June 13, 2019

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TXPR closed at 595.73, down 0.86% on the day. Volume was 1.90-million, above average in the context of the past thirty days.

CPD closed at 12.00, unchanged on the day. Volume of 47,781 was on the low side in the context of the past thirty days.

ZPR closed at 9.61, down 0.21% on the day. Volume of 121,432 was at about the median of the past thirty days.

Five-year Canada yields were down 5bp to 1.34% today.

There was a boat-load of Market-on-Close sell orders today, which presumably accounts for the disconnect between TXPR and its related ETFs.

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 -0.8908 % 1,938.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8908 % 3,556.6
Floater 6.11 % 6.43 % 68,160 13.33 3 -0.8908 % 2,049.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1481 % 3,314.8
SplitShare 4.70 % 4.71 % 72,773 4.23 7 0.1481 % 3,958.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1481 % 3,088.6
Perpetual-Premium 5.63 % -5.97 % 78,000 0.08 7 -0.1743 % 2,935.7
Perpetual-Discount 5.54 % 5.68 % 65,129 14.37 26 -0.3802 % 3,044.1
FixedReset Disc 5.55 % 5.46 % 169,629 14.61 70 -0.5417 % 2,057.6
Deemed-Retractible 5.34 % 6.12 % 88,427 8.02 27 -0.2467 % 3,043.2
FloatingReset 4.10 % 4.87 % 52,397 2.52 4 -0.3840 % 2,329.5
FixedReset Prem 5.14 % 4.02 % 202,784 1.86 16 0.0396 % 2,570.1
FixedReset Bank Non 1.99 % 4.46 % 157,940 2.54 3 0.0701 % 2,627.7
FixedReset Ins Non 5.38 % 7.60 % 96,469 8.11 22 -1.1716 % 2,122.9
Performance Highlights
Issue Index Change Notes
EMA.PR.F FixedReset Disc -4.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 6.09 %
SLF.PR.G FixedReset Ins Non -4.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.07
Bid-YTW : 10.23 %
TRP.PR.C FixedReset Disc -3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 11.78
Evaluated at bid price : 11.78
Bid-YTW : 6.19 %
RY.PR.M FixedReset Disc -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 18.39
Evaluated at bid price : 18.39
Bid-YTW : 5.47 %
HSE.PR.G FixedReset Disc -2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.56 %
SLF.PR.I FixedReset Ins Non -2.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.46
Bid-YTW : 7.68 %
IAF.PR.G FixedReset Ins Non -2.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.90
Bid-YTW : 6.83 %
MFC.PR.R FixedReset Ins Non -2.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.58
Bid-YTW : 5.87 %
CU.PR.C FixedReset Disc -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 5.64 %
PWF.PR.P FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 5.93 %
SLF.PR.H FixedReset Ins Non -2.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.35
Bid-YTW : 9.14 %
NA.PR.C FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 5.74 %
CU.PR.E Perpetual-Discount -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 21.80
Evaluated at bid price : 21.80
Bid-YTW : 5.67 %
MFC.PR.I FixedReset Ins Non -2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.96
Bid-YTW : 7.69 %
TRP.PR.B FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 11.01
Evaluated at bid price : 11.01
Bid-YTW : 6.04 %
IAF.PR.I FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 6.86 %
GWO.PR.G Deemed-Retractible -1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 6.42 %
MFC.PR.J FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.32
Bid-YTW : 7.48 %
MFC.PR.K FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.41
Bid-YTW : 7.71 %
CU.PR.D Perpetual-Discount -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 5.68 %
TRP.PR.F FloatingReset -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 13.33
Evaluated at bid price : 13.33
Bid-YTW : 6.75 %
BAM.PF.F FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 6.33 %
HSE.PR.E FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.40 %
BMO.PR.T FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 5.57 %
BIP.PR.D FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.01 %
CIU.PR.A Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 5.68 %
CM.PR.Q FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 5.65 %
MFC.PR.C Deemed-Retractible -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.23
Bid-YTW : 7.12 %
SLF.PR.J FloatingReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.52
Bid-YTW : 10.28 %
BMO.PR.W FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.55 %
BAM.PF.A FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.02 %
TD.PF.E FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 5.41 %
TRP.PR.E FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 6.04 %
BAM.PR.R FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 6.32 %
BAM.PR.X FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 6.20 %
PWF.PR.F Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 5.68 %
MFC.PR.B Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.21
Bid-YTW : 6.69 %
BMO.PR.C FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 5.30 %
MFC.PR.M FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.09
Bid-YTW : 8.34 %
BMO.PR.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.19 %
BAM.PR.T FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 6.32 %
TD.PF.D FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.33 %
IFC.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.32
Bid-YTW : 6.89 %
TRP.PR.G FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.05 %
BIP.PR.E FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 6.02 %
BIK.PR.A FixedReset Prem 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 5.35 %
BAM.PF.B FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 6.07 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset Disc 68,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.15 %
CM.PR.Y FixedReset Disc 66,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 22.96
Evaluated at bid price : 24.47
Bid-YTW : 5.12 %
TD.PF.M FixedReset Disc 57,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 22.98
Evaluated at bid price : 24.51
Bid-YTW : 5.05 %
BAM.PR.X FixedReset Disc 56,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 6.20 %
TD.PF.L FixedReset Disc 56,405 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 22.96
Evaluated at bid price : 24.42
Bid-YTW : 4.91 %
BNS.PR.H FixedReset Prem 56,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.42 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 18.39 – 19.05
Spot Rate : 0.6600
Average : 0.4374

