Click for Big
TXPR closed at 604.01, down 0.72% on the day. Volume was 2.29-million, on the high side but nothing special in the context of the past thirty days. The low for the day was 601.96, down 1.06%, but the market commenced a slow (and feeble!) recovery just before 2pm.
Click for Big
Note that TXPR’s 52-week low is 596.56 – that’s not too far off!
CPD closed at 12.10, down 0.74% on the day. Volume of 78,406 was slightly above average in the context of the past thirty days.
ZPR closed at 9.73, down 1.02% on the day, after hitting a new 52-week low of 9.65. Volume of 254,914 was the highest of the past thirty days.
Five-year Canada yields were down 9bp to 1.36% today, enough to be considered a glib explanation for the preferred market carnage … although I confess that it still doesn’t make any sense to me why spreads should widen as yields decline! Where are the GIC refugees?
The shambles included the equity markets:
Then the tweets on trade began. In early May, President Trump threatened new tariffs on Chinese products, shattering the calm as markets began a tailspin that was capped with a 1.3 percent drop for the S&P 500 on Friday.
The benchmark index ended May down 6.6 percent, its first monthly decline of the year and its worst drop since an ugly sell-off at the end of 2018.
The decline on Friday came after President Trump tweeted that he would impose a new tariff on all imports from Mexico — a tax that could rise to as high as 25 percent — unless the country’s government took steps to address the flow of migrants across the United States’ border, and Beijing announced plans to unveil a blacklist of foreign companies and people. China’s move was seen as a retaliation against the Trump administration’s efforts to deny American technology to Chinese companies.
Earlier this month, the White House issued an order effectively barring sales by Huawei, China’s leading networking company, broadening the conflict away from trade deficits and toward the difficult-to-resolve issues of technological dominance.
…
Investors worldwide responded by pricing in the growing economic cost to the fight. Stock markets in trade-dependent economies such as Japan, South Korea and Germany also saw steep losses in May.On Friday, the drop in American stocks was sweeping: Investors dumped industrial and machinery stocks, shares of consumer products companies, and those of giant tech companies.
…
To a certain extent, those low yields are pricing in growing expectations that the Federal Reserve will cut interest rates. According to the market for Fed Funds futures, traders are putting roughly 90 percent odds on the Fed cutting interest rates by the end of the year, up from about 38 percent in the middle of April.
Some might consider it strange hubris for Trump to continue shaking his fist at logical allies while locked in a trade war with China – but I don’t consider it out of character at all. By me, he doesn’t care if it’s good policy; he doesn’t care if he can credibly claim a win after the dust has settled; he doesn’t care about the risks to the US economy. His base is convinced that the rest of the world is engaged in constant plotting to take away what is rightfully theirs, and they want a guy who will fight. So he fights. And, if he gets it right, the 29.1% of the voters who select him will outnumber the 28.9% of voters who don’t. That’s all that matters – and he’s proved himself to be a very astute counter of votes in the past.
That’s the dark side of the matter for those poseurs who proclaim their cynicism by not voting. Campaigns cease to be about swinging the undecided and become solely a matter of motivating your base.
There was a great big stack of new 52-week lows set for individual issues today, so the ‘new lows’ section of the newspaper should make for interesting reading!
