Well, so much for the rally.
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 | -4.1032 % | 2,749.9 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -4.1032 % | 5,045.9 |
Floater | 4.23 % | 4.55 % | 37,380 | 16.26 | 4 | -4.1032 % | 2,908.0 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0067 % | 3,197.0 |
SplitShare | 4.55 % | 4.91 % | 65,403 | 4.14 | 6 | -0.0067 % | 3,817.9 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0067 % | 2,978.8 |
Perpetual-Premium | 5.93 % | 5.98 % | 49,557 | 13.89 | 3 | -0.1198 % | 2,861.5 |
Perpetual-Discount | 5.70 % | 5.83 % | 74,207 | 14.09 | 31 | -0.4920 % | 2,874.2 |
FixedReset Disc | 4.79 % | 5.56 % | 155,985 | 14.65 | 58 | -0.9002 % | 2,325.3 |
Deemed-Retractible | 5.44 % | 7.31 % | 77,042 | 5.14 | 27 | -0.3845 % | 2,855.6 |
FloatingReset | 4.04 % | 4.80 % | 36,218 | 5.33 | 6 | -1.5681 % | 2,597.7 |
FixedReset Prem | 5.11 % | 4.76 % | 215,607 | 2.53 | 22 | -0.3114 % | 2,506.4 |
FixedReset Bank Non | 2.98 % | 4.27 % | 126,169 | 2.96 | 6 | -0.0895 % | 2,565.7 |
FixedReset Ins Non | 4.83 % | 7.43 % | 128,126 | 5.25 | 22 | -0.9349 % | 2,327.6 |
Performance Highlights | |||
Issue | Index | Change | Notes |
BAM.PR.B | Floater | -6.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 15.26 Evaluated at bid price : 15.26 Bid-YTW : 4.59 % |
BAM.PR.K | Floater | -4.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 15.31 Evaluated at bid price : 15.31 Bid-YTW : 4.57 % |
BAM.PR.C | Floater | -4.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 15.37 Evaluated at bid price : 15.37 Bid-YTW : 4.55 % |
TD.PF.C | FixedReset Disc | -4.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 5.65 % |
PWF.PR.Q | FloatingReset | -4.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 4.32 % |
EMA.PR.F | FixedReset Disc | -2.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 20.63 Evaluated at bid price : 20.63 Bid-YTW : 5.96 % |
TRP.PR.F | FloatingReset | -2.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 17.47 Evaluated at bid price : 17.47 Bid-YTW : 5.25 % |
BAM.PF.D | Perpetual-Discount | -2.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 19.98 Evaluated at bid price : 19.98 Bid-YTW : 6.24 % |
BAM.PR.T | FixedReset Disc | -2.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 6.18 % |
TRP.PR.G | FixedReset Disc | -2.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 6.13 % |
BAM.PF.E | FixedReset Disc | -2.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 20.34 Evaluated at bid price : 20.34 Bid-YTW : 6.01 % |
TRP.PR.E | FixedReset Disc | -2.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 19.33 Evaluated at bid price : 19.33 Bid-YTW : 6.06 % |
IAG.PR.I | FixedReset Ins Non | -2.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.93 Bid-YTW : 6.70 % |
MFC.PR.H | FixedReset Ins Non | -1.96 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 7.43 % |
TRP.PR.B | FixedReset Disc | -1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 14.42 Evaluated at bid price : 14.42 Bid-YTW : 6.06 % |
MFC.PR.Q | FixedReset Ins Non | -1.81 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.16 Bid-YTW : 7.90 % |
BAM.PR.N | Perpetual-Discount | -1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.20 % |
NA.PR.W | FixedReset Disc | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 5.64 % |
SLF.PR.H | FixedReset Ins Non | -1.70 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.05 Bid-YTW : 8.86 % |
MFC.PR.J | FixedReset Ins Non | -1.69 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.10 Bid-YTW : 7.22 % |
MFC.PR.I | FixedReset Ins Non | -1.64 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.56 Bid-YTW : 7.43 % |
BAM.PR.R | FixedReset Disc | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 17.98 Evaluated at bid price : 17.98 Bid-YTW : 6.13 % |
TRP.PR.H | FloatingReset | -1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 14.83 Evaluated at bid price : 14.83 Bid-YTW : 5.09 % |
IFC.PR.E | Deemed-Retractible | -1.56 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.66 Bid-YTW : 7.31 % |
TRP.PR.C | FixedReset Disc | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 15.11 Evaluated at bid price : 15.11 Bid-YTW : 6.07 % |
MFC.PR.F | FixedReset Ins Non | -1.55 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.85 Bid-YTW : 11.39 % |
BAM.PR.X | FixedReset Disc | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 16.49 Evaluated at bid price : 16.49 Bid-YTW : 5.85 % |
CU.PR.C | FixedReset Disc | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 5.64 % |
ELF.PR.H | Perpetual-Discount | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 23.15 Evaluated at bid price : 23.62 Bid-YTW : 5.88 % |
BMO.PR.W | FixedReset Disc | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 20.69 Evaluated at bid price : 20.69 Bid-YTW : 5.45 % |
PWF.PR.A | Floater | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 3.56 % |
