3007 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 8.65 %
MFC.PR.M	FixedReset Ins Non	Quote: 15.75 – 17.50 Spot Rate : 1.7500 Average : 1.0374 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 9.14 %
BN.PF.G	FixedReset Disc	Quote: 14.26 – 16.00 Spot Rate : 1.7400 Average : 1.0275 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 14.26 Evaluated at bid price : 14.26 Bid-YTW : 10.54 %
FTS.PR.J	Perpetual-Discount	Quote: 19.23 – 20.60 Spot Rate : 1.3700 Average : 0.8917 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-06-01 Maturity Price : 19.23 Evaluated at bid price : 19.23 Bid-YTW : 6.22 %

Issue Comments

CPX.PR.E To Reset To 6.631%

Capital Power Corporation has announced:

that it has notified registered shareholders of its Cumulative Rate Reset Preference Shares, Series 5 (Series 5 Shares) (TSX: CPX.PR.E) of the Conversion Privilege and Dividend Rate Notice.

Subject to certain conditions, beginning on May 31, 2023 and ending at 5:00 p.m. (Toronto time) on June 15, 2023, each registered holder of Series 5 Shares will have the right to elect to convert any or all of their Series 5 Shares into an equal number of Cumulative Floating Rate Preference Shares, Series 6 (Series 6 Shares) by delivering an Election Notice to the Corporation.

If Capital Power does not receive an Election Notice from a holder of Series 5 Shares during the time fixed therefor, then the Series 5 Shares shall be deemed not to have been converted (except in the case of an Automatic Conversion, see below). Holders of the Series 5 Shares and the Series 6 Shares will have the opportunity to convert their shares again on June 30, 2028, and every five years thereafter as long as the shares remain outstanding.

Effective June 30, 2023, on May 31, 2023, the Annual Fixed Dividend Rate for the Series 5 Shares was set for the next five-year period at 6.63100%. Effective June 30, 2023, on May 31, 2023, the Floating Quarterly Dividend Rate for the Series 6 Shares was set for the first Quarterly Floating Rate Period (being the period from and including June 30, 2023, to but excluding September 30, 2023) at 1.94410%. The Floating Quarterly Dividend Rate will be reset every quarter.

The Series 5 Shares are issued in “book entry only” form and, as such, the sole registered holder of the Series 5 Shares is CDS Clearing and Depository Services Inc. (CDS). All rights of beneficial holders of Series 5 Shares must be exercised through CDS or the CDS participant through which the Series 5 Shares are held. The deadline for the registered shareholder to provide notice of exercise of the right to convert Series 5 Shares into Series 6 Shares is 3:00 p.m. (MT) / 5:00 p.m. (ET) on June 15, 2023. Any Election Notices received after this deadline will not be valid. As such, beneficial holders of Series 5 Shares who wish to exercise their rights to convert their shares should contact their broker or other intermediary for more information and it is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps.

After June 15, 2023, (i) if Capital Power determines that there would remain outstanding on June 30, 2023, less than 1,000,000 Series 5 Shares, all remaining Series 5 Shares will be automatically converted into Series 6 Shares on a one-for-one basis effective June 30, 2023 (an Automatic Conversion); or (ii) if Capital Power determines that there would remain outstanding after June 30, 2023, less than 1,000,000 Series 6 Shares, no Series 5 Shares will be permitted to be converted into Series 6 Shares effective June 30, 2023. There are currently 8,000,000 Series 5 Shares outstanding.

The Toronto Stock Exchange (TSX) has conditionally approved the listing of the Series 6 Shares effective upon conversion. Listing of the Series 6 Shares is subject to the Capital Power fulfilling all the listing requirements of the TSX and upon approval, the Series 6 Shares will be listed on the TSX under the trading symbol CPX.PR.F.

For more information on the terms of, rates and risks associated with an investment in, the Series 5 Shares and the Series 6 Shares, please see Capital Power’s prospectus supplement dated March 7, 2013 which is available on sedar.com or on Capital Power’s website at capitalpower.com.

CPX.PR.E was issued as a FixedReset, 4.50%+315, that commenced trading 2013-3-14 after being announced 2013-3-5. The issue reset to 5.238% in 2018 and there was no conversion. It is tracked by HIMIPref™ but relegated to the Scraps subindex on credit concerns.

