Prices of FixedResets slumped in April, 2010, but the market didn’t really have a rational valuation model at that time. Changes in valuation differences between issues were difficult to understand.
In this 2010 essay I attempted to determine just what the market was considering to be important.
Look for the research link!
TXPR closed at 647.35, down 0.87% on the day. Volume today was 2.29-million, well above the median of the past 21 trading days.
CPD closed at 12.80, down 1.46% on the day. Volume was 62,090, slightly above the median of the past 21 trading days.
ZPR closed at 10.73 down 1.02% on the day. Volume of 297,580 was second-highest of the past 21 trading days.
Five-year Canada yields were down to 3.19% today.
The Bank of Canada released its Financial System Review – 2022:
Fragile liquidity in fixed-income markets is an ongoing structural vulnerability. A sudden spike in demand for liquidity from asset managers could exceed the willingness of banks to supply such liquidity, causing large price movements and a potential freeze in some markets. The recent tightening in financial conditions and increased market volatility have reduced liquidity.
…
This structural vulnerability has developed in part because the asset management sector—which includes investment funds, pension funds and insurance companies—has grown from $2.3 trillion in assets under management in 2008 to $7.1 trillion in 2021. Over this period, some asset managers have shifted their portfolios to riskier, less-liquid assets. For instance, mutual funds have increased their allocations to corporate bonds from more-liquid government bonds, including those with a lower quality of credit….Market functioning could be severely impaired if these dealers are unwilling to buy these assets if, for example, the riskiness of these assets increases or dealers approach internal risk limits. This happened in March 2020, causing some fixed-income markets to freeze and making it harder for firms to generate cash. (… For a more detailed assessment, see J.-S. Fontaine, C. Garriott, J. Johal, J. Lee, and A. Uthemann, “COVID‑19 Crisis: Lessons Learned for Future Policy Research,” Bank of Canada Staff Discussion Paper No. 2021-2 (February 2021).)
BoC Goveernor Tiff Macklem is talking tough:
Bank of Canada governor Tiff Macklem said the central bank may need to raise its benchmark interest rate to 3 per cent or above to bring inflation under control, and that the bank’s governing council is open to larger rate hikes if needed.
This echoes remarks made by deputy governor Paul Beaudry last week. It opens the door to a 75 basis point interest rate hike at the bank’s next meeting in July.
“We may need to take more interest rate steps to get inflation back to target. Or we may need to move more quickly, we may need to take a larger step,” Mr. Macklem said in a Thursday news conference following the release of the central bank’s annual Financial System Review.
It’s enough to drive a man to drink, and I don’t mean milk:
The cost of milk is rising at its fastest clip in years, propelled by a big annual hike in the benchmark regulated price in Canada’s supply management system.
And now, dairy farmers are asking for an unusual mid-year increase that, if approved, is certain to push retail prices even higher. That may seem like a slam-dunk condemnation of Canada’s tightly regulated dairy market, with its production quotas, government-dictated prices and even a butter-storage surcharge.
…
It’s worth noting, however, that U.S. consumers enjoyed relatively low milk prices for more than a half-decade. Regulated Canadian prices were generally trending upward during that time; Canadian consumers did not get the price breaks their U.S. counterparts did.So, supply management has cost Canadian milk consumers – but those costs arrived long before the current inflationary surge.
| 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 | -0.1903 % | 2,686.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1903 % | 5,151.7 |
| Floater | 4.63 % | 4.69 % | 46,002 | 15.96 | 3 | -0.1903 % | 2,969.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4900 % | 3,522.2 |
| SplitShare | 4.83 % | 5.10 % | 35,774 | 3.20 | 8 | -0.4900 % | 4,206.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4900 % | 3,281.8 |
| Perpetual-Premium | 5.83 % | 5.94 % | 69,648 | 13.93 | 2 | -0.7708 % | 2,967.7 |
| Perpetual-Discount | 5.64 % | 5.75 % | 62,125 | 14.22 | 34 | -0.4717 % | 3,290.0 |
| FixedReset Disc | 4.48 % | 6.11 % | 128,333 | 14.00 | 57 | -1.5841 % | 2,605.5 |
| Insurance Straight | 5.66 % | 5.67 % | 89,399 | 14.36 | 19 | -1.6874 % | 3,178.9 |
| FloatingReset | 4.92 % | 5.14 % | 48,872 | 15.30 | 2 | -0.1192 % | 2,719.9 |
| FixedReset Prem | 5.04 % | 4.71 % | 128,165 | 2.01 | 9 | -0.4046 % | 2,618.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.5841 % | 2,663.3 |
| FixedReset Ins Non | 4.36 % | 6.02 % | 74,013 | 14.15 | 15 | -0.8448 % | 2,755.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.D | FixedReset Disc | -9.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 7.25 % |
| SLF.PR.H | FixedReset Ins Non | -9.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 6.47 % |
