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TXPR closed at 533.89, down 0.58% on the day. Volume today was 1.89-million, near the median of the past thirty days.
CPD closed at 10.68, down 0.65% on the day. Volume was 66,270, low in the context of the past 30 trading days.
ZPR closed at 8.37, down 0.48% on the day. Volume of 161,796 was very low in the context of the past 30 trading days.
Five-year Canada yields were down 2bp at 0.38% today.
Markets got whacked today, which was attributed to renewed coronavirus fears:
Wall Street’s three major indexes suffered their biggest daily percentage drop in almost two weeks on Wednesday as a surge in U.S. coronavirus cases intensified fears of another round of government lockdowns and worsening economic damage.
The TSX also closed lower, led by a 3.84% decline in the energy sector, with investors largely shrugging off a downgrade of Canada’s debt rating by Fitch Ratings.
…
The United States has recorded the second-largest rise in infections since the health crisis began, with a flare-up of cases in states where restrictions meant to contain the disease were lifted early.Highlighting the seriousness of the resurgence in cases for many investors, the governors of New York, New Jersey and Connecticut announced that visitors from states with high coronavirus infection rates must self-quarantine for 14 days on arrival.
And, as noted above, Fitch downgraded Canada:
Fitch Ratings has downgraded Canada’s triple-A credit rating to double-A-plus in light of “much expanded” 2020 deficits due to billions in emergency spending during the novel coronavirus pandemic.
The decision reflects growing public debt at both the federal and provincial levels.
…
“The rating downgrade reflects the deterioration of Canada’s public finances in 2020 resulting from the coronavirus pandemic,” the agency stated. Wednesday’s announcement says Canada’s rating outlook is stable.Fitch expects the coronavirus response to raise Canada’s consolidated gross general government debt to 115.1 per cent of GDP, up from 88.3 per cent of GDP in 2019.
“Canada has a track record of fiscal adjustment during the 1990s. However, the structure of Canada’s decentralized fiscal framework increases the complexity of any fiscal adjustment,” the agency said. “The pandemic has caused several provinces to pause deficit-reduction plans, and some premiers have urged greater direct federal financial support to the provinces.”
“Federal borrowing for crown corporations also increases debt,” Fitch said. “The federal minority Liberal government, which was returned to office in October 2019, has already loosened fiscal policy relative to the first term and postponed a pledge to stabilize net federal government debt in order to address the priorities of allied minority parties.”
PerpetualDiscounts now yield 5.71%, equivalent to 7.42% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.00%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 440bp from the 435bp reported June 17.
| 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 | 1.0920 % | 1,480.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.0920 % | 2,717.0 |
| Floater | 5.29 % | 5.61 % | 47,594 | 14.50 | 4 | 1.0920 % | 1,565.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0230 % | 3,438.1 |
| SplitShare | 4.89 % | 5.10 % | 67,614 | 3.82 | 7 | -0.0230 % | 4,105.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0230 % | 3,203.5 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3932 % | 3,030.2 |
| Perpetual-Discount | 5.57 % | 5.71 % | 80,010 | 14.30 | 35 | -0.3932 % | 3,250.2 |
| FixedReset Disc | 6.22 % | 5.10 % | 151,456 | 14.92 | 83 | -0.4898 % | 1,838.1 |
| Deemed-Retractible | 5.33 % | 5.61 % | 91,011 | 14.41 | 27 | -0.3355 % | 3,213.3 |
| FloatingReset | 5.00 % | 5.02 % | 44,138 | 15.48 | 3 | -2.0301 % | 1,762.4 |
| FixedReset Prem | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4898 % | 2,542.0 |
| FixedReset Bank Non | 1.98 % | 3.45 % | 130,290 | 1.56 | 2 | -0.1226 % | 2,785.0 |
| FixedReset Ins Non | 6.47 % | 5.16 % | 122,436 | 14.88 | 22 | -1.0562 % | 1,848.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.G | FixedReset Ins Non | -3.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 5.29 % |
| CCS.PR.C | Deemed-Retractible | -3.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 21.44 Evaluated at bid price : 21.70 Bid-YTW : 5.78 % |
| BAM.PR.T | FixedReset Disc | -3.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 11.67 Evaluated at bid price : 11.67 Bid-YTW : 5.96 % |
| BAM.PR.Z | FixedReset Disc | -2.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 15.18 Evaluated at bid price : 15.18 Bid-YTW : 5.88 % |
| SLF.PR.J | FloatingReset | -2.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 9.00 Evaluated at bid price : 9.00 Bid-YTW : 4.48 % |
| MFC.PR.H | FixedReset Ins Non | -2.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 5.16 % |
| RY.PR.M | FixedReset Disc | -2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 4.77 % |