Issue Comments

IFC.PR.G To Reset To 6.012%

Intact Financial Corporation has announced:

that it does not intend to exercise its right to redeem all or any part of the currently outstanding Non-cumulative Rate Reset Class A Shares Series 7 of IFC (the “Series 7 Preferred Shares”) (TSX: IFC.PR.G) on June 30, 2023. As a result, subject to certain conditions set out in the prospectus supplement dated May 22, 2018 to the short form base shelf prospectus dated November 15, 2017 (the “Prospectus”), relating to the issuance of the Series 7 Preferred Shares, the holders of the Series 7 Preferred Shares will have the right, at their option, to elect to convert all or any of their Series 7 Preferred Shares into Non-cumulative Floating Rate Class H Shares Series 8 of IFC (the “Series 8 Preferred Shares”) on a one-for-one basis on June 30, 2023. Holders who do not exercise their right to convert their Series 7 Preferred Shares into Series 8 Preferred Shares on such date will retain their Series 7 Preferred Shares, unless automatically converted in accordance with the conditions below.

With respect to any Series 7 Preferred Shares that may remain outstanding after June 30, 2023, commencing as of such date, holders thereof will be entitled to receive fixed non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of IFC. The annual dividend rate for the Series 7 Preferred Shares for the five-year period from and including June 30,2023 to but excluding June 30, 2028, will be 6.012%, as determined in accordance with the terms of the Series 7 Preferred Shares.

With respect to any Series 8 Preferred Shares that may be issued on June 30, 2023, holders thereof will be entitled to receive floating rate non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of IFC. The dividend rate for the Series 8 Preferred Shares for the 3-month floating rate period from and including June 30, 2023, to but excluding September 30, 2023, will be 1.79287% (7.113% on an annualized basis), as determined in accordance with the terms of the Series 8 Preferred Shares (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset every quarter.

The foregoing conversion right for the Series 7 Preferred Shares is subject to the conditions that: (i) if IFC determines that there would be less than 1,000,000 Series 7 Preferred Shares outstanding on June 30, 2023, then all remaining Series 7 Preferred Shares will automatically be converted into an equal number of Series 8 Preferred Shares on June 30, 2023, and (ii) alternatively, if IFC determines that there would be less than 1,000,000 Series 8 Preferred Shares outstanding on June 30, 2023, then no Series 7 Preferred Shares will be converted into Series 8 Preferred Shares. In either case, IFC will give written notice to that effect to any registered holders of Series 7 Preferred Shares on or before June 22, 2023.

The Series 7 Preferred Shares are issued in “book entry only” form and must be purchased or transferred through a participant in the CDS depository service (“CDS Participant”). All rights of holders of Series 7 Preferred Shares must be exercised through CDS or the CDS Participant through which the Series 7 Preferred Shares are held. The deadline for the registered shareholder of any Series 7 Preferred Shares to provide notice of exercise of the right to convert is 5:00 p.m. (ET) on June 15, 2023. Any notices received after this deadline will not be valid. As such, beneficial holders of Series 7 Preferred Shares who wish to exercise their right to convert their shares during the conversion period, which will run from Wednesday, May 31, 2023 until 5:00 p.m. (ET) on Thursday, June 15, 2023, should contact their broker or other intermediary for more information and it is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps.

Holders of the Series 7 Preferred Shares and the Series 8 Preferred Shares (if issued on June 30, 2023) will have the opportunity to convert their shares again on June 30, 2028, and every five years thereafter as long as the shares remain outstanding. Subject to certain conditions described in the Prospectus, IFC may redeem the Series 7 Preferred Shares, in whole or in part, on June 30, 2028, and on June 30 every five years thereafter and may redeem the Series 8 Preferred Shares (if issued), in whole or in part, on any date after June 30, 2023.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 8 Preferred Shares effective on conversion. Listing of the Series 8 Preferred Shares is subject to IFC fulfilling all the listing requirements of the TSX.

For more information on the terms of, and risks associated with an investment in, the Series 7 Preferred Shares and the Series 8 Preferred Shares, please see IFC’s prospectus supplement dated May 22, 2018, which is available on www.sedar.com.