| 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 | -3.0278 % | 1,977.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -3.0278 % | 3,629.1 |
| Floater | 5.94 % | 6.31 % | 54,266 | 13.35 | 3 | -3.0278 % | 2,091.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0285 % | 3,301.4 |
| SplitShare | 4.72 % | 4.76 % | 77,422 | 4.27 | 7 | -0.0285 % | 3,942.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0285 % | 3,076.2 |
| Perpetual-Premium | 5.57 % | 4.99 % | 82,591 | 14.27 | 12 | -0.0398 % | 2,931.6 |
| Perpetual-Discount | 5.50 % | 5.52 % | 72,027 | 14.61 | 20 | -0.3802 % | 3,067.2 |
| FixedReset Disc | 5.55 % | 5.60 % | 162,900 | 14.48 | 63 | -1.1818 % | 2,070.1 |
| Deemed-Retractible | 5.31 % | 6.00 % | 98,405 | 8.08 | 27 | -0.3182 % | 3,059.0 |
| FloatingReset | 4.09 % | 4.91 % | 48,558 | 2.55 | 4 | -1.1757 % | 2,342.5 |
| FixedReset Prem | 5.18 % | 4.49 % | 228,726 | 2.10 | 21 | -0.7163 % | 2,557.5 |
| FixedReset Bank Non | 2.00 % | 4.50 % | 137,125 | 2.57 | 3 | -0.7252 % | 2,619.6 |
| FixedReset Ins Non | 5.28 % | 7.32 % | 107,957 | 8.18 | 22 | -0.9678 % | 2,158.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.K | Floater | -4.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 11.01 Evaluated at bid price : 11.01 Bid-YTW : 6.39 % |
| TRP.PR.B | FixedReset Disc | -3.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 11.29 Evaluated at bid price : 11.29 Bid-YTW : 6.09 % |
| BNS.PR.I | FixedReset Disc | -3.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 21.29 Evaluated at bid price : 21.57 Bid-YTW : 4.87 % |
| TRP.PR.C | FixedReset Disc | -3.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 12.45 Evaluated at bid price : 12.45 Bid-YTW : 6.02 % |
| TD.PF.A | FixedReset Disc | -3.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 17.14 Evaluated at bid price : 17.14 Bid-YTW : 5.53 % |
| BIP.PR.A | FixedReset Disc | -3.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.63 % |
| BAM.PR.B | Floater | -3.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 11.15 Evaluated at bid price : 11.15 Bid-YTW : 6.31 % |
| TRP.PR.F | FloatingReset | -3.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 13.59 Evaluated at bid price : 13.59 Bid-YTW : 6.62 % |
| BMO.PR.C | FixedReset Disc | -2.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 22.05 Evaluated at bid price : 22.40 Bid-YTW : 5.35 % |
| BIP.PR.D | FixedReset Disc | -2.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 21.41 Evaluated at bid price : 21.75 Bid-YTW : 6.00 % |
| BMO.PR.W | FixedReset Disc | -2.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 5.60 % |
| MFC.PR.G | FixedReset Ins Non | -2.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.37 Bid-YTW : 7.34 % |
| SLF.PR.H | FixedReset Ins Non | -2.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.00 Bid-YTW : 8.69 % |
| BAM.PR.R | FixedReset Disc | -2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 14.64 Evaluated at bid price : 14.64 Bid-YTW : 6.43 % |
| NA.PR.C | FixedReset Disc | -2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 5.77 % |
| MFC.PR.I | FixedReset Ins Non | -2.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.33 Bid-YTW : 7.49 % |
| RY.PR.J | FixedReset Disc | -2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 5.54 % |
| TD.PF.B | FixedReset Disc | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 17.29 Evaluated at bid price : 17.29 Bid-YTW : 5.52 % |
| CM.PR.Q | FixedReset Disc | -2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 5.68 % |
| MFC.PR.Q | FixedReset Ins Non | -2.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.65 Bid-YTW : 7.27 % |
| BAM.PR.X | FixedReset Disc | -1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 12.94 Evaluated at bid price : 12.94 Bid-YTW : 6.28 % |
| TRP.PR.A | FixedReset Disc | -1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 13.73 Evaluated at bid price : 13.73 Bid-YTW : 6.23 % |
| PWF.PR.A | Floater | -1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 12.75 Evaluated at bid price : 12.75 Bid-YTW : 5.47 % |
| BMO.PR.S | FixedReset Disc | -1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 17.47 Evaluated at bid price : 17.47 Bid-YTW : 5.52 % |
| RY.PR.S | FixedReset Disc | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 5.00 % |
| SLF.PR.D | Deemed-Retractible | -1.79 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.31 Bid-YTW : 6.96 % |
| TRP.PR.G | FixedReset Disc | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 18.32 Evaluated at bid price : 18.32 Bid-YTW : 6.05 % |
| BAM.PF.G | FixedReset Disc | -1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 17.32 Evaluated at bid price : 17.32 Bid-YTW : 6.41 % |
| NA.PR.S | FixedReset Disc | -1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 5.73 % |
| RY.PR.Z | FixedReset Disc | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 5.28 % |
| TD.PF.J | FixedReset Disc | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 5.42 % |
| CU.PR.E | Perpetual-Discount | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 22.03 Evaluated at bid price : 22.27 Bid-YTW : 5.52 % |