| SLF.PR.G | FixedReset Ins Non | -2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 9.21 Evaluated at bid price : 9.21 Bid-YTW : 4.83 % |
| RY.PR.J | FixedReset Disc | -2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 16.36 Evaluated at bid price : 16.36 Bid-YTW : 4.83 % |
| MFC.PR.K | FixedReset Ins Non | -2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 14.33 Evaluated at bid price : 14.33 Bid-YTW : 5.11 % |
| TD.PF.D | FixedReset Disc | -2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 16.25 Evaluated at bid price : 16.25 Bid-YTW : 4.94 % |
| BAM.PF.G | FixedReset Disc | -2.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 13.80 Evaluated at bid price : 13.80 Bid-YTW : 5.84 % |
| BIP.PR.E | FixedReset Disc | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.14 % |
| EML.PR.A | FixedReset Ins Non | -2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 22.98 Evaluated at bid price : 23.60 Bid-YTW : 5.66 % |
| TRP.PR.F | FloatingReset | -1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 9.67 Evaluated at bid price : 9.67 Bid-YTW : 5.49 % |
| PWF.PR.T | FixedReset Disc | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 14.65 Evaluated at bid price : 14.65 Bid-YTW : 5.32 % |
| SLF.PR.I | FixedReset Ins Non | -1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.96 % |
| BAM.PF.E | FixedReset Disc | -1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 13.35 Evaluated at bid price : 13.35 Bid-YTW : 5.85 % |
| HSE.PR.G | FixedReset Disc | -1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 10.70 Evaluated at bid price : 10.70 Bid-YTW : 9.15 % |
| BAM.PR.N | Perpetual-Discount | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 5.66 % |
| BMO.PR.S | FixedReset Disc | -1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 15.08 Evaluated at bid price : 15.08 Bid-YTW : 4.94 % |
| HSE.PR.E | FixedReset Disc | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 11.55 Evaluated at bid price : 11.55 Bid-YTW : 9.13 % |
| BAM.PR.M | Perpetual-Discount | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 5.62 % |
| IFC.PR.G | FixedReset Ins Non | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 5.37 % |
| BMO.PR.Y | FixedReset Disc | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 15.99 Evaluated at bid price : 15.99 Bid-YTW : 4.85 % |
| HSE.PR.A | FixedReset Disc | -1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 6.20 Evaluated at bid price : 6.20 Bid-YTW : 8.59 % |
| MFC.PR.F | FixedReset Ins Non | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 9.35 Evaluated at bid price : 9.35 Bid-YTW : 4.82 % |
| IFC.PR.C | FixedReset Ins Non | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 14.10 Evaluated at bid price : 14.10 Bid-YTW : 5.42 % |
| TRP.PR.H | FloatingReset | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 7.39 Evaluated at bid price : 7.39 Bid-YTW : 5.02 % |
| CM.PR.O | FixedReset Disc | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 14.21 Evaluated at bid price : 14.21 Bid-YTW : 5.26 % |
| BAM.PF.B | FixedReset Disc | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 14.30 Evaluated at bid price : 14.30 Bid-YTW : 5.87 % |
| RY.PR.Z | FixedReset Disc | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 4.71 % |
| HSE.PR.C | FixedReset Disc | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 10.80 Evaluated at bid price : 10.80 Bid-YTW : 9.16 % |
| MFC.PR.M | FixedReset Ins Non | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 5.05 % |
| NA.PR.S | FixedReset Disc | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 5.10 % |
| TD.PF.B | FixedReset Disc | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 4.80 % |
| BMO.PR.T | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 14.61 Evaluated at bid price : 14.61 Bid-YTW : 4.91 % |
| BAM.PR.R | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 11.55 Evaluated at bid price : 11.55 Bid-YTW : 5.83 % |
| IFC.PR.F | Deemed-Retractible | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 22.92 Evaluated at bid price : 23.25 Bid-YTW : 5.71 % |
| RY.PR.H | FixedReset Disc | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 4.65 % |
| BNS.PR.H | FixedReset Disc | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 22.99 Evaluated at bid price : 23.40 Bid-YTW : 4.95 % |
| IFC.PR.I | Perpetual-Discount | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 23.30 Evaluated at bid price : 23.60 Bid-YTW : 5.74 % |
| BMO.PR.C | FixedReset Disc | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.03 % |
| TD.PF.I | FixedReset Disc | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 18.37 Evaluated at bid price : 18.37 Bid-YTW : 4.89 % |
| PWF.PR.P | FixedReset Disc | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 9.40 Evaluated at bid price : 9.40 Bid-YTW : 5.35 % |
| BAM.PF.D | Perpetual-Discount | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 21.97 Evaluated at bid price : 21.97 Bid-YTW : 5.61 % |
