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TXPR closed at 644.34, down 2.61% on the day. Volume today was 2.87-million, second only to March 31 in the past 21 trading days, which shows just how anemic trade has been lately.
CPD closed at 12.84, down 1.53% on the day. Volume was 261,300, second only to March 22 in the past 21 trading days.
ZPR closed at 10.74, down 1.47% on the day. Volume of 791,770 was the highest of the past 20 trading days.
Five-year Canada yields were up 2bp to 2.54% today.
I am at a loss to explain this collapse, which is affecting FixedReset Discounts in the same mannner as PerpetualDiscounts. Rising rates have been fingered in the comments as the culprit, but we blamed declining rates for the awful period of late 2018 to early 2020. We can’t have it both ways, can we?
But Holy Smokes, you can now get about 5.50% on investment-grade FixedReset Discounts (admittedly on what seem to be very poor quality quotes). It’s true that the 5.50% figure depends on five-year bonds remaining at current levels in the 2.50% area forever, but frankly that isn’t an assumption that bothers me too much. Have people forgotten that FixedResets are so-called because they Reset?
It is interesting, however, that the Median YTW of the PerpetualDiscount and FixedReset Discount subindices remain very close to each other, a phenomenon briefly discussed in the post MAPF Performance: March 20022. It would be rational to expect that the yield on FixedReset Discounts would move in accordance with the GOC-5 yield, without prices moving too much, while the yield on PerpetualDiscounts would move in lockstep with prices moving a lot … but we haven’t actually observed this behaviour yet!
Another possibility is that investors are assuming that the BoC is so far behind the inflation curve that it will never catch up; therefore they are marking down FixedReset Discount prices in order to boost their real yield from recent levels. That seems credible in light of the recent jump in long-term real yields, but we’re not seeing much of that mindset in long-term nominal yields.
The federal budget came out today, much as expected – everything was pretty well telegraphed. The only significant new taxes were:
The planned bank tax has been altered from the initial proposal outlined in the Liberal Party’s 2021 election platform. Rather than a three percentage point surtax on earnings over $1-billion, the budget announces a 1.5 percentage point increase on taxable income over $100-million. That brings the tax rate on those earnings from 15 per cent to 16.5 per cent.
While that tax increase will be permanent, the budget also includes a temporary Canada Recovery Dividend, in the form of a one time 15 per cent tax on taxable income for the 2021 tax year, payable over five years. The two budgeted tax hikes are projected to bring in a little over $6-billion, down from the roughly $11-billion estimated in the Liberal platform.
Nice to see that the tax man is sticking it to the common shareholders and leaving us coupon-clippers alone!
| 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 | 3.37 % | 3.97 % | 25,497 | 19.36 | 1 | -1.5633 % | 2,691.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -2.8462 % | 5,060.7 |
| Floater | 3.40 % | 3.41 % | 41,276 | 18.76 | 4 | -2.8462 % | 2,916.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1258 % | 3,628.7 |
| SplitShare | 4.63 % | 4.45 % | 51,446 | 3.52 | 6 | 0.1258 % | 4,333.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1258 % | 3,381.1 |
| Perpetual-Premium | 5.53 % | 5.28 % | 60,749 | 14.45 | 16 | -2.1305 % | 3,088.3 |
| Perpetual-Discount | 5.54 % | 5.48 % | 57,912 | 14.71 | 18 | -4.0787 % | 3,350.5 |
| FixedReset Disc | 4.41 % | 5.46 % | 135,883 | 14.99 | 49 | -3.1814 % | 2,605.1 |
| Insurance Straight | 5.43 % | 5.46 % | 87,652 | 14.72 | 20 | -1.2074 % | 3,300.8 |
| FloatingReset | 3.40 % | 3.71 % | 52,202 | 18.08 | 2 | -2.8201 % | 2,741.0 |
| FixedReset Prem | 4.88 % | 4.98 % | 146,630 | 2.00 | 19 | -1.3865 % | 2,641.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -3.1814 % | 2,663.0 |