| GWO.PR.Y | Insurance Straight | -7.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.94 % |
| TD.PF.C | FixedReset Disc | -5.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.27 Evaluated at bid price : 21.27 Bid-YTW : 6.06 % |
| CM.PR.O | FixedReset Disc | -5.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.24 % |
| GWO.PR.P | Insurance Straight | -5.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 22.55 Evaluated at bid price : 22.80 Bid-YTW : 5.93 % |
| RY.PR.M | FixedReset Disc | -4.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.18 % |
| MFC.PR.J | FixedReset Ins Non | -4.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 22.56 Evaluated at bid price : 23.15 Bid-YTW : 6.13 % |
| BAM.PF.F | FixedReset Disc | -4.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 6.76 % |
| NA.PR.W | FixedReset Disc | -3.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.41 Evaluated at bid price : 21.41 Bid-YTW : 6.03 % |
| BAM.PF.A | FixedReset Disc | -3.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 22.95 Evaluated at bid price : 23.42 Bid-YTW : 6.43 % |
| BAM.PF.B | FixedReset Disc | -3.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.32 Evaluated at bid price : 21.61 Bid-YTW : 6.55 % |
| BAM.PF.E | FixedReset Disc | -3.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 19.91 Evaluated at bid price : 19.91 Bid-YTW : 6.70 % |
| MFC.PR.C | Insurance Straight | -3.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.51 % |
| TD.PF.B | FixedReset Disc | -3.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.37 Evaluated at bid price : 21.37 Bid-YTW : 6.07 % |
| BAM.PF.G | FixedReset Disc | -3.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 20.36 Evaluated at bid price : 20.36 Bid-YTW : 6.75 % |
| CM.PR.S | FixedReset Disc | -3.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 22.82 Evaluated at bid price : 23.50 Bid-YTW : 5.90 % |
| PWF.PR.F | Perpetual-Discount | -2.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 22.13 Evaluated at bid price : 22.41 Bid-YTW : 5.93 % |
| BAM.PR.T | FixedReset Disc | -2.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 6.65 % |
| TRP.PR.A | FixedReset Disc | -2.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 6.98 % |
| CCS.PR.C | Insurance Straight | -2.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.56 % |
| GWO.PR.H | Insurance Straight | -2.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 20.74 Evaluated at bid price : 20.74 Bid-YTW : 5.86 % |
| GWO.PR.R | Insurance Straight | -2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 20.86 Evaluated at bid price : 20.86 Bid-YTW : 5.77 % |
| FTS.PR.G | FixedReset Disc | -2.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 20.77 Evaluated at bid price : 20.77 Bid-YTW : 6.28 % |
| GWO.PR.I | Insurance Straight | -2.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 5.74 % |
| TRP.PR.G | FixedReset Disc | -2.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.93 Evaluated at bid price : 22.30 Bid-YTW : 6.14 % |
| CU.PR.F | Perpetual-Discount | -2.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 5.67 % |
| NA.PR.E | FixedReset Disc | -2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 23.71 Evaluated at bid price : 24.25 Bid-YTW : 5.84 % |
| TRP.PR.B | FixedReset Disc | -2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 13.70 Evaluated at bid price : 13.70 Bid-YTW : 7.04 % |
| BAM.PR.X | FixedReset Disc | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 6.75 % |
| CM.PR.Q | FixedReset Disc | -2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.74 Evaluated at bid price : 22.00 Bid-YTW : 6.11 % |
| MFC.PR.B | Insurance Straight | -2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.43 % |
| CM.PR.P | FixedReset Disc | -1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.31 Evaluated at bid price : 21.61 Bid-YTW : 5.95 % |
| GWO.PR.N | FixedReset Ins Non | -1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 15.20 Evaluated at bid price : 15.20 Bid-YTW : 6.24 % |
| SLF.PR.C | Insurance Straight | -1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 5.50 % |
| SLF.PR.E | Insurance Straight | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.50 % |
| PWF.PR.S | Perpetual-Discount | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.86 % |
| TRP.PR.C | FixedReset Disc | -1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 14.45 Evaluated at bid price : 14.45 Bid-YTW : 7.00 % |
| RY.PR.H | FixedReset Disc | -1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.60 Evaluated at bid price : 22.01 Bid-YTW : 5.87 % |
| CU.PR.C | FixedReset Disc | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.81 Evaluated at bid price : 22.25 Bid-YTW : 6.21 % |
| TD.PF.J | FixedReset Disc | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 24.00 Evaluated at bid price : 24.50 Bid-YTW : 5.92 % |
| NA.PR.G | FixedReset Disc | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 23.66 Evaluated at bid price : 24.76 Bid-YTW : 5.86 % |
| TD.PF.E | FixedReset Disc | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.90 Evaluated at bid price : 22.25 Bid-YTW : 6.08 % |
| PWF.PR.P | FixedReset Disc | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 6.65 % |