| BAM.PR.T | FixedReset Disc | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 14.80 Evaluated at bid price : 14.80 Bid-YTW : 6.46 % |
| CM.PR.O | FixedReset Disc | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 16.78 Evaluated at bid price : 16.78 Bid-YTW : 5.77 % |
| CM.PR.R | FixedReset Disc | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.63 % |
| TD.PF.I | FixedReset Disc | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 21.27 Evaluated at bid price : 21.55 Bid-YTW : 5.28 % |
| IAF.PR.G | FixedReset Ins Non | -1.59 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.42 Bid-YTW : 6.56 % |
| TD.PF.C | FixedReset Disc | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 5.49 % |
| BAM.PF.E | FixedReset Disc | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 6.45 % |
| BMO.PR.B | FixedReset Prem | -1.52 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 4.49 % |
| BAM.PR.Z | FixedReset Disc | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 6.25 % |
| BAM.PF.J | FixedReset Disc | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 21.99 Evaluated at bid price : 22.40 Bid-YTW : 5.37 % |
| MFC.PR.M | FixedReset Ins Non | -1.49 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.80 Bid-YTW : 7.92 % |
| IAF.PR.I | FixedReset Ins Non | -1.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.90 Bid-YTW : 6.65 % |
| MFC.PR.J | FixedReset Ins Non | -1.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.62 Bid-YTW : 7.32 % |
| SLF.PR.J | FloatingReset | -1.41 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.95 Bid-YTW : 9.86 % |
| PWF.PR.F | Perpetual-Discount | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 23.22 Evaluated at bid price : 23.52 Bid-YTW : 5.64 % |
| BAM.PF.H | FixedReset Prem | -1.38 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.57 % |
| NA.PR.W | FixedReset Disc | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 16.43 Evaluated at bid price : 16.43 Bid-YTW : 5.77 % |
| BNS.PR.H | FixedReset Prem | -1.29 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : 4.59 % |
| RY.PR.H | FixedReset Disc | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 17.51 Evaluated at bid price : 17.51 Bid-YTW : 5.41 % |
| SLF.PR.C | Deemed-Retractible | -1.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 6.84 % |
| TD.PF.D | FixedReset Disc | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 19.76 Evaluated at bid price : 19.76 Bid-YTW : 5.42 % |
| TRP.PR.D | FixedReset Disc | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.97 % |
| CU.PR.I | FixedReset Prem | -1.18 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 4.09 % |
| BNS.PR.F | FloatingReset | -1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 4.91 % |
| MFC.PR.N | FixedReset Ins Non | -1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.11 Bid-YTW : 8.33 % |
| PWF.PR.P | FixedReset Disc | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 13.12 Evaluated at bid price : 13.12 Bid-YTW : 5.81 % |
| BMO.PR.D | FixedReset Disc | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 5.45 % |
| SLF.PR.G | FixedReset Ins Non | -1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.63 Bid-YTW : 9.80 % |
| MFC.PR.H | FixedReset Ins Non | -1.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.35 Bid-YTW : 7.05 % |
| MFC.PR.K | FixedReset Ins Non | -1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.70 Bid-YTW : 7.54 % |
| BMO.PR.E | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 20.93 Evaluated at bid price : 20.93 Bid-YTW : 5.23 % |
| SLF.PR.I | FixedReset Ins Non | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.10 Bid-YTW : 7.31 % |
| CM.PR.S | FixedReset Disc | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 19.21 Evaluated at bid price : 19.21 Bid-YTW : 5.37 % |
| GWO.PR.T | Deemed-Retractible | -1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 6.03 % |
| W.PR.K | FixedReset Prem | -1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-01-15 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.92 % |
| CM.PR.T | FixedReset Prem | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 23.01 Evaluated at bid price : 24.55 Bid-YTW : 4.98 % |
| TRP.PR.K | FixedReset Prem | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 23.25 Evaluated at bid price : 24.65 Bid-YTW : 5.30 % |
| BNS.PR.Z | FixedReset Bank Non | -1.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.71 Bid-YTW : 4.50 % |
| IFC.PR.E | Deemed-Retractible | 1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 5.91 % |
| BIP.PR.F | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 6.28 % |
| CM.PR.P | FixedReset Disc | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 16.52 Evaluated at bid price : 16.52 Bid-YTW : 5.73 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| HSE.PR.A | FixedReset Disc | 117,840 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 12.30 Evaluated at bid price : 12.30 Bid-YTW : 6.46 % |
| BMO.PR.T | FixedReset Disc | 95,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 16.92 Evaluated at bid price : 16.92 Bid-YTW : 5.57 % |