| FixedReset Ins Non | 4.45 % | 5.48 % | 85,303 | 14.71 | 15 | -3.3773 % | 2,698.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PF.A | Perpetual-Discount | -32.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 7.53 % |
| MFC.PR.Q | FixedReset Ins Non | -7.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.75 Evaluated at bid price : 22.21 Bid-YTW : 5.66 % |
| BNS.PR.I | FixedReset Disc | -7.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 22.64 Evaluated at bid price : 23.00 Bid-YTW : 5.31 % |
| PWF.PR.T | FixedReset Disc | -6.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.23 Evaluated at bid price : 21.23 Bid-YTW : 5.63 % |
| MFC.PR.N | FixedReset Ins Non | -6.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 5.82 % |
| FTS.PR.H | FixedReset Disc | -6.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 5.94 % |
| PWF.PR.A | Floater | -5.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 14.30 Evaluated at bid price : 14.30 Bid-YTW : 3.33 % |
| IFC.PR.A | FixedReset Ins Non | -5.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 18.36 Evaluated at bid price : 18.36 Bid-YTW : 5.72 % |
| PWF.PR.Z | Perpetual-Premium | -5.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 22.34 Evaluated at bid price : 22.66 Bid-YTW : 5.68 % |
| BMO.PR.T | FixedReset Disc | -5.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.50 % |
| BAM.PF.C | Perpetual-Discount | -4.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.82 % |
| BAM.PR.X | FixedReset Disc | -4.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 6.14 % |
| GWO.PR.N | FixedReset Ins Non | -4.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 5.46 % |
| IAF.PR.I | FixedReset Ins Non | -4.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.19 Evaluated at bid price : 23.75 Bid-YTW : 5.48 % |
| BAM.PF.G | FixedReset Disc | -4.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.90 % |
| TRP.PR.C | FixedReset Disc | -4.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 13.92 Evaluated at bid price : 13.92 Bid-YTW : 6.35 % |
| MFC.PR.J | FixedReset Ins Non | -4.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 22.65 Evaluated at bid price : 23.20 Bid-YTW : 5.48 % |
| PWF.PR.S | Perpetual-Discount | -4.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.65 Evaluated at bid price : 21.90 Bid-YTW : 5.48 % |
| TD.PF.D | FixedReset Disc | -4.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.73 Evaluated at bid price : 22.00 Bid-YTW : 5.50 % |
| BMO.PR.Y | FixedReset Disc | -4.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.73 Evaluated at bid price : 22.01 Bid-YTW : 5.46 % |
| FTS.PR.K | FixedReset Disc | -4.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 19.53 Evaluated at bid price : 19.53 Bid-YTW : 5.78 % |
| BAM.PF.E | FixedReset Disc | -4.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 19.54 Evaluated at bid price : 19.54 Bid-YTW : 6.14 % |
| MFC.PR.M | FixedReset Ins Non | -4.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 5.80 % |
| BAM.PF.I | FixedReset Prem | -4.06 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 4.98 % |
| GWO.PR.P | Insurance Straight | -3.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.64 Evaluated at bid price : 23.91 Bid-YTW : 5.68 % |
| FTS.PR.J | Perpetual-Discount | -3.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 22.05 Evaluated at bid price : 22.28 Bid-YTW : 5.39 % |
| BAM.PR.Z | FixedReset Disc | -3.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 22.99 Evaluated at bid price : 23.64 Bid-YTW : 5.73 % |
| PWF.PR.L | Perpetual-Discount | -3.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 22.60 Evaluated at bid price : 22.85 Bid-YTW : 5.58 % |
| BAM.PF.B | FixedReset Disc | -3.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.31 Evaluated at bid price : 21.31 Bid-YTW : 5.94 % |
| BAM.PF.H | FixedReset Prem | -3.78 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.21 Bid-YTW : 4.80 % |
| FTS.PR.G | FixedReset Disc | -3.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 5.64 % |