| BAM.PF.J | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 22.65 Evaluated at bid price : 23.25 Bid-YTW : 5.10 % |
| IAF.PR.B | Deemed-Retractible | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 21.42 Evaluated at bid price : 21.42 Bid-YTW : 5.40 % |
| IAF.PR.I | FixedReset Ins Non | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 17.17 Evaluated at bid price : 17.17 Bid-YTW : 4.96 % |
| IFC.PR.E | Deemed-Retractible | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 22.67 Evaluated at bid price : 22.99 Bid-YTW : 5.67 % |
| CU.PR.I | FixedReset Disc | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 23.54 Evaluated at bid price : 24.32 Bid-YTW : 4.62 % |
| GWO.PR.Q | Deemed-Retractible | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 22.51 Evaluated at bid price : 22.77 Bid-YTW : 5.67 % |
| NA.PR.C | FixedReset Disc | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 5.07 % |
| TD.PF.M | FixedReset Disc | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 21.72 Evaluated at bid price : 22.05 Bid-YTW : 4.82 % |
| BIK.PR.A | FixedReset Disc | 1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 22.83 Evaluated at bid price : 23.90 Bid-YTW : 6.10 % |
| PWF.PR.A | Floater | 2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 9.49 Evaluated at bid price : 9.49 Bid-YTW : 4.57 % |
| IFC.PR.A | FixedReset Ins Non | 3.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 11.36 Evaluated at bid price : 11.36 Bid-YTW : 5.05 % |
| TD.PF.J | FixedReset Disc | 4.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 4.78 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.C | Deemed-Retractible | 98,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 5.34 % |
| PWF.PR.Z | Perpetual-Discount | 63,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 22.27 Evaluated at bid price : 22.66 Bid-YTW : 5.76 % |
| W.PR.K | FixedReset Disc | 63,223 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 24.04 Evaluated at bid price : 24.65 Bid-YTW : 5.40 % |
| CM.PR.Q | FixedReset Disc | 43,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 5.23 % |
| MFC.PR.H | FixedReset Ins Non | 42,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 5.16 % |
| TD.PF.I | FixedReset Disc | 41,950 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-06-24 Maturity Price : 18.37 Evaluated at bid price : 18.37 Bid-YTW : 4.89 % |
| There were 24 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CCS.PR.C | Deemed-Retractible | Quote: 21.70 – 23.00 Spot Rate : 1.3000 Average : 0.8933 YTW SCENARIO |
| MFC.PR.G | FixedReset Ins Non | Quote: 15.75 – 16.64 Spot Rate : 0.8900 Average : 0.6556 YTW SCENARIO |
| BMO.PR.C | FixedReset Disc | Quote: 19.00 – 19.65 Spot Rate : 0.6500 Average : 0.4603 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 13.21 – 14.74 Spot Rate : 1.5300 Average : 1.3410 YTW SCENARIO |
| SLF.PR.J | FloatingReset | Quote: 9.00 – 9.70 Spot Rate : 0.7000 Average : 0.5153 YTW SCENARIO |
| BAM.PF.A | FixedReset Disc | Quote: 16.00 – 16.50 Spot Rate : 0.5000 Average : 0.3367 YTW SCENARIO |
Does anyone have an explanation for the recent underperformance of the GWO issues? GWO.PR.I closed today at $20.02, while MFC.PR.C finished at $21.30; both pay an annual dividend of 4.5%. GWO.PR.R closed at $21.44 and SLF.PR.B at $22.99; the dividend for these two issues being 4.8%.
I do not why but it has been like this for a while. Back in March I bought MFC.PR.C with a yield of 7.85% and GWO.PR.G with an yield of 8.17%. Today I have a (paper) gain of +49% for MFC and only 42% for GWO.
If you put all 4 issues on a 6-month and 1-year chart, you will see that the trajectory of all four issues is very similar until, beginning in the second half of March and into April, the GWL perpetuals de-couple from the MFC and SLF counterparts, and the latter pursue a comparatively better trajectory. The spread becomes even more pronounced by the end of April.
I think it is much too early to tell whether this amounts to some sort of lasting shift, or whether the correlations will come back in due course. It strikes me as a market sentiment kind of shift. Your guess is as good as mine, but James may have an opinion in Prefletter, that is, if you subscribe. :-).
I have positions in all of the above.
Does anyone have an explanation for the recent underperformance of the GWO issues?
I suspect that this might be a version of the problem that usually affects BAM issues (and probably ENB as well) … there is simply more availability than demand.
Some players have been overweight Straight Perpetuals for years; others are only just beginning to load up. And the POW/PWF issues comprise 46% of the HIMIPref™ PerpetualDiscount sub-index, while GWO comprises 40.6% of the DeemedRetractible sub-index.
What that may mean – and I am merely speculating here – is that there may be players who simply can’t buy any more of the GWO/PWF/POW complex without breaching their concentration limits. So they get cheap.
The GWO/PWF/POW complex also comprises 43.5% of the Straight Perpetual component of the BMO-CM 50 index.