IFC.PR.G was issued as a FixedReset, 4.90%+255, that commenced trading 2018-5-29 after being announced 2018-5-17. It is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) subindex.

Thanks to Assiduous Reader CanSiamCyp for bringing this to my attention.

Market Action

May 31, 2023

TXPR closed at 524.69, up 0.53% on the day. Volume today was 1.02-million, fifth-highest of the past 21 trading days. This didn’t help the month much: the TXPR price index (reported here) is down 4.09% from April 28. The total return index (used for benchmarking) will be somewhat better, but not enough to make May anything other than a bad month.

CPD closed at 10.42, up 0.29% on the day. Volume was 50,340, fifth-highest of the past 21 trading days.

ZPR closed at 8.57, up 0.47% on the day. Volume was 594,180, second-highest of the past 21 trading days and miles ahead of #3.

Five-year Canada yields down to 3.47% today.

So the big news today was economic growth:

The Canadian economy grew at an annualized rate of 3.1 per cent in the first quarter of 2023, Statistics Canada reported Wednesday.

The latest data shows growth beat out the federal agency’s own forecast of 2.5 per cent for the quarter. A preliminary estimate suggests the economy grew by 0.2 per cent in April, after remaining flat in March.
…
The federal agency says growth in exports and household spending helped spur growth in the first quarter.

Meanwhile, slower inventory accumulations as well as declines in household investment and business investment in machinery and equipment weighed on growth.

The Canadian economy has managed to continue outperforming expectations, despite the Bank of Canada hoping high interest rates would cause a more profound pullback by consumers and businesses.

The household spending figures show spending up on both goods and services in the first three months of the year, after minimal growth in the previous two quarters.

However, the report notes disposable income fell for the first time since the fourth quarter of 2021. The federal agency says disposable income declined by one per cent, largely due to the expiration of government measures aimed at helping people cope with inflation.

This had an immediate effect on rate forecasts:
Pre-announcement

Post-announcement

Oddly, the GOC-5 was down today to 3.47%, despite yield increases in T-bills out to six months.

And the US job market seems to be holding up:

After three consecutive months of declines, job openings jumped in April, reaching 10.1 million, the Labor Department reported on Wednesday.

The surge signals that job opportunities are withstanding the economic pressures that have led many to believe that the American economy may soon enter a recession.

At the same time, the report — known as JOLTS, or the Job Openings and Labor Turnover Survey — showed that the labor market was far less feverish than it was a year earlier.

The quits rate — viewed as an indicator of how confident workers are in leaving a job and finding employment elsewhere — was 3 percent, seasonally adjusted, in April 2022. Since then, it has retreated to 2.4 percent, just above its prepandemic peak. And the hiring rate was unchanged from March, which was the lowest since December 2020.

Layoffs, however, decreased again, showing that employers are hesitant to let go of employees brought on board during this recovery.

While at the same time:

The House of Representatives is expected to vote in the evening on a bill to lift the $31.4 trillion debt limit, a critical step to avoid a destabilizing default that could come early next week without congressional approval.

House passage would send the bill to the Senate, where debate could stretch to the weekend, just before the June 5 date when the government could start to run out of money.
…
Fed Governor and vice chair nominee Philip Jefferson said skipping a rate hike in two weeks would provide policymakers time to see more data before making a decision. Philadelphia Fed President Patrick Harker also said on Wednesday that for now he is inclined to support a “skip” in rate hikes.

Market timing? You can have it!

Great-West has swallowed the medicine on Putnam:

Canadian insurer Great-West Lifeco Inc. GWO-T -0.62%decrease
is offloading U.S. wealth manager Putnam Investments to investment giant Franklin Templeton in a deal valued at US$1.8-billion, a fraction of what the insurer initially paid for the operation.

The two asset managers announced Wednesday that Franklin Templeton will initially pay Great-West Life US$950-million to US$1-billion in a combination of cash and stock. Franklin Templeton will issue 33.33 million shares to Great-West at closing and $100-million in cash six months after closing.