| MFC.PR.F | FixedReset Ins Non | -3.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 16.38 Evaluated at bid price : 16.38 Bid-YTW : 5.41 % |
| BAM.PR.B | Floater | -3.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 13.56 Evaluated at bid price : 13.56 Bid-YTW : 3.50 % |
| RY.PR.Z | FixedReset Disc | -3.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.31 Evaluated at bid price : 21.61 Bid-YTW : 5.33 % |
| TRP.PR.E | FixedReset Disc | -3.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 18.71 Evaluated at bid price : 18.71 Bid-YTW : 6.24 % |
| FTS.PR.F | Perpetual-Discount | -3.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 22.88 Evaluated at bid price : 23.15 Bid-YTW : 5.35 % |
| GWO.PR.G | Insurance Straight | -3.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 22.89 Evaluated at bid price : 23.16 Bid-YTW : 5.64 % |
| RY.PR.S | FixedReset Disc | -3.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.44 Evaluated at bid price : 23.79 Bid-YTW : 5.14 % |
| TRP.PR.D | FixedReset Disc | -3.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 19.21 Evaluated at bid price : 19.21 Bid-YTW : 6.18 % |
| GWO.PR.S | Insurance Straight | -3.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.59 Evaluated at bid price : 23.85 Bid-YTW : 5.53 % |
| SLF.PR.J | FloatingReset | -3.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 3.10 % |
| GWO.PR.R | Insurance Straight | -3.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.83 Evaluated at bid price : 22.07 Bid-YTW : 5.47 % |
| TRP.PR.A | FixedReset Disc | -3.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 6.21 % |
| BAM.PF.A | FixedReset Disc | -3.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.04 Evaluated at bid price : 23.47 Bid-YTW : 5.72 % |
| RY.PR.J | FixedReset Disc | -3.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.95 Evaluated at bid price : 22.29 Bid-YTW : 5.48 % |
| GWO.PR.H | Insurance Straight | -3.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.81 Evaluated at bid price : 22.05 Bid-YTW : 5.53 % |
| POW.PR.D | Perpetual-Discount | -3.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 5.45 % |
| IFC.PR.F | Insurance Straight | -3.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.76 Evaluated at bid price : 24.25 Bid-YTW : 5.48 % |
| CM.PR.Y | FixedReset Prem | -2.98 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.03 Bid-YTW : 4.99 % |
| BAM.PR.T | FixedReset Disc | -2.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 5.79 % |
| GWO.PR.Y | Insurance Straight | -2.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.06 Evaluated at bid price : 21.06 Bid-YTW : 5.38 % |
| SLF.PR.H | FixedReset Ins Non | -2.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 20.28 Evaluated at bid price : 20.28 Bid-YTW : 5.24 % |
| BMO.PR.S | FixedReset Disc | -2.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.70 Evaluated at bid price : 22.15 Bid-YTW : 5.33 % |
| BAM.PR.N | Perpetual-Discount | -2.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 5.72 % |
| FTS.PR.M | FixedReset Disc | -2.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.83 % |
| PWF.PR.R | Perpetual-Premium | -2.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 24.03 Evaluated at bid price : 24.28 Bid-YTW : 5.66 % |
| CM.PR.S | FixedReset Disc | -2.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 22.83 Evaluated at bid price : 23.44 Bid-YTW : 5.20 % |
| CU.PR.H | Perpetual-Premium | -2.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 24.03 Evaluated at bid price : 24.37 Bid-YTW : 5.44 % |
| BAM.PR.M | Perpetual-Discount | -2.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.62 % |
| IFC.PR.C | FixedReset Disc | -2.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.53 % |
| BAM.PR.R | FixedReset Disc | -2.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 5.93 % |
| TD.PF.C | FixedReset Disc | -2.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 5.37 % |
| RY.PR.M | FixedReset Disc | -2.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.38 Evaluated at bid price : 21.70 Bid-YTW : 5.41 % |