| PWF.PR.G | Perpetual-Premium | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 24.92 Evaluated at bid price : 25.15 Bid-YTW : 5.94 % |
| CM.PR.Y | FixedReset Prem | -1.54 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : 4.38 % |
| CU.PR.I | FixedReset Prem | -1.46 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 4.55 % |
| PWF.PR.Z | Perpetual-Discount | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 22.20 Evaluated at bid price : 22.55 Bid-YTW : 5.77 % |
| TD.PF.K | FixedReset Disc | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 23.57 Evaluated at bid price : 24.00 Bid-YTW : 5.89 % |
| BNS.PR.I | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 24.06 Evaluated at bid price : 24.40 Bid-YTW : 5.66 % |
| PVS.PR.I | SplitShare | -1.40 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-10-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 5.24 % |
| GWO.PR.L | Insurance Straight | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 24.05 Evaluated at bid price : 24.30 Bid-YTW : 5.82 % |
| BAM.PR.Z | FixedReset Disc | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 23.97 Evaluated at bid price : 24.60 Bid-YTW : 6.18 % |
| FTS.PR.M | FixedReset Disc | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 6.45 % |
| POW.PR.A | Perpetual-Discount | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 24.22 Evaluated at bid price : 24.51 Bid-YTW : 5.80 % |
| GWO.PR.S | Insurance Straight | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 22.75 Evaluated at bid price : 22.99 Bid-YTW : 5.71 % |
| BMO.PR.S | FixedReset Disc | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.76 Evaluated at bid price : 22.25 Bid-YTW : 5.92 % |
| CU.PR.H | Perpetual-Discount | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 22.61 Evaluated at bid price : 22.90 Bid-YTW : 5.76 % |
| BAM.PF.D | Perpetual-Discount | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.85 Evaluated at bid price : 22.09 Bid-YTW : 5.64 % |
| POW.PR.B | Perpetual-Discount | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 23.32 Evaluated at bid price : 23.60 Bid-YTW : 5.75 % |
| FTS.PR.F | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.54 Evaluated at bid price : 21.80 Bid-YTW : 5.65 % |
| MFC.PR.Q | FixedReset Ins Non | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 23.15 Evaluated at bid price : 23.70 Bid-YTW : 5.91 % |
| ELF.PR.F | Perpetual-Discount | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 22.64 Evaluated at bid price : 22.89 Bid-YTW : 5.88 % |
| SLF.PR.D | Insurance Straight | 1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 20.56 Evaluated at bid price : 20.56 Bid-YTW : 5.43 % |
| FTS.PR.H | FixedReset Disc | 2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 15.99 Evaluated at bid price : 15.99 Bid-YTW : 6.38 % |
| BMO.PR.W | FixedReset Disc | 2.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 6.27 % |
| TD.PF.D | FixedReset Disc | 2.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 22.17 Evaluated at bid price : 22.60 Bid-YTW : 5.95 % |
| CU.PR.G | Perpetual-Discount | 2.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.53 % |
| MFC.PR.F | FixedReset Ins Non | 4.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 16.14 Evaluated at bid price : 16.14 Bid-YTW : 6.20 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.S | FixedReset Disc | 104,090 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 22.82 Evaluated at bid price : 23.50 Bid-YTW : 5.90 % |
| BMO.PR.F | FixedReset Prem | 66,530 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 4.37 % |
| TRP.PR.B | FixedReset Disc | 66,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 13.70 Evaluated at bid price : 13.70 Bid-YTW : 7.04 % |
| TD.PF.K | FixedReset Disc | 56,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 23.57 Evaluated at bid price : 24.00 Bid-YTW : 5.89 % |
| IFC.PR.C | FixedReset Disc | 34,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 22.01 Evaluated at bid price : 22.50 Bid-YTW : 5.81 % |
| FTS.PR.J | Perpetual-Discount | 28,675 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-09 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.62 % |
| There were 15 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.H | FixedReset Ins Non | Quote: 18.07 – 23.50 Spot Rate : 5.4300 Average : 3.3796 YTW SCENARIO |
| CU.PR.F | Perpetual-Discount | Quote: 20.00 – 22.75 Spot Rate : 2.7500 Average : 1.6182 YTW SCENARIO |
| MFC.PR.L | FixedReset Ins Non | Quote: 21.00 – 24.35 Spot Rate : 3.3500 Average : 2.3696 YTW SCENARIO |
| TRP.PR.D | FixedReset Disc | Quote: 18.50 – 20.93 Spot Rate : 2.4300 Average : 1.4549 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 21.33 – 24.40 Spot Rate : 3.0700 Average : 2.2995 YTW SCENARIO |
| MFC.PR.J | FixedReset Ins Non | Quote: 23.15 – 24.70 Spot Rate : 1.5500 Average : 0.9321 YTW SCENARIO |
TXPR closed at 653.02, down 0.75% on the day. Volume today was 2.67-million, second-highest of the past 21 trading days.
CPD closed at 12.99, down 0.76% on the day. Volume was 94,770, above the median of the past 21 trading days.
ZPR closed at 10.84 down 1.00% on the day. Volume of 392,410 second-highest of the past 21 trading days.
