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TXPR closed at 518.14, down 0.52% on the day. Volume today was 2.08-million, third-lowest of the past thirty days, greater than only April 24 and May 1.
CPD closed at 10.36, down 0.19% on the day. Volume was 87,012, on the low side in the context of the past 30 trading days.
ZPR closed at 8.08, down 0.25% on the day. Volume of 60,799 was by far the lowest of the past 30 trading days, lower than even April 17.
Five-year Canada yields were up 3bp to 0.41% today.
The AIMCo recriminations continue:
The chief executive of Alberta’s flagship fund manager has failed to calm fears among pension clients over what they say is inappropriate risk-taking that resulted in a multibillion-dollar loss on market swings.
The Alberta Investment Management Corp., known as AIMCo, held an online meeting on Thursday to update its clients on the recent performance problems, including what it said was an unanticipated $2.1-billion loss on derivatives – financial contracts that pay off only if stock markets remain stable – due to the impact of COVID-19 on the economy. AIMCo clients include pension plans for 375,000 nurses, 4,000 police officers and other civil servants in the province.
…
An executive of one client said the group expected to be told the individuals responsible for the loss were suspended or fired. Another client said the costly investment strategy appears to be a symptom of deeper cultural problems within the organization related to risk management, and was disappointed that was not discussed during the meeting.
This is illustrative of my thesis that in-house management is the way to go. I’m not sure just how AIMCo’s client list works – are all of its clients there due to legislation or are they voluntary? Either way, they do not seem to be taking the position that they own the problem; the way that Teachers’, for instance, owns the problem if results are poor for a while. Somebody else owns the problems and they’re victims. So they are acting tough and demanding accountability, just the way they learned in business school and, I’ll bet a nickel, doing a little grandstanding to impress their beneficiaries.
The implications of this dynamic are that every portfolio manager now has a role as salesman. There will be tendency for investments not to be selected solely on the basis of how well they might be judged to help achieve portfolio objectives; the portfolio manager also has to consider how well he will be able to justify the position to clients – very few of whom will have any more investment knowledge than any regular retail client – and what the personal consequences might be if such-and-such a position goes bad. And, what’s more, future PMs will be hired with the same considerations in mind.
Nobody ever got fired for buying IBM! Ignorance is Strength! Closet-index the whole position! And so bureaucratic groupthink wins another round and your retirement funds are being managed by guys with deep voices and firm handshakes.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | 0.0628 % | 1,435.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0628 % | 2,634.6 |
| Floater | 5.38 % | 5.60 % | 37,049 | 14.48 | 4 | 0.0628 % | 1,518.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2363 % | 3,312.9 |
| SplitShare | 5.01 % | 5.92 % | 65,682 | 3.90 | 7 | 0.2363 % | 3,956.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2363 % | 3,086.8 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3152 % | 2,883.9 |
| Perpetual-Discount | 5.82 % | 6.01 % | 88,239 | 13.88 | 35 | -0.3152 % | 3,093.3 |
| FixedReset Disc | 6.41 % | 5.28 % | 204,619 | 14.73 | 83 | 0.0402 % | 1,773.1 |
| Deemed-Retractible | 5.62 % | 5.92 % | 95,765 | 13.76 | 27 | -0.2710 % | 3,015.6 |
| FloatingReset | 5.01 % | 4.96 % | 60,026 | 15.56 | 3 | 1.6832 % | 1,761.1 |
| FixedReset Prem | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0402 % | 2,452.2 |
| FixedReset Bank Non | 1.99 % | 3.21 % | 185,459 | 1.70 | 2 | -0.1847 % | 2,772.5 |
| FixedReset Ins Non | 6.68 % | 5.46 % | 128,407 | 14.22 | 22 | -0.2107 % | 1,778.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.X | FixedReset Disc | -9.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 9.25 Evaluated at bid price : 9.25 Bid-YTW : 6.21 % |
| HSE.PR.A | FixedReset Disc | -7.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 5.85 Evaluated at bid price : 5.85 Bid-YTW : 9.33 % |
| TD.PF.E | FixedReset Disc | -6.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 14.32 Evaluated at bid price : 14.32 Bid-YTW : 5.76 % |
| MFC.PR.H | FixedReset Ins Non | -2.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 15.62 Evaluated at bid price : 15.62 Bid-YTW : 5.88 % |
| SLF.PR.A | Deemed-Retractible | -2.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 20.23 Evaluated at bid price : 20.23 Bid-YTW : 5.95 % |
| BAM.PR.T | FixedReset Disc | -2.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 11.65 Evaluated at bid price : 11.65 Bid-YTW : 6.08 % |
| POW.PR.C | Perpetual-Discount | -2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 23.20 Evaluated at bid price : 23.50 Bid-YTW : 6.23 % |
| MFC.PR.K | FixedReset Ins Non | -2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 14.02 Evaluated at bid price : 14.02 Bid-YTW : 5.38 % |
| GWO.PR.F | Deemed-Retractible | -2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 23.96 Evaluated at bid price : 24.21 Bid-YTW : 6.17 % |
| TD.PF.K | FixedReset Disc | -2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.95 % |
| GWO.PR.N | FixedReset Ins Non | -1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 9.10 Evaluated at bid price : 9.10 Bid-YTW : 4.74 % |
| HSE.PR.G | FixedReset Disc | -1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 10.22 Evaluated at bid price : 10.22 Bid-YTW : 9.77 % |
| NA.PR.C | FixedReset Disc | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 5.72 % |
| SLF.PR.G | FixedReset Ins Non | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 9.05 Evaluated at bid price : 9.05 Bid-YTW : 5.03 % |