| BAM.PF.D | Perpetual-Discount | -2.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.34 Evaluated at bid price : 21.61 Bid-YTW : 5.70 % |
| TD.PF.B | FixedReset Disc | -2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 5.39 % |
| RY.PR.N | Perpetual-Premium | -2.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.73 Evaluated at bid price : 24.25 Bid-YTW : 5.09 % |
| RY.PR.O | Perpetual-Premium | -2.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.73 Evaluated at bid price : 24.25 Bid-YTW : 5.09 % |
| GWO.PR.I | Insurance Straight | -2.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 20.94 Evaluated at bid price : 20.94 Bid-YTW : 5.41 % |
| TRP.PR.G | FixedReset Disc | -2.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.42 Evaluated at bid price : 21.75 Bid-YTW : 5.74 % |
| CM.PR.O | FixedReset Disc | -2.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.44 Evaluated at bid price : 21.44 Bid-YTW : 5.42 % |
| BAM.PF.F | FixedReset Disc | -2.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.54 Evaluated at bid price : 21.93 Bid-YTW : 5.88 % |
| TD.PF.A | FixedReset Disc | -2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.28 Evaluated at bid price : 21.28 Bid-YTW : 5.35 % |
| PWF.PR.F | Perpetual-Premium | -2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 5.47 % |
| CU.PR.E | Perpetual-Discount | -2.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 22.49 Evaluated at bid price : 22.75 Bid-YTW : 5.44 % |
| TRP.PR.F | FloatingReset | -2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 17.27 Evaluated at bid price : 17.27 Bid-YTW : 3.71 % |
| PWF.PR.K | Perpetual-Discount | -2.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 22.31 Evaluated at bid price : 22.58 Bid-YTW : 5.48 % |
| TRP.PR.B | FixedReset Disc | -2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 13.14 Evaluated at bid price : 13.14 Bid-YTW : 6.40 % |
| CM.PR.P | FixedReset Disc | -2.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.30 Evaluated at bid price : 21.60 Bid-YTW : 5.29 % |
| TD.PF.J | FixedReset Disc | -2.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.30 Evaluated at bid price : 23.83 Bid-YTW : 5.38 % |
| NA.PR.E | FixedReset Disc | -2.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.00 Evaluated at bid price : 23.53 Bid-YTW : 5.31 % |
| BMO.PR.F | FixedReset Prem | -2.14 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 5.22 % |
| BMO.PR.E | FixedReset Disc | -2.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.68 Evaluated at bid price : 24.06 Bid-YTW : 5.38 % |
| NA.PR.G | FixedReset Prem | -2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.66 Evaluated at bid price : 24.04 Bid-YTW : 5.40 % |
| POW.PR.B | Perpetual-Premium | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 5.59 % |
| CU.PR.J | Perpetual-Discount | -2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.78 Evaluated at bid price : 22.10 Bid-YTW : 5.43 % |
| TD.PF.K | FixedReset Disc | -1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.18 Evaluated at bid price : 23.60 Bid-YTW : 5.32 % |
| NA.PR.S | FixedReset Disc | -1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 22.10 Evaluated at bid price : 22.35 Bid-YTW : 5.32 % |
| MFC.PR.L | FixedReset Ins Non | -1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 5.54 % |
| CM.PR.T | FixedReset Prem | -1.88 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 4.97 % |
| SLF.PR.G | FixedReset Ins Non | -1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 5.54 % |
| CM.PR.Q | FixedReset Disc | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 22.15 Evaluated at bid price : 22.60 Bid-YTW : 5.34 % |
| POW.PR.G | Perpetual-Premium | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 24.49 Evaluated at bid price : 24.72 Bid-YTW : 5.68 % |
| MFC.PR.I | FixedReset Ins Non | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.82 Evaluated at bid price : 24.54 Bid-YTW : 5.43 % |
| BIP.PR.A | FixedReset Disc | -1.67 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-06-30 Maturity Price : 25.00 Evaluated at bid price : 23.60 Bid-YTW : 5.96 % |