Five-year Canada yields were up to 3.23% today. These bonds are on sale this week!
PerpetualDiscounts now yield 5.70%, equivalent to 7.41% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.94%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 245bp from the 250bp reported June 1.
| 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 % | 2,691.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 5,161.5 |
| Floater | 4.62 % | 4.69 % | 44,616 | 15.97 | 3 | 0.0000 % | 2,974.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0227 % | 3,539.5 |
| SplitShare | 4.81 % | 4.93 % | 34,996 | 3.21 | 8 | 0.0227 % | 4,226.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0227 % | 3,298.0 |
| Perpetual-Premium | 5.78 % | -12.59 % | 69,682 | 0.08 | 2 | -0.0198 % | 2,990.8 |
| Perpetual-Discount | 5.61 % | 5.70 % | 61,469 | 14.28 | 34 | -0.7928 % | 3,305.6 |
| FixedReset Disc | 4.41 % | 6.02 % | 128,421 | 14.01 | 57 | -0.6823 % | 2,647.4 |
| Insurance Straight | 5.56 % | 5.61 % | 89,162 | 14.52 | 19 | -0.9607 % | 3,233.5 |
| FloatingReset | 4.91 % | 5.13 % | 49,588 | 15.32 | 2 | -0.5926 % | 2,723.1 |
| FixedReset Prem | 5.02 % | 4.66 % | 126,891 | 2.02 | 9 | -0.3727 % | 2,628.8 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6823 % | 2,706.2 |
| FixedReset Ins Non | 4.32 % | 5.89 % | 73,447 | 14.17 | 15 | -0.5600 % | 2,778.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BMO.PR.W | FixedReset Disc | -9.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.42 % |
| TRP.PR.E | FixedReset Disc | -7.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 19.06 Evaluated at bid price : 19.06 Bid-YTW : 6.90 % |
| SLF.PR.D | Insurance Straight | -6.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.52 % |
| MFC.PR.F | FixedReset Ins Non | -6.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 15.51 Evaluated at bid price : 15.51 Bid-YTW : 6.43 % |
| IFC.PR.G | FixedReset Ins Non | -5.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.60 Evaluated at bid price : 23.11 Bid-YTW : 6.16 % |
| RY.PR.J | FixedReset Disc | -4.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.14 % |
| TD.PF.D | FixedReset Disc | -4.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.74 Evaluated at bid price : 22.00 Bid-YTW : 6.12 % |
| NA.PR.S | FixedReset Disc | -3.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.79 Evaluated at bid price : 22.29 Bid-YTW : 6.02 % |
| BMO.PR.Y | FixedReset Disc | -3.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.54 Evaluated at bid price : 21.92 Bid-YTW : 6.05 % |
| BAM.PF.C | Perpetual-Discount | -3.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.76 % |
| FTS.PR.H | FixedReset Disc | -3.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 6.51 % |
| ELF.PR.F | Perpetual-Discount | -3.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.31 Evaluated at bid price : 22.58 Bid-YTW : 5.96 % |
| GWO.PR.G | Insurance Straight | -2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.44 Evaluated at bid price : 22.70 Bid-YTW : 5.73 % |
| FTS.PR.K | FixedReset Disc | -2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.49 % |
| RY.PR.Z | FixedReset Disc | -2.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.60 Evaluated at bid price : 22.01 Bid-YTW : 5.85 % |
| PWF.PF.A | Perpetual-Discount | -2.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 5.43 % |
| CU.PR.D | Perpetual-Discount | -2.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.74 % |
| PWF.PR.K | Perpetual-Discount | -2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.28 Evaluated at bid price : 21.55 Bid-YTW : 5.81 % |
| FTS.PR.M | FixedReset Disc | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 6.38 % |
| SLF.PR.C | Insurance Straight | -1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.39 % |
| TD.PF.A | FixedReset Disc | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.60 Evaluated at bid price : 22.01 Bid-YTW : 5.81 % |
| GWO.PR.Q | Insurance Straight | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.24 Evaluated at bid price : 22.51 Bid-YTW : 5.72 % |
| PWF.PR.R | Perpetual-Discount | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 23.40 Evaluated at bid price : 23.69 Bid-YTW : 5.88 % |
| CM.PR.Q | FixedReset Disc | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.08 Evaluated at bid price : 22.47 Bid-YTW : 5.98 % |
| TD.PF.E | FixedReset Disc | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.16 Evaluated at bid price : 22.62 Bid-YTW : 5.98 % |
| PWF.PR.L | Perpetual-Discount | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.86 Evaluated at bid price : 22.10 Bid-YTW : 5.84 % |
| BIP.PR.E | FixedReset Disc | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 23.40 Evaluated at bid price : 24.01 Bid-YTW : 6.28 % |
| GWO.PR.S | Insurance Straight | -1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.89 Evaluated at bid price : 23.25 Bid-YTW : 5.64 % |
| IFC.PR.I | Perpetual-Discount | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 23.52 Evaluated at bid price : 23.90 Bid-YTW : 5.74 % |
| TRP.PR.F | FloatingReset | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 5.13 % |