Great-West’s shares will represent a 6.2-per-cent ownership stake in parent Franklin Resources Inc., and it has agreed to hold at least 4.9 per cent of Franklin Resources for at least five years.
…
Great-West Lifeco purchased Putnam for US$3.9-billion in 2007 to expand its U.S presence. The deal also included a US$900-million deferred tax benefit. In 2007, Putnam managed about US$192-billion in assets but struggled with performance and investor redemption in the years following the financial crisis. Now, the company manages about US$170-billion in assets. That includes about $33-billion of assets in Putnam subsidiary PanAgora, a quantitative asset manager that Great-West Lifeco will keep its controlling interest in.

It’s springtime, and in spring a young man’s fancy lightly turns to thoughts of fraud:

A panel of the Ontario Securities Commission has ordered the principals of Paramount Equity Financial Corp., which sold pooled mortgage products until it was shut down in 2017, to pay $47.2-million, after they were found to have defrauded investors.

But one of the defendants, the company’s chief executive, has gone missing, and another defendant is collecting employment insurance, raising questions as to how much of the judgment will be paid.

Paramount and several affiliate companies, which were placed under the control of a receiver at the request of the OSC in 2017, promoted themselves as a vehicle for investing in second mortgages on residential homes. They raised about $78-million from 500 investors for their two funds.

About $50-million was instead directed to higher-risk mortgages for undeveloped land, or the redevelopment of existing buildings. The OSC panel, called the Capital Markets Tribunal, also found in April, 2022, that the principals of Paramount – CEO Marc Ruttenberg, senior vice-president Brad Burdon and director of sales Matthew Laverty – had undisclosed, indirect ownership interests in these riskier development projects.
…
The OSC said it was unable to locate Mr. Ruttenberg when it started its enforcement proceeding, and that the most up-to-date address it had for him is a post-office box in a Toronto UPS store. In its order, the panel said Mr. Ruttenberg did not appear, provide evidence, make submissions or participate in any other way in the proceeding.

… and …

An Ontario builder of so-called “tiny homes” has been charged with fraud and police say 11 victims have now come forward, with more than $800,000 of deposit money unaccounted for.
…
Halton Police Regional Services said on May 3 that Philip Bradley, 58, was arrested and charged with nine counts of fraud over $5,000. He has since been released on bail and is expected back in court on June 19. Since his arrest, more victims have come forward according to Det. Constable Kevin Harvey of the Halton Regional fraud unit.

I mentioned CI Financial on May 11 with an update on May 15. Now, DBRS has weighed in:

DBRS Limited (DBRS Morningstar) changed the trend to Negative from Stable and confirmed the ratings of CI Financial Corp. (CI or the Company) and its principal subsidiary, CI Investments Inc. (CII), including CI’s Senior Unsecured Debentures rating and CII’s Issuer Rating, at BBB.

KEY RATING CONSIDERATIONS
The change in the trend to Negative reflects the deterioration in CI’s credit fundamentals, including weaker earnings, still very high leverage, even with paying down some debt recently, and a lower fixed charge coverage ratio. DBRS Morningstar had previously anticipated that CI would have completed the initial public offering (IPO) of its U.S. wealth management business (CI US) to deleverage, but this was postponed due to market conditions with CI instead agreeing to a pre-IPO investment with a group of global institutional investors (Investors).

While the proceeds of the recently closed $1.34 billion pre- IPO investment will help lower debt levels by approximately $1 billion in Q2 2023, and decrease the extraordinarily high debt-to-EBITDA ratio of 7.3 times (x) (as of Q1 2023, per DBRS Morningstar calculations), CI’s leverage will continue to be elevated and its fixed charge ratio low because the Company redeemed mostly its lower-cost debt. In order to retain a majority interest in CI US, the Company will have to grow at a pace that is comparable to the past two years, which would be much more challenging under the current market conditions, and may lead to additional borrowing. Furthermore, the terms of the investment deal stipulate a 14.5% compounding annual return for the Investors that will be materialized at the time of the IPO, within the next six years. The uncertainty with respect to CI’s ultimate ownership in CI US may therefore remain high for some time. As such, DBRS Morningstar does not expect a significant and sustained reduction in debt over the medium term as would have been expected with an IPO.