| HSE.PR.C | FixedReset Disc | 57,155 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 6.61 % |
| RY.PR.J | FixedReset Disc | 53,816 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 5.54 % |
| RY.PR.S | FixedReset Disc | 51,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 5.00 % |
| RY.PR.M | FixedReset Disc | 51,105 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-31 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 5.47 % |
| There were 49 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| HSE.PR.A | FixedReset Disc | Quote: 12.30 – 12.84 Spot Rate : 0.5400 Average : 0.3356 YTW SCENARIO |
| HSE.PR.C | FixedReset Disc | Quote: 17.85 – 18.27 Spot Rate : 0.4200 Average : 0.2404 YTW SCENARIO |
| CM.PR.Q | FixedReset Disc | Quote: 18.86 – 19.36 Spot Rate : 0.5000 Average : 0.3214 YTW SCENARIO |
| CU.PR.E | Perpetual-Discount | Quote: 22.27 – 22.76 Spot Rate : 0.4900 Average : 0.3290 YTW SCENARIO |
| TRP.PR.G | FixedReset Disc | Quote: 18.32 – 18.70 Spot Rate : 0.3800 Average : 0.2259 YTW SCENARIO |
| IAF.PR.I | FixedReset Ins Non | Quote: 20.90 – 21.35 Spot Rate : 0.4500 Average : 0.3057 YTW SCENARIO |
Hi James,
Just out of interest, your YTW calculations today are based on what value of GoC5yr? The values have changed so much this week, that, for the same bid value, the YTW of a low-spread issue like TRP.PR.B could be very sensitive to the precise value chosen.
At the risk of being called a lunatic, when evaluating the rate resets, I do my calculations with GOC 5 year set to zero. It’s a radical proposition, but 30 year GOC yields 1.77% today.
Japan has been there for many years and so has Europe. If GOC 5 year falls close to zero, nothing devastating would happen. No catastrophes will unfold. More printing by Central banks and more deficit spending by the governments.
I was reading the other day that Denmark has negative mortgage rates.
https://www.bloomberg.com/news/articles/2019-05-23/bankers-stunned-as-negative-rates-sweep-across-danish-mortgages
An agile investor should be prepared for a low rate multi-year possibility, just like he is for a high-rate/inflation possibility.
Just a charming thought for Friday night!
Just out of interest, your YTW calculations today are based on what value of GoC5yr?
This week I used 1.50%. It was a pretty good figure until Friday!
Normally I set the rate for the week on Monday morning or – when applicable – on the Friday that commences PrefLetter weekend, so the numbers used in the newsletter will be as accurate as possible.
There have been a couple of times I’ve updated the system mid-week due to large moves, but I’ve found that the relative value analysis that I do via HIMIPref™ is not as sensitive to changes in the five-year rate as one might think.
At the risk of being called a lunatic, when evaluating the rate resets, I do my calculations with GOC 5 year set to zero.
I can see using zero as a measure of downside risk, although using it as the central assumption seems pretty extreme. But to each his own.
As implied above, the critical thing for relative value analysis is to use the same number consistently throughout the universe examined. Once you do that you’re more than halfway home, almost irrespective of the actual number used.
heh, well even at the assumption of a 0 five years some of these issues are still decent. TRP.PR.B is at less than half its price. That makes its base dividend 2.5% at the extreme 0% assumption(and I bet 2.5% will sound very juicy in that world anyway) the downside is becoming very limited on some of these issues while the upside of at least 1.3% interest rate looks very good, and anything above 1.3 will make these issues in the future rock stars…
heh, well even at the assumption of a 0 five years some of these issues are still decent.
I don’t know the precise mechanics of skeptical‘s calculation, but I use the FixedReset Yield Calculator described at What is the Yield of HSE.PR.A?.
In that implementation, you only input one rate for the GOC-5 yield and that applies forever and ever, amen.
I can see – if I squint – implementing something whereby one rate would be used to calculate resets for the next X years and a different rate would used to calculate later resets, but assuming that rates will be zero until the end of time seems very aggressive to me, given the Central Banks’ success at keeping inflation in the 2% range.
I don’t know the precise mechanics of skeptical‘s calculation, but I use the FixedReset Yield Calculator described at What is the Yield of HSE.PR.A?.
I just assume GOC 5 year to be zero forever. I know it’s likely to be false over the long term, but if we make a purchase with this assumption, there will be a huge margin of safety to the investor.
There are blue chips available today that are trading a good 20 to 30% below par and will yield over 4% even at zero interest rate.
So your call risk is mitigated by the baked in capital gains and deflation risk is addressed by a huge effective spread.
That is a stellar investment opportunity IMHO that nobody on Bay Street would willingly give to investors.