IFC.PR.G | FixedReset Ins Non | -1.49 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.51 Bid-YTW : 7.10 % |
BAM.PF.I | FixedReset Prem | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 23.04 Evaluated at bid price : 24.25 Bid-YTW : 6.07 % |
CM.PR.O | FixedReset Disc | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 5.56 % |
RY.PR.G | Deemed-Retractible | -1.40 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 4.93 % |
POW.PR.B | Perpetual-Discount | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 22.49 Evaluated at bid price : 22.75 Bid-YTW : 5.95 % |
BAM.PF.C | Perpetual-Discount | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 6.14 % |
BMO.PR.S | FixedReset Disc | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 5.53 % |
IFC.PR.F | Deemed-Retractible | -1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 6.91 % |
IAG.PR.A | Deemed-Retractible | -1.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.33 Bid-YTW : 8.76 % |
BMO.PR.T | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.46 % |
MFC.PR.L | FixedReset Ins Non | -1.25 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.68 Bid-YTW : 8.95 % |
TD.PF.B | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 20.99 Evaluated at bid price : 20.99 Bid-YTW : 5.47 % |
BAM.PF.B | FixedReset Disc | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 6.06 % |
W.PR.K | FixedReset Prem | -1.19 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-01-15 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.55 % |
CM.PR.R | FixedReset Disc | -1.18 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.21 Bid-YTW : 5.47 % |
CM.PR.S | FixedReset Disc | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 21.60 Evaluated at bid price : 21.90 Bid-YTW : 5.39 % |
SLF.PR.J | FloatingReset | -1.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.90 Bid-YTW : 10.46 % |
BAM.PF.A | FixedReset Disc | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 21.68 Evaluated at bid price : 22.05 Bid-YTW : 5.93 % |
HSE.PR.E | FixedReset Disc | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 21.84 Evaluated at bid price : 22.36 Bid-YTW : 6.49 % |
BAM.PF.G | FixedReset Disc | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 21.30 Evaluated at bid price : 21.58 Bid-YTW : 5.97 % |
PWF.PR.E | Perpetual-Discount | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 23.21 Evaluated at bid price : 23.51 Bid-YTW : 5.90 % |
MFC.PR.M | FixedReset Ins Non | -1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.08 Bid-YTW : 8.69 % |
CM.PR.P | FixedReset Disc | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 20.59 Evaluated at bid price : 20.59 Bid-YTW : 5.49 % |
HSE.PR.C | FixedReset Disc | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 6.33 % |
TRP.PR.D | FixedReset Disc | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 6.17 % |
MFC.PR.G | FixedReset Ins Non | -1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.64 Bid-YTW : 7.23 % |
NA.PR.C | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 22.76 Evaluated at bid price : 23.80 Bid-YTW : 5.70 % |
GWO.PR.Q | Deemed-Retractible | -1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.12 Bid-YTW : 7.73 % |
TD.PF.E | FixedReset Disc | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 22.45 Evaluated at bid price : 22.77 Bid-YTW : 5.53 % |
GWO.PR.G | Deemed-Retractible | 1.48 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 7.36 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
BNS.PR.H | FixedReset Prem | 233,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 25.57 Bid-YTW : 4.22 % |
BMO.PR.B | FixedReset Prem | 207,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 4.52 % |
MFC.PR.K | FixedReset Ins Non | 102,000 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.97 Bid-YTW : 8.77 % |
TD.PF.H | FixedReset Prem | 68,300 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.52 Bid-YTW : 4.22 % |
POW.PR.G | Perpetual-Discount | 52,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 24.17 Evaluated at bid price : 24.51 Bid-YTW : 5.78 % |
PWF.PR.T | FixedReset Disc | 48,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-22 Maturity Price : 21.60 Evaluated at bid price : 21.95 Bid-YTW : 5.35 % |
There were 19 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: 20.12 – 20.88 Spot Rate : 0.7600 Average : 0.4761 YTW SCENARIO |
IFC.PR.C | FixedReset Ins Non | Quote: 21.10 – 21.98 Spot Rate : 0.8800 Average : 0.6607 YTW SCENARIO |
RY.PR.G | Deemed-Retractible | Quote: 24.70 – 25.29 Spot Rate : 0.5900 Average : 0.3770 YTW SCENARIO |
BAM.PR.B | Floater | Quote: 15.26 – 15.83 Spot Rate : 0.5700 Average : 0.3911 YTW SCENARIO |
BIP.PR.B | FixedReset Prem | Quote: 25.00 – 25.50 Spot Rate : 0.5000 Average : 0.3433 YTW SCENARIO |
PWF.PR.Q | FloatingReset | Quote: 19.25 – 19.80 Spot Rate : 0.5500 Average : 0.3994 YTW SCENARIO |
Holy smoke!