| IFC.PR.A | FixedReset Ins Non | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 5.73 % |
| MFC.PR.C | Insurance Straight | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.32 % |
| GWO.PR.R | Insurance Straight | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 5.64 % |
| TD.PF.L | FixedReset Prem | -1.37 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 5.02 % |
| TD.PF.M | FixedReset Prem | -1.37 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 4.90 % |
| CU.PR.C | FixedReset Disc | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.07 Evaluated at bid price : 22.65 Bid-YTW : 6.09 % |
| PWF.PR.E | Perpetual-Discount | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 23.40 Evaluated at bid price : 23.69 Bid-YTW : 5.88 % |
| PWF.PR.T | FixedReset Disc | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.38 Evaluated at bid price : 21.70 Bid-YTW : 6.20 % |
| NA.PR.G | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.19 Bid-YTW : 4.66 % |
| PWF.PR.H | Perpetual-Discount | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 24.46 Evaluated at bid price : 24.70 Bid-YTW : 5.89 % |
| BAM.PF.D | Perpetual-Discount | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.10 Evaluated at bid price : 22.33 Bid-YTW : 5.58 % |
| CM.PR.O | FixedReset Disc | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.70 Evaluated at bid price : 22.16 Bid-YTW : 5.89 % |
| BAM.PR.X | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 18.95 Evaluated at bid price : 18.95 Bid-YTW : 6.61 % |
| BNS.PR.I | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 23.59 Evaluated at bid price : 24.75 Bid-YTW : 5.54 % |
| TRP.PR.B | FixedReset Disc | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 6.90 % |
| PWF.PR.P | FixedReset Disc | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 15.60 Evaluated at bid price : 15.60 Bid-YTW : 6.55 % |
| BAM.PF.B | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.14 Evaluated at bid price : 22.45 Bid-YTW : 6.30 % |
| BAM.PF.A | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 23.94 Evaluated at bid price : 24.35 Bid-YTW : 6.19 % |
| BAM.PF.F | FixedReset Disc | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.08 Evaluated at bid price : 22.35 Bid-YTW : 6.45 % |
| TRP.PR.G | FixedReset Disc | 2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.27 Evaluated at bid price : 22.81 Bid-YTW : 6.00 % |
| RY.PR.M | FixedReset Disc | 5.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.79 Evaluated at bid price : 22.10 Bid-YTW : 5.87 % |
| MFC.PR.N | FixedReset Ins Non | 7.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 6.00 % |
| BAM.PF.E | FixedReset Disc | 12.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 6.46 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.A | FixedReset Disc | 252,170 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.60 Evaluated at bid price : 22.01 Bid-YTW : 5.81 % |
| RY.PR.J | FixedReset Disc | 90,613 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.14 % |
| PWF.PR.S | Perpetual-Discount | 84,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.74 % |
| MFC.PR.J | FixedReset Ins Non | 72,840 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 23.71 Evaluated at bid price : 24.30 Bid-YTW : 5.84 % |
| TD.PF.K | FixedReset Disc | 60,850 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 23.96 Evaluated at bid price : 24.35 Bid-YTW : 5.81 % |
| TD.PF.L | FixedReset Prem | 45,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 5.02 % |
| There were 29 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BMO.PR.W | FixedReset Disc | Quote: 20.05 – 24.20 Spot Rate : 4.1500 Average : 3.0561 YTW SCENARIO |
| SLF.PR.J | FloatingReset | Quote: 16.25 – 25.00 Spot Rate : 8.7500 Average : 7.8492 YTW SCENARIO |
| TRP.PR.E | FixedReset Disc | Quote: 19.06 – 20.80 Spot Rate : 1.7400 Average : 1.0577 YTW SCENARIO |
| IFC.PR.G | FixedReset Ins Non | Quote: 23.11 – 24.60 Spot Rate : 1.4900 Average : 0.9592 YTW SCENARIO |
| BIP.PR.A | FixedReset Disc | Quote: 22.51 – 24.00 Spot Rate : 1.4900 Average : 0.9598 YTW SCENARIO |
| RY.PR.J | FixedReset Disc | Quote: 22.00 – 23.05 Spot Rate : 1.0500 Average : 0.6302 YTW SCENARIO |
Annuities arouse strong emotions in many investors. Some despise them, others won’t consider anything else – and, I’ve noticed, few of these antagonists are able to back up their views with hard data and logical argument. In many cases, it seems that many investors will strongly deprecate Straight Preferred shares, while expressing adoration for annuities simply because the price of Straights is so volatile … ignoring the fact that the price of annuities is also extremely volatile, but since it is not reported honestly to the purchaser nobody notices. It’s a lot like GICs!
In this 2010 essay (which builds upon the PrefBlog post Preferred Shares & Annuities) I looked at annuities as a component of a retirement portfolio and concluded in part:
They are a lousy investment, but they are great insurance!
There is a follow-up article available via Annuities, Part 2.
