Nice work.
I am not so sure about the "dip then rise" part.
My reset preferred shares are certainly anticipating these higher GoC yields
Another way to look at that data is that the "spread" is more or less always centered around  3- 4%
So at GoC rate of 4% they would have to be repriced to yield 7-8%
A $10 stock with a (current)  5.5% yield would be repriced to $7
Quite a haircut.
Then you have the issue of loss of value of the underlying (mortgaged) real estate at 4% GoC...
Meanwhile data from "the good old days" of a more normal rate environment is largely missing here.
This came up in a discussion of CAPE yesterday....we have been in a very weird investment climate for over  20 years now.