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 18.39
Evaluated at bid price : 18.39
Bid-YTW : 5.47 %

TRP.PR.C FixedReset Disc Quote: 11.78 – 12.34
Spot Rate : 0.5600
Average : 0.3694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-13
Maturity Price : 11.78
Evaluated at bid price : 11.78
Bid-YTW : 6.19 %

GWO.PR.G Deemed-Retractible Quote: 22.70 – 23.20
Spot Rate : 0.5000
Average : 0.3120

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 6.42 %

IAF.PR.I FixedReset Ins Non Quote: 20.50 – 20.99
Spot Rate : 0.4900
Average : 0.3085

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 6.86 %

MFC.PR.R FixedReset Ins Non Quote: 23.58 – 24.07
Spot Rate : 0.4900
Average : 0.3116

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.58
Bid-YTW : 5.87 %

SLF.PR.I FixedReset Ins Non Quote: 18.46 – 19.00
Spot Rate : 0.5400
Average : 0.3730

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.46
Bid-YTW : 7.68 %

8 Responses to “June 13, 2019”

  1. skeptical says:

    The question is why?
    With S&P in both US and Canada near all time highs, bond yields at multi-decade lows, people hate about 5.75 to 6% yields from Brookfield, Canadian Utilities and GWO.
    Going against the crowd? This is the time.

  2. jiHymas says:

    The question is why?

    I agree! People are selling just because the market’s gone down … it makes no sense at all.

  3. dodoi says:

    I think the people are selling because they are afraid that FED and BOC will cut interest rates and the preferred shares will go even lower than they are today. If this will happen I will sell my BMO.PR.Q and buy something more juicy.

  4. yieldpig says:

    It seems that in a number of cases, fixed-resets with rate floors are trading at unsubstantiated premiums to fixed-resets with no floors, issued by the same issuer, with reset dates relatively close to one another, when you look at the forward 5-year rates implied by the zero coupon canada curve ? Any thoughts on this ?

  5. baffled says:

    dodoi , i get why the rate resets would go down if the fed or the boc cut rates . i dont get why the perpetual prefs would go down , the rate is set , the only risk is that they are called ( so never pay more than the call price ) . i see them as bonds as rates drop the price should go up . i dont know what i am missing

  6. skeptical says:

    baffled
    You are missing nothing. I think part of it is the way ETFs are strucutred. There are hard caps on the issues that an ETF is allowed to carry. And most ETF holds at least 10 to 15% perpetuals, if not more.
    So when they have to sell, they have to sell, including perpetuals.

    James would know it better, but if they have to sell, they will sell at market price with hard floor numbers. The kinds of prices that were available at the close of 13th June, they simply didn’t exist on 14th.

    So, IMHO, plain market inefficiency, which is so wonderful for the little guys.
    Or in a slightly metaphorical tone, in our jungle the lions leave too much meat attached to the bones for the scavengers! Can’t complain at all.

  7. baffled says:

    skeptical , thanks for that , i keep buying

  8. jiHymas says:

    I think the people are selling because they are afraid that FED and BOC will cut interest rates and the preferred shares will go even lower than they are today.

    Perhaps, but I still don’t understand that.

    fixed-resets with rate floors are trading at unsubstantiated premiums to fixed-resets with no floors,

    Yes.

    when you look at the forward 5-year rates implied by the zero coupon canada curve ?

    Don’t look at implied forward rates. There’s no evidence to show that the predictive ability is any better than the square root of squat.

    i dont get why the perpetual prefs would go down

    I agree with much of skeptical‘s response to this, but suggest that there should be marginal traders who should – if they look solely to the economic environment and predictions thereof – adjust the prices of Straights so that they trade to yield less than FixedResets.

    One part of the answer, I think, is that Straights are simply not being priced off of economic predictions, they’re being priced off of FixedResets; with a yield premium being demanded because ‘everybody knows Straights are risky’.

    I know that doesn’t make sense. But in the preferred share world, we learn to believe six impossible things before breakfast.

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