Look for the research link!
| 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 | -0.1900 % | 2,691.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1900 % | 5,161.5 |
| Floater | 4.62 % | 4.69 % | 44,753 | 15.97 | 3 | -0.1900 % | 2,974.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1315 % | 3,538.7 |
| SplitShare | 4.81 % | 4.81 % | 36,441 | 3.21 | 8 | 0.1315 % | 4,225.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1315 % | 3,297.3 |
| Perpetual-Premium | 5.78 % | -12.77 % | 64,505 | 0.08 | 2 | -0.2169 % | 2,991.4 |
| Perpetual-Discount | 5.57 % | 5.68 % | 61,760 | 14.34 | 34 | 0.3753 % | 3,332.0 |
| FixedReset Disc | 4.38 % | 5.86 % | 127,249 | 13.89 | 57 | 0.1852 % | 2,665.6 |
| Insurance Straight | 5.51 % | 5.56 % | 89,844 | 14.61 | 19 | 0.4201 % | 3,264.8 |
| FloatingReset | 4.88 % | 5.05 % | 49,950 | 15.45 | 2 | 0.2972 % | 2,739.3 |
| FixedReset Prem | 5.00 % | 4.21 % | 121,021 | 2.02 | 9 | -0.1774 % | 2,638.6 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1852 % | 2,724.8 |
| FixedReset Ins Non | 4.29 % | 5.83 % | 72,991 | 14.11 | 15 | 0.0716 % | 2,794.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| RY.PR.M | FixedReset Disc | -5.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.18 % |
| MFC.PR.Q | FixedReset Ins Non | -4.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 22.86 Evaluated at bid price : 23.40 Bid-YTW : 5.98 % |
| CU.PR.G | Perpetual-Discount | -2.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 5.68 % |
| BAM.PR.T | FixedReset Disc | -2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 6.46 % |
| TRP.PR.D | FixedReset Disc | -1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 20.43 Evaluated at bid price : 20.43 Bid-YTW : 6.57 % |
| BAM.PF.I | FixedReset Prem | -1.73 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 5.19 % |
| GWO.PR.P | Insurance Straight | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 5.62 % |
| BIP.PR.A | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 22.18 Evaluated at bid price : 22.60 Bid-YTW : 6.79 % |
| CM.PR.Q | FixedReset Disc | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 22.33 Evaluated at bid price : 22.85 Bid-YTW : 5.87 % |
| PVS.PR.H | SplitShare | 1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 5.07 % |
| GWO.PR.Y | Insurance Straight | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 5.46 % |
| CM.PR.O | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 22.14 Evaluated at bid price : 22.40 Bid-YTW : 5.84 % |
| GWO.PR.N | FixedReset Ins Non | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 6.13 % |
| POW.PR.B | Perpetual-Discount | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 23.71 Evaluated at bid price : 24.02 Bid-YTW : 5.65 % |
| NA.PR.W | FixedReset Disc | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 22.00 Evaluated at bid price : 22.30 Bid-YTW : 5.77 % |
| FTS.PR.H | FixedReset Disc | 2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 6.32 % |
| CU.PR.D | Perpetual-Discount | 2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 5.60 % |
| CU.PR.F | Perpetual-Discount | 3.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 20.62 Evaluated at bid price : 20.62 Bid-YTW : 5.50 % |
| CU.PR.H | Perpetual-Discount | 3.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 22.91 Evaluated at bid price : 23.20 Bid-YTW : 5.69 % |
| BAM.PF.D | Perpetual-Discount | 3.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 22.33 Evaluated at bid price : 22.60 Bid-YTW : 5.51 % |
| SLF.PR.D | Insurance Straight | 8.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 21.38 Evaluated at bid price : 21.65 Bid-YTW : 5.13 % |
| MFC.PR.F | FixedReset Ins Non | 10.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 6.07 % |
| BMO.PR.W | FixedReset Disc | 10.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 21.99 Evaluated at bid price : 22.25 Bid-YTW : 5.77 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.E | FixedReset Disc | 251,400 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-11-25 Maturity Price : 25.00 Evaluated at bid price : 24.86 Bid-YTW : 5.40 % |
| TD.PF.D | FixedReset Disc | 130,550 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 22.42 Evaluated at bid price : 23.00 Bid-YTW : 5.85 % |
| TD.PF.C | FixedReset Disc | 118,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 22.25 Evaluated at bid price : 22.65 Bid-YTW : 5.68 % |
| NA.PR.E | FixedReset Disc | 93,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 24.39 Evaluated at bid price : 24.80 Bid-YTW : 5.71 % |
| MFC.PR.I | FixedReset Ins Non | 71,800 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 3.15 % |
| GWO.PR.Y | Insurance Straight | 63,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-07 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 5.46 % |
| There were 19 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.J | FloatingReset | Quote: 16.20 – 25.00 Spot Rate : 8.8000 Average : 6.8614 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 20.00 – 24.40 Spot Rate : 4.4000 Average : 2.8087 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 19.95 – 23.50 Spot Rate : 3.5500 Average : 2.2185 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 19.95 – 24.84 Spot Rate : 4.8900 Average : 3.6379 YTW SCENARIO |
| MFC.PR.L | FixedReset Ins Non | Quote: 20.99 – 24.35 Spot Rate : 3.3600 Average : 2.4621 YTW SCENARIO |
| TD.PF.D | FixedReset Disc | Quote: 23.00 – 24.95 Spot Rate : 1.9500 Average : 1.1559 YTW SCENARIO |
Tax effects are an important consideration in preferred share investing, but there are nuances that sometimes snare the unwary into making bad decisions. If one takes the view that a particular issue is likely to be called at the next opportunity, for instance, one may then calculate the yield in the usual manner – but the income received will be heterogeneous, comprised of a dividend stream punctuated by a capital loss. Taxes on the dividend income (which will be higher than ‘normal’) will be paid in the year following receipt, while the offsetting tax benefit on the capital loss will be realized only in the year following redemption – and even then, will not be claimable until the investor has an offsetting capital gain. Another issue is the effect of the dividend stream on the OAS clawback, which is also discussed.