DBRS is also hosting a webinar that some may find of interest:

Join DBRS Morningstar on Wednesday, June 7, at 10:30 a.m. EDT for a Frontline Perspectives webinar, “The Future of LRCN Issuances in Canada.” Since mid-2020, Canadian insurers and banks have been issuing deeply subordinated capital instruments targeted to institutional investors, which are known as Limited Recourse Capital Notes and Non-Viability Contingent Capital Additional Tier 1 (AT1) Limited Recourse Capital Notes (together, LRCNs). Recent global market developments, including the banking failures in the U.S. and the wipe out of Credit Suisse’s AT1 notes, have adversely affected the market for new issuances.

In this Frontline Perspectives webinar, Nadja Dreff, Senior Vice President, Head of Canadian Insurance, will be joined by Kris Somers, Managing Director, BMO Capital Markets. They will review and discuss the recent LRCN market developments and provide an outlook for LRCN issuances in Canada.

WEBINAR DETAILS:
Date: June 7, 2023
Time: 10:30 a.m. EDT

The New York Fed has updated its Corporate Bond Market Distress Index:

Corporate bond market functioning remained close to historical norms over the month of May, with the end-of-month market-level CMDI above its historical median.

Market functioning in both the high-yield and investment-grade sectors remained roughly flat over the course of the month.

Snippets from the Credit Crunch are still coming out – most recently price-fixing in the UK bond market:

Traders at five major banks colluded in chatrooms to swap sensitive information on UK bonds in the wake of the 2008 financial crisis, Britain’s antitrust agency said in a move that could pave the way for fines for some of the lenders involved.

Citigroup Inc., Deutsche Bank AG, HSBC Holdings Plc, Morgan Stanley and Royal Bank of Canada each unlawfully shared details on pricing and trading strategies in chatrooms between 2009 and 2013, the Competition and Markets Authority said on Wednesday in its provisional findings.
…
Antitrust watchdogs across Europe have taken a closer look at bond market collusion in a series of probes targeting some of the biggest banks in the region. The European Commission issued a formal complaint to Deutsche Bank last year for its alleged role in a cartel linked to euro-denominated bonds.

That was the third EU investigation involving cartels affecting the market for bonds trading and comes after the EU spent more than a decade probing how bank traders swapped information in chatrooms.

The UK watchdog has been investigating the allegations since it first opened the probe in November 2018, but has publicly revealed little details about what area of financial services or banks were involved. A separate CMA cartel probe saw 10 construction firms fined £60 million ($74.5 million).

PerpetualDiscounts now yield 6.59%, equivalent to 8.57% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.23% on 2023-5-26 and since then the closing price has changed from 14.82 to 15.05, an increase of 155bp in price, with a Duration of 12.21 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 13bp since 5/26 to 5.10%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened dramatically to about 345bp from the 320bp reported May 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	0.0000 %	2,124.9
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0000 %	4,075.5
Floater	10.61 %	10.88 %	23,344	8.77	2	0.0000 %	2,348.7
OpRet	0.00 %	0.00 %	0	0.00	0	-0.1289 %	3,335.5
SplitShare	5.04 %	7.25 %	40,353	2.54	7	-0.1289 %	3,983.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1289 %	3,107.9
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	0.1793 %	2,652.3
Perpetual-Discount	6.43 %	6.59 %	41,723	13.04	34	0.1793 %	2,892.2
FixedReset Disc	6.05 %	8.64 %	84,564	11.07	63	0.4097 %	2,060.0
Insurance Straight	6.43 %	6.45 %	60,143	13.36	19	-0.2203 %	2,799.1
FloatingReset	11.28 %	11.71 %	47,255	8.43	2	-0.3515 %	2,301.0
FixedReset Prem	6.98 %	7.00 %	313,321	3.79	1	0.0398 %	2,314.6
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	0.4097 %	2,105.8
FixedReset Ins Non	6.15 %	7.70 %	85,754	11.63	11	0.2179 %	2,269.0