| BAM.PF.J | FixedReset Prem | -1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 24.19 Evaluated at bid price : 24.70 Bid-YTW : 5.63 % |
| PWF.PR.P | FixedReset Disc | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 15.72 Evaluated at bid price : 15.72 Bid-YTW : 5.71 % |
| BAM.PR.E | Ratchet | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 25.00 Evaluated at bid price : 18.89 Bid-YTW : 3.97 % |
| TD.PF.L | FixedReset Prem | -1.50 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.06 % |
| IFC.PR.E | Insurance Straight | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.65 Evaluated at bid price : 23.92 Bid-YTW : 5.46 % |
| IFC.PR.G | FixedReset Ins Non | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 22.55 Evaluated at bid price : 23.01 Bid-YTW : 5.46 % |
| MFC.PR.C | Insurance Straight | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 5.36 % |
| ELF.PR.F | Perpetual-Discount | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.41 Evaluated at bid price : 23.70 Bid-YTW : 5.60 % |
| SLF.PR.D | Insurance Straight | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 5.31 % |
| CU.PR.C | FixedReset Disc | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.97 Evaluated at bid price : 22.50 Bid-YTW : 5.45 % |
| MFC.PR.B | Insurance Straight | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.46 % |
| IAF.PR.G | FixedReset Ins Non | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.67 Evaluated at bid price : 24.60 Bid-YTW : 5.40 % |
| BAM.PR.C | Floater | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 13.86 Evaluated at bid price : 13.86 Bid-YTW : 3.43 % |
| CU.PR.D | Perpetual-Discount | 2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 22.28 Evaluated at bid price : 22.55 Bid-YTW : 5.49 % |
| CU.PR.F | Perpetual-Discount | 3.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.38 Evaluated at bid price : 21.65 Bid-YTW : 5.25 % |
| GWO.PR.Q | Insurance Straight | 11.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 23.20 Evaluated at bid price : 23.50 Bid-YTW : 5.51 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.R | FixedReset Prem | 151,600 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.99 Bid-YTW : 3.75 % |
| TRP.PR.K | FixedReset Prem | 120,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.22 Bid-YTW : 2.60 % |
| EMA.PR.L | Perpetual-Discount | 38,166 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.46 Evaluated at bid price : 21.46 Bid-YTW : 5.45 % |
| TD.PF.C | FixedReset Disc | 35,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 5.37 % |
| TRP.PR.E | FixedReset Disc | 30,090 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 18.71 Evaluated at bid price : 18.71 Bid-YTW : 6.24 % |
| SLF.PR.G | FixedReset Ins Non | 28,678 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-07 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 5.54 % |
| There were 60 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PF.A | Perpetual-Discount | Quote: 15.00 – 22.54 Spot Rate : 7.5400 Average : 4.1437 YTW SCENARIO |
| BAM.PF.B | FixedReset Disc | Quote: 21.31 – 23.95 Spot Rate : 2.6400 Average : 1.6686 YTW SCENARIO |
| IFC.PR.G | FixedReset Ins Non | Quote: 23.01 – 24.80 Spot Rate : 1.7900 Average : 1.1106 YTW SCENARIO |
| BNS.PR.I | FixedReset Disc | Quote: 23.00 – 24.50 Spot Rate : 1.5000 Average : 0.8427 YTW SCENARIO |
| BAM.PR.K | Floater | Quote: 13.92 – 15.50 Spot Rate : 1.5800 Average : 0.9610 YTW SCENARIO |
| RY.PR.J | FixedReset Disc | Quote: 22.29 – 23.90 Spot Rate : 1.6100 Average : 1.0150 YTW SCENARIO |
A commentary on the role played by ETFs in selling bonds. Our problems in preferreds are exacerbated by the ETFs, IMHO.
https://grahams.substack.com/p/the-problem-with-bonds-d72?utm_source=twitter&s=r
“I am at a loss to explain this collapse, which is affecting FixedReset Discounts in the same mannner as PerpetualDiscounts. Rising rates have been fingered in the comments as the culprit, but we blamed declining rates for the awful period of late 2018 to early 2020. We can’t have it both ways, can we?”