While I have little patience for the tax-obsessed naifs who are willing to spend a dollar on worry, market action and missed opportunities in order to save a quarter on taxes, these effects should be understood; there has been a brief discussion of tax effects on PrefBlog and a calculator is available; but this essay is a more detailed exposition.
Look for the research link!
TXPR closed at 657.51, down 0.52% on the day. Volume today was 1.36-million, slightly below the median of the past 21 trading days.
CPD closed at 13.09, down 0.30% on the day. Volume was 56,090, below the median of the past 21 trading days.
ZPR closed at 10.95 down 0.46% on the day. Volume of 147,290 was near the median of the past 21 trading days.
Five-year Canada yields were up to 3.15% today. It’s nice to see a three-handle on the GOC-5 yield after so long!
| 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 | 0.1665 % | 2,696.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1665 % | 5,171.4 |
| Floater | 4.61 % | 4.69 % | 45,197 | 15.98 | 3 | 0.1665 % | 2,980.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1469 % | 3,534.0 |
| SplitShare | 4.81 % | 4.92 % | 35,848 | 3.21 | 8 | 0.1469 % | 4,220.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1469 % | 3,292.9 |
| Perpetual-Premium | 5.77 % | -17.35 % | 62,775 | 0.09 | 2 | -0.0591 % | 2,997.9 |
| Perpetual-Discount | 5.59 % | 5.70 % | 61,615 | 14.32 | 34 | -0.4586 % | 3,319.5 |
| FixedReset Disc | 4.39 % | 5.87 % | 119,459 | 13.91 | 57 | -0.1936 % | 2,660.7 |
| Insurance Straight | 5.53 % | 5.55 % | 93,529 | 14.62 | 19 | -0.9002 % | 3,251.2 |
| FloatingReset | 4.90 % | 5.07 % | 51,892 | 15.43 | 2 | 0.5979 % | 2,731.2 |
| FixedReset Prem | 4.99 % | 4.18 % | 120,376 | 2.02 | 9 | 0.2864 % | 2,643.3 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1936 % | 2,719.7 |
| FixedReset Ins Non | 4.30 % | 5.78 % | 70,455 | 14.21 | 15 | -0.7386 % | 2,792.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BMO.PR.W | FixedReset Disc | -8.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.41 % |
| SLF.PR.D | Insurance Straight | -8.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 19.87 Evaluated at bid price : 19.87 Bid-YTW : 5.61 % |
| MFC.PR.F | FixedReset Ins Non | -7.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 6.63 % |
| BAM.PF.E | FixedReset Disc | -7.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 7.27 % |
| MFC.PR.N | FixedReset Ins Non | -6.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.41 % |
| CU.PR.H | Perpetual-Discount | -6.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 22.19 Evaluated at bid price : 22.49 Bid-YTW : 5.87 % |
| BAM.PR.R | FixedReset Disc | -4.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 6.85 % |
| GWO.PR.T | Insurance Straight | -2.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 22.49 Evaluated at bid price : 22.85 Bid-YTW : 5.63 % |
| GWO.PR.H | Insurance Straight | -2.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.72 % |
| BAM.PF.G | FixedReset Disc | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 6.54 % |
| SLF.PR.C | Insurance Straight | -1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 21.09 Evaluated at bid price : 21.09 Bid-YTW : 5.29 % |
| POW.PR.D | Perpetual-Discount | -1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 21.89 Evaluated at bid price : 22.13 Bid-YTW : 5.73 % |
| BAM.PF.A | FixedReset Disc | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 23.33 Evaluated at bid price : 23.80 Bid-YTW : 6.32 % |
| GWO.PR.I | Insurance Straight | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 20.22 Evaluated at bid price : 20.22 Bid-YTW : 5.58 % |
| PWF.PR.Z | Perpetual-Discount | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 22.65 Evaluated at bid price : 23.04 Bid-YTW : 5.64 % |
| BAM.PR.M | Perpetual-Discount | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 21.28 Evaluated at bid price : 21.55 Bid-YTW : 5.60 % |
| POW.PR.G | Perpetual-Discount | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 24.46 Evaluated at bid price : 24.70 Bid-YTW : 5.75 % |
| PWF.PR.R | Perpetual-Discount | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 23.75 Evaluated at bid price : 24.06 Bid-YTW : 5.78 % |
| PWF.PR.L | Perpetual-Discount | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 22.18 Evaluated at bid price : 22.46 Bid-YTW : 5.74 % |
| POW.PR.B | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 23.48 Evaluated at bid price : 23.75 Bid-YTW : 5.71 % |
| TRP.PR.C | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 14.84 Evaluated at bid price : 14.84 Bid-YTW : 6.83 % |