| TRP.PR.A | FixedReset Disc | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 11.51 Evaluated at bid price : 11.51 Bid-YTW : 5.80 % |
| BIP.PR.A | FixedReset Disc | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 14.03 Evaluated at bid price : 14.03 Bid-YTW : 7.15 % |
| CIU.PR.A | Perpetual-Discount | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 5.72 % |
| GWO.PR.L | Deemed-Retractible | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 23.13 Evaluated at bid price : 23.39 Bid-YTW : 6.11 % |
| GWO.PR.T | Deemed-Retractible | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 6.12 % |
| BMO.PR.S | FixedReset Disc | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 14.61 Evaluated at bid price : 14.61 Bid-YTW : 5.10 % |
| BAM.PF.B | FixedReset Disc | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 5.98 % |
| GWO.PR.P | Deemed-Retractible | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 22.00 Evaluated at bid price : 22.23 Bid-YTW : 6.15 % |
| MFC.PR.C | Deemed-Retractible | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 5.88 % |
| TRP.PR.E | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 13.10 Evaluated at bid price : 13.10 Bid-YTW : 5.79 % |
| SLF.PR.B | Deemed-Retractible | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 20.88 Evaluated at bid price : 20.88 Bid-YTW : 5.83 % |
| CU.PR.F | Perpetual-Discount | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 20.62 Evaluated at bid price : 20.62 Bid-YTW : 5.56 % |
| NA.PR.W | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 14.04 Evaluated at bid price : 14.04 Bid-YTW : 5.30 % |
| GWO.PR.G | Deemed-Retractible | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 21.46 Evaluated at bid price : 21.72 Bid-YTW : 6.06 % |
| CM.PR.Y | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.28 % |
| EIT.PR.A | SplitShare | 1.22 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2024-03-14 Maturity Price : 25.00 Evaluated at bid price : 24.09 Bid-YTW : 6.10 % |
| PWF.PR.G | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 24.21 Evaluated at bid price : 24.50 Bid-YTW : 6.06 % |
| BAM.PF.H | FixedReset Disc | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 23.11 Evaluated at bid price : 23.80 Bid-YTW : 5.28 % |
| TRP.PR.K | FixedReset Disc | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 22.49 Evaluated at bid price : 22.80 Bid-YTW : 5.46 % |
| MFC.PR.R | FixedReset Ins Non | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 5.65 % |
| TRP.PR.C | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 8.24 Evaluated at bid price : 8.24 Bid-YTW : 5.94 % |
| W.PR.K | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 23.29 Evaluated at bid price : 23.95 Bid-YTW : 5.50 % |
| CM.PR.S | FixedReset Disc | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 15.28 Evaluated at bid price : 15.28 Bid-YTW : 5.14 % |
| TD.PF.G | FixedReset Disc | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 24.28 Evaluated at bid price : 24.70 Bid-YTW : 5.15 % |
| TRP.PR.G | FixedReset Disc | 1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 5.96 % |
| HSE.PR.E | FixedReset Disc | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 11.00 Evaluated at bid price : 11.00 Bid-YTW : 9.79 % |
| CU.PR.C | FixedReset Disc | 2.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 15.09 Evaluated at bid price : 15.09 Bid-YTW : 4.83 % |
| TRP.PR.F | FloatingReset | 2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 9.80 Evaluated at bid price : 9.80 Bid-YTW : 5.58 % |
| TRP.PR.H | FloatingReset | 3.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 7.75 Evaluated at bid price : 7.75 Bid-YTW : 4.96 % |
| IAF.PR.B | Deemed-Retractible | 3.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 5.83 % |
| BAM.PF.E | FixedReset Disc | 6.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 13.30 Evaluated at bid price : 13.30 Bid-YTW : 5.97 % |
| NA.PR.A | FixedReset Disc | 6.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 23.02 Evaluated at bid price : 23.50 Bid-YTW : 5.39 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.G | FixedReset Disc | 62,681 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 24.28 Evaluated at bid price : 24.70 Bid-YTW : 5.15 % |
| TD.PF.C | FixedReset Disc | 49,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 15.02 Evaluated at bid price : 15.02 Bid-YTW : 4.98 % |
| CM.PR.Q | FixedReset Disc | 48,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 5.64 % |
| TD.PF.L | FixedReset Disc | 45,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 4.98 % |
| MFC.PR.M | FixedReset Ins Non | 28,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 14.10 Evaluated at bid price : 14.10 Bid-YTW : 5.46 % |
| CM.PR.R | FixedReset Disc | 26,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-05-04 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 5.61 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BNS.PR.I | FixedReset Disc | Quote: 17.78 – 20.30 Spot Rate : 2.5200 Average : 1.4835 YTW SCENARIO |
| TRP.PR.C | FixedReset Disc | Quote: 8.24 – 9.99 Spot Rate : 1.7500 Average : 1.1327 YTW SCENARIO |
| TD.PF.E | FixedReset Disc | Quote: 14.32 – 16.40 Spot Rate : 2.0800 Average : 1.7437 YTW SCENARIO |
| CM.PR.Q | FixedReset Disc | Quote: 14.25 – 15.47 Spot Rate : 1.2200 Average : 0.9148 YTW SCENARIO |
| CU.PR.I | FixedReset Disc | Quote: 24.05 – 24.80 Spot Rate : 0.7500 Average : 0.4452 YTW SCENARIO |
| TRP.PR.B | FixedReset Disc | Quote: 7.39 – 8.25 Spot Rate : 0.8600 Average : 0.6173 YTW SCENARIO |
Or more likely management fees will increase under the “We have this better fund that will protect against xxxxxx”. Clients will simply go for it, even it costs 50basis pts for the rest of the funds life….
So, essentially the days of active management institutionally are now effectively over. That said, I suspect that enterprising portfolio managers will be successful at selling passive management at active fee levels into the foreseeable future when dealing with the hoi polloi.