I guess we have a new iron rule of preferred shares–“rate-rest preferreds FALL when interest rates rise!” How long before financial advisors and the financial press start repeating that like they did with the previous “rule” that prefs fall with DECREASING interest rates?? I always thought it was bunk. People just panic sell prefs. They have no idea what they are doing.
I have been buying more prefs. Hard to resist 5% yields in a corporate account unless you want to gamble in the market. Either these are bargains or I am missing something big.
Like buying a 6.5% Bond
Meanwhile bonds of the same entities are yielding half that with no reset chance
Just hard to see the capital go down!
Is there blood yet?
BCE floaters were hammered today. I guess it makes sense since prime rate is expected to go up by .5% next week😜
At one point, my prefs were going down so fast that I tought that in the new budget, the dividend tax credit had been abolished…. I also searched for a downgrade of BCE prefs. I still cannot understand what caused those prefs to go down as much as they did, 5% in some cases…. I will keep clipping my soon to increase coupons…..
Today’s sell-off was extreme but nothing like March 2020 when the Fed cut prime to .25% I sold all my resets at market…at a loss. They just kept going down after. Shockingly Perpetuals got creamed too. I was able to buy RY.N and O for a little over $20 and others!
I watch over a 100 preferred shares but did not see the volumes today that would look like a total capitulation. I sold 75% of my peferred shares…perps and resets in December and January. The action today continued to look terrible! I was back in buying a little today…GWO.PR.P down $1.05 trading 3400 shares yielding 5.64% or a POW.PR.B at 5.58% with 7600 shares traded.
I stand to be corrected but as many well versed posters here have stated it looks like ALL preferred shares get hammered when rates go up {should be perpetuals} but the resets too. Enbridge and BPO preferreds are yielding well over 6% with reset prices above this. Is it because retail investors panic combined with ETF redemption’s?
I try to keep things in perspective. Look back to 2020. I was able to buy RY and TD {called} prefs yielding 6%. I know most here won’t buy unless the investment grade is a 2L or better but as one example I bought LB.H at just over $10 yielding 8% with a reset at 8% with the 5 year BOC bond at .40% was nuts! I sold just under $24.00. Panic in the streets!
To me preferred shares are one of the most misunderstood stocks traded. When everyone is selling at whatever it’s time to start buying a little. It seems the panic is from higher future BOC rates. It’s only .5% now. Even if it went to 2.5% preferreds yielding 5.5% seem stupid cheap! Rates can’t go much higher than 2.5%. We won’t just have a recession but a depression! Don’t forget that our spend like crazy Liberals will have to cover increased interest on the Federal debt. Not to mention a possible melt down in the crazy housing sector.
Sorry for the long post. This is just from experience and frustration.
The $US pay ENB and ALA issues, fixed resets paying between +2.82 to +3.58% on the US5yr bond, closed essentially unchanged today and are untouched by the recent sell off. Anyone want to speculate why?
Us paying preferred issues may not be part of popular ETFs. Hence saved from the wisdom of crowds.
IMO, some of this panic selling can be pinned on the near-religion of mark-to-market and the pervasive idea that the essence of value is what the market will pay. This is amplified by the wealth management industry in that advisors need to explain to their clients why their are portfolios are getting hammered on a quarterly and annual basis. Better to shed assets that may be headed lower in the short term.
The long game is, well, long. Anyone willing to use an intrinsic value lens can getting excited by, not fearful of, recent price decreases.
Good morning all. Well, with the 5 year bond up almost 12bp a/o 9:15am, the theory of the pref price/bond price relationship will be tested once again. Looking across the board, pre market spreads seem to indicate a pause in the carnage . . . with a couple fairly aggressive looking bids. Another indicator, although totally disconnected is the market behaviour in the REITs space. They were hammered yesterday as well, but look to be opening a bit higher this morning. idk; at the end of the day here, I guess it’ll be spreads that determine weather we get a nuke pic tomorrow, or a pot of gold pic instead . . . one thing for sure . . . the assorted media has absolutely everyone believing rates are set to soar, so bonds especially at the long end, have nowhere to go but down. For now, anyway.
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