My protfolio of minimum rate-reset preferred shares (including ECN, EFN, BPO, BIP, BEP, KML and CPX) looks like a blood bath today. Most of my holdings will reset in 2021. And I don’t know understand why their share prices had plunged so much recently. Can anyone tell me what’s going on?
The preferred market is so retail that even dollar store shoppers don’t shop there 🙂
I think this debacle started with the MFC short position initiated by the Muddy Water guys. There was only marginal impact of this on MFC common equity and bonds, but Preferred holders had a fine way of getting scared.
That started the decline in MFC.PR.B, MFC.PR.C etc. and moved on to similar preferreds of IAG, SLF and GWO.
I think that was the infection.
Then we had volatility in the markets causing margin calls. If you compare to the broad indices, preferreds aren’t down quite a bit, but as compared to Tech or other sectors, Preferreds are still holding well.
As Ben Graham used to say, “Mr Market is a maniac.” Read up here:
https://en.wikipedia.org/wiki/Mr._Market
Graham asks the reader to imagine that he is one of the two owners of a business, along with a partner called Mr. Market. The partner frequently offers to sell his share of the business or to buy the reader’s share. This partner is what today would be called manic-depressive, with his estimate of the business’s value going from very pessimistic to wildly optimistic. The reader is always free to decline the partner’s offer, since he will soon come back with an entirely different offer.[1]
I think while other markets have kind of ‘matured’, the preferred market is kind of from yesteryears when panics were more frequent.
For anyone holding preferreds, there should really be one major concern- Is the company solvent enough to pay dividends for a long time. That’s where James’ guidelines on holding P2L and above credit makes so much sense. You don’t have to sell. You can hold, collect coupons and relax.
Other risks such as those related to interest rates can be managed in other asset classes. Volatility shouldn’t be ignored because your partner is a manic depressive or irrationally exuberant depending on his/her mood.
I know the experts wouldn’t agree, but I think rate resets have brought in a whole lot of complexity to what should have been a simple product. Like in the US:
https://www.marketwatch.com/investing/fund/pff/charts
my guess it’s come down to rate expectations. in 2016/2017, people were buying rate rests because they thought bank of canada was finally going to normalize rates. plus, you were getting fantastic yields.
since then, they’ve gone up and plateaued. most of 2018, saw them go nowhere. even though bank of canada was raising rates, the big move in the previous two years sort of factored some of that.
this correction the last few weeks, and the collapse in oil prices, makes people think getting to “normal” will take much longer. instead of getting to say, 3% by the end of 2019, maybe it’s the end of 2020. .. or 2021?
just a guess. who knows what the market is doing.
My protfolio of minimum rate-reset preferred shares (including ECN, EFN, BPO, BIP, BEP, KML and CPX) looks like a blood bath today.
We can check out the GOC-5 yield at which the minimum rate guarantee would become useful:
ECN.PR.A … 1.06%
ECN.PR.C … 1.06%
EFN … none have minimum rates
BPO.PR.C … 0.82%
BPO.PR.E … 1.14%
BPO.PR.G … 1.11%
BPO.PR.I … 1.52%
BIP.PR.B … 0.97%
BIP.PR.C … 0.71%
BIP.PR.D … 1.22%
BIP.PR.E … 2.00%
BIP.PR.F … 2.18%
BEP.PR.G … 1.03%
BEP.PR.I … 0.74%
BEP.PR.K … 1.18%
BEP.PR.M … 2.00%
KML.PR.A … 1.60%
KML.PR.C … 1.69%
CPX.PR.G … 0.74%
CPX.PR.I … 1.63%
I’ve never been too enamoured of the rate guarantee mechanism; what I have found very interesting over the past year is that the effect on price has not attenuated as the actual GOC-5 yield moves further away from the trigger yield.
Perhaps now it is … although I haven’t done any work on this.
Can anyone tell me what’s going on?
During market corrections all correlations tend to one.
In addition to the statistical argument presented in the above, remember that in this day and age, when CPD is not just a giant fund but probably the first choice of unsophisticated investors, there will be a legitimate causal mechanism: as investors sell CPD, market makers will sell individual issues, not with any regard to their relative merits, but primarily with regard to their weight in the index.
I understand that Preferred shares have been getting beaten up recently. John Heinzl will explain why in Saturday’s Investor Clinic..