| IFC.PR.F | Insurance Straight | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 23.21 Evaluated at bid price : 23.67 Bid-YTW : 5.68 % |
| PWF.PF.A | Perpetual-Discount | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.30 % |
| TRP.PR.D | FixedReset Disc | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 6.45 % |
| TRP.PR.E | FixedReset Disc | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.45 % |
| PWF.PR.T | FixedReset Disc | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 21.53 Evaluated at bid price : 21.90 Bid-YTW : 6.14 % |
| TRP.PR.G | FixedReset Disc | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 21.93 Evaluated at bid price : 22.30 Bid-YTW : 6.14 % |
| FTS.PR.K | FixedReset Disc | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.33 % |
| BMO.PR.Y | FixedReset Disc | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 22.23 Evaluated at bid price : 22.70 Bid-YTW : 5.84 % |
| RY.PR.H | FixedReset Disc | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 22.20 Evaluated at bid price : 22.50 Bid-YTW : 5.74 % |
| BAM.PR.T | FixedReset Disc | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 6.32 % |
| IFC.PR.I | Perpetual-Discount | 2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 23.90 Evaluated at bid price : 24.30 Bid-YTW : 5.64 % |
| BAM.PF.I | FixedReset Prem | 2.57 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.95 Bid-YTW : 4.76 % |
| CU.PR.G | Perpetual-Discount | 3.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 5.52 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.R | FixedReset Disc | 68,167 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 4.91 % |
| IFC.PR.G | FixedReset Ins Non | 42,624 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 24.20 Evaluated at bid price : 24.62 Bid-YTW : 5.78 % |
| PWF.PR.R | Perpetual-Discount | 28,628 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 23.75 Evaluated at bid price : 24.06 Bid-YTW : 5.78 % |
| BMO.PR.E | FixedReset Disc | 23,556 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-11-25 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 5.42 % |
| MFC.PR.B | Insurance Straight | 16,857 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-06 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 5.29 % |
| TD.PF.J | FixedReset Disc | 15,678 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.26 % |
| There were 16 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.J | FloatingReset | Quote: 16.15 – 25.00 Spot Rate : 8.8500 Average : 4.7359 YTW SCENARIO |
| CM.PR.O | FixedReset Disc | Quote: 22.17 – 24.50 Spot Rate : 2.3300 Average : 1.3281 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 20.00 – 21.75 Spot Rate : 1.7500 Average : 1.0639 YTW SCENARIO |
| BMO.PR.W | FixedReset Disc | Quote: 20.05 – 22.48 Spot Rate : 2.4300 Average : 1.7545 YTW SCENARIO |
| MFC.PR.F | FixedReset Ins Non | Quote: 15.00 – 16.59 Spot Rate : 1.5900 Average : 1.0709 YTW SCENARIO |
| BAM.PF.E | FixedReset Disc | Quote: 18.40 – 20.73 Spot Rate : 2.3300 Average : 1.8129 YTW SCENARIO |
Preferred Shares may be classified as interconvertible if each element of the pair may be converted into the other element on a specified date (or dates) in the future at the holder’s option – always (I think!) with some restriction to ensure that each element must meet a minimum size requirement before it is allowed to exist. Examples are FixedFloater/RatchetRate preferreds and FixedReset/FloatingReset preferreds.
This future interconversion implies the prices of the two elements (assuming that both are trading) should be related in a logical way, with the difference in price narrowing as the next interconversion date draws nearer.
This concept has been discussed many times on PrefBlog, with other versions of this concept published via Preferred Pairs and Pairs Equivalency Calculator. There is also a Part 2 of this essay, published in May, 2012.
Look for the research link!
A ‘naive hedge fund’ will simply buy what has gone down and sell what has gone up, as discussed in the post What Happened to the Quants in August 2007?. How would such a strategy work in the Canadian preferred share market?
Look for the research link!
Alternative Trading Systems (ATS) became important toward the end of the twenty-aughts. In this 2009 essay, I looked at the implications for the preferred share market, with particular notes regarding Pegged and Contingent orders.
This essay includes an appended correction of a silly mistake in the original paper, which was published in November, 2010.
Look for the research link!