Performance Highlights
Issue	Index	Change	Notes
SLF.PR.C	Insurance Straight	-7.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 6.54 %
PVS.PR.K	SplitShare	-2.09 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 21.55 Bid-YTW : 7.36 %
RY.PR.N	Perpetual-Discount	-1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 5.95 %
BN.PF.D	Perpetual-Discount	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 7.16 %
PWF.PR.O	Perpetual-Discount	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.68 %
BN.PR.T	FixedReset Disc	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 12.85 Evaluated at bid price : 12.85 Bid-YTW : 10.48 %
FTS.PR.F	Perpetual-Discount	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 6.11 %
GWO.PR.P	Insurance Straight	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 6.73 %
MFC.PR.M	FixedReset Ins Non	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 15.77 Evaluated at bid price : 15.77 Bid-YTW : 9.12 %
TRP.PR.D	FixedReset Disc	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 10.20 %
CU.PR.J	Perpetual-Discount	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 6.33 %
BN.PF.A	FixedReset Disc	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 9.51 %
TD.PF.C	FixedReset Disc	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 16.33 Evaluated at bid price : 16.33 Bid-YTW : 8.67 %
PVS.PR.J	SplitShare	1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 7.30 %
NA.PR.G	FixedReset Disc	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 7.48 %
POW.PR.C	Perpetual-Discount	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 22.63 Evaluated at bid price : 22.88 Bid-YTW : 6.44 %
BIP.PR.E	FixedReset Disc	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 7.98 %
MFC.PR.N	FixedReset Ins Non	1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 9.16 %
CM.PR.O	FixedReset Disc	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 16.48 Evaluated at bid price : 16.48 Bid-YTW : 8.79 %
GWO.PR.S	Insurance Straight	1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 6.51 %
PWF.PR.P	FixedReset Disc	1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 11.80 Evaluated at bid price : 11.80 Bid-YTW : 9.58 %
BN.PF.G	FixedReset Disc	1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 10.54 %
GWO.PR.M	Insurance Straight	1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 22.07 Evaluated at bid price : 22.30 Bid-YTW : 6.50 %
BN.PF.F	FixedReset Disc	2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 10.25 %
IFC.PR.C	FixedReset Disc	2.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 8.60 %
BIP.PR.F	FixedReset Disc	3.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 8.71 %
PWF.PR.G	Perpetual-Discount	5.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 22.49 Evaluated at bid price : 22.75 Bid-YTW : 6.57 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.Z	FixedReset Disc	53,734	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 8.66 %
MFC.PR.N	FixedReset Ins Non	52,685	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 9.16 %
BMO.PR.E	FixedReset Disc	45,925	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 7.79 %
TD.PF.B	FixedReset Disc	36,944	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 8.65 %
FTS.PR.M	FixedReset Disc	28,462	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 16.06 Evaluated at bid price : 16.06 Bid-YTW : 9.19 %
GWO.PR.T	Insurance Straight	22,324	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.45 %
There were 11 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PF.C	FixedReset Disc	Quote: 16.33 – 17.77 Spot Rate : 1.4400 Average : 0.8325 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 16.33 Evaluated at bid price : 16.33 Bid-YTW : 8.67 %
SLF.PR.C	Insurance Straight	Quote: 17.05 – 18.40 Spot Rate : 1.3500 Average : 0.9277 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 6.54 %
BIK.PR.A	FixedReset Disc	Quote: 23.00 – 23.75 Spot Rate : 0.7500 Average : 0.4764 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 22.24 Evaluated at bid price : 23.00 Bid-YTW : 8.10 %
MFC.PR.L	FixedReset Ins Non	Quote: 15.51 – 16.35 Spot Rate : 0.8400 Average : 0.5932 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 15.51 Evaluated at bid price : 15.51 Bid-YTW : 9.13 %
NA.PR.W	FixedReset Disc	Quote: 16.05 – 16.79 Spot Rate : 0.7400 Average : 0.5102 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-05-31 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 8.84 %
PVS.PR.H	SplitShare	Quote: 22.95 – 23.60 Spot Rate : 0.6500 Average : 0.4561 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 22.95 Bid-YTW : 7.25 %

PrefBlog

June 6, 2023

June 5, 2023

ENS.PR.A To Reset At 7.00%

MAPF Performance: May, 2023

MAPF Portfolio Composition: May, 2023

June 2, 2023

June 1, 2023

CPX.PR.E To Reset To 6.631%

IFC.PR.G To Reset To 6.012%

May 31, 2023