MAPF Performance: April, 2022

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close April 29, 2022, was $9.3869.

Returns to April 29, 2022
Period MAPF TXPR*
Total Return
CPD – according to Blackrock
One Month -10.63% -7.04% N/A
Three Months -13.45% -9.38% N/A
One Year -0.54% -2.65% -3.13%
Two Years (annualized) +28.11% +14.91% N/A
Three Years (annualized) +8.93% +5.45% +4.84%
Four Years (annualized) +3.10% +2.41% N/A
Five Years (annualized) +5.14% +2.94% +2.37%
Six Years (annualized) +8.31% +5.36% N/A
Seven Years (annualized) +4.23% +2.55% N/A
Eight Years (annualized) +3.68% +1.82% N/A
Nine Years (annualized) +3.42% +1.62% N/A
Ten Years (annualized) +3.97% +1.98% +1.48%
Eleven Years (annualized) +3.97% +2.28%  
Twelve Years (annualized) +5.49% +3.20%  
Thirteen Years (annualized) +7.09% +3.83%  
Fourteen Years (annualized) +7.91% +2.95%  
Fifteen Years (annualized) +7.39%    
Sixteen Years (annualized) +7.34%    
Seventeen Years (annualized) +7.29%    
Eighteen Years (annualized) +7.42%    
Nineteen Years (annualized) +8.30%    
Twenty Years (annualized) +7.96%    
Twenty-One Years (annualized) +8.34%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The BMO Capital Markets “50” Preferred Share Index is no longer being calculated. The final performance report incorporating this venerable index was published as of December, 2020.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are -7.59%, -10.54% and -1.89%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +6.78%; five year is +3.99%; ten year is +2.96%

Figures from Morningstar are no longer conveniently available.

Manulife Preferred Income Class Adv has been terminated by Manulife. The performance of this fund was last reported here in March, 2018.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are -7.54%, -10.19% & -2.14%, respectively. Three year performance is +6.59%, five-year is +3.17%, ten year is +2.78%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are -7.54%, -10.16% and -1.90% for one-, three- and twelve months, respectively. Three year performance is +6.78%; five-year is +3.34%.

Acccording to the fund’s fact sheet as of June 30, 2016, the fund’s inception date was October 30, 2015. I do not know how they justify this nonsensical statement, but will assume that prior performance is being suppressed in some perfectly legal manner that somebody at National considers ethical.

The last time Altamira Preferred Equity Fund’s performance was reported here was April, 2014; performance under the National Bank banner was first reported here May, 2014.

The figures for the NAV of BMO S&P/TSX Laddered Preferred Share Index ETF (ZPR) is -1.20% for the past twelve months. Two year performance is +18.74%, three year is +6.58%, five year is +3.24%.
Figures for Fiera Canadian Preferred Share Class Cg Series F, (formerly Natixis Canadian Preferred Share Class Series F) (formerly NexGen Canadian Preferred Share Tax Managed Fund) are no longer available as the Fund is now the property of Canoe Financial. The last reported performance for the merged fund was May 2020.
Figures for BMO Preferred Share Fund (advisor series) according to BMO are -7.37%, -9.66% and 5.23% for the past one-, three- and twelve-months, respectively. Two year performance is +13.59%; three year is +3.41%; five-year is +0.18%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are -2.73% for the past twelve months. The three-year figure is +5.51%; five years is +2.64%; ten-year is +1.85%
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR).

Performance for the fund was last reported here in September, 2016; the first report of unavailability was in October, 2016.

Figures for Lysander-Slater Preferred Share Dividend Fund (Class F) according to the company are -7.1%, -9.8% and -0.7% for the past one, three and twelve months, respectively. Three year performance is +5.2%, five-year is +2.3%.

Note that

Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are -7.64%, -10.31% and -3.54% for the past one, three and twelve months, respectively. Two year performance is +13.66%, three-year is +4.06%, five-year is +1.35%
Figures for the RBC Canadian Preferred Share ETF (RPF) as reported by Morningstar are -6.95%, -9.56% and -1.84% for the past one, three and twelve months, respectively. Three-year performance is +6.20%; five-year is +2.91%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are -7.0%, -9.7% and -0.2% for the past one, three and twelve months, respectively. Three-year performance is +8.0%; five-year is +4.2%

It was a wild month, with the five-year Canada yield (“GOC-5”) rising from 2.44% at March month-end to 2.68% at March month-end.

The Seniority Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) has been bouncing around the 300bp level recently and is very volatile:

The situation with FixedResets is interesting, with the spread between GOC-5 and the interest-adjusted FixedReset (Discount) rate widening significantly from its 2021-11-10 low of 344bp to its current level of 519bp …

…while at the same time the spread between FixedReset (Discounts) and PerpetualDiscounts has narrowed to -1bp from its 2021-7-28 level of 170bp.

There is no significant correlation between the Issue Reset Spread and 1-month performance for discounted FixedResets, which is normal because there is a lot of noise in this inefficient market:

However, as is also normal, there are moderate correlations (23% and 18%, for Pfd-2 and Pfd-3 issues, respectively) between Issue Reset Spread and three-month performance (the noise cancels out, to some extent):

In last month’s performance review, I noted that there was no significant correlation between performance and term-to-reset, despite a few anecdotal outliers. This month, the tables have turned, for both one-month (correlations of 26% and 28% for Pfd-2 and Pfd-3, respectively):

… and for three-month performance (correlations of an astonishing 60% and 44% for Pfd-2 and Pfd-3 respectively):

This leads to a hypothesis that investors consider the current increase in government yields to be a temporary phenomenon that must be jumped on immediately in order to make any profit; but it should be noted that to some extent such a dependence is justified as the nearer-term issues will receive the benefit of presumably higher dividend rates sooner and therefore, perhaps, for longer. If the hypothesis is correct, however, then why should the issues be going down at all? The contradiction can be resolved only by making inreasingly specific adverse assumptions.

Calculation of MAPF Sustainable Income Per Unit
Month NAVPU Portfolio
Average
YTW
Leverage
Divisor
Securities
Average
YTW
Capital
Gains
Multiplier
Sustainable
Income
per
current
Unit
June, 2007 9.3114 5.16% 1.03 5.01% 1.3240 0.3524
September 9.1489 5.35% 0.98 5.46% 1.3240 0.3773
December, 2007 9.0070 5.53% 0.942 5.87% 1.3240 0.3993
March, 2008 8.8512 6.17% 1.047 5.89% 1.3240 0.3938
June 8.3419 6.034% 0.952 6.338% 1.3240 $0.3993
September 8.1886 7.108% 0.969 7.335% 1.3240 $0.4537
December, 2008 8.0464 9.24% 1.008 9.166% 1.3240 $0.5571
March 2009 $8.8317 8.60% 0.995 8.802% 1.3240 $0.5872
June 10.9846 7.05% 0.999 7.057% 1.3240 $0.5855
September 12.3462 6.03% 0.998 6.042% 1.3240 $0.5634
December 2009 10.5662 5.74% 0.981 5.851% 1.1141 $0.5549
March 2010 10.2497 6.03% 0.992 6.079% 1.1141 $0.5593
June 10.5770 5.96% 0.996 5.984% 1.1141 $0.5681
September 11.3901 5.43% 0.980 5.540% 1.1141 $0.5664
December 2010 10.7659 5.37% 0.993 5.408% 1.0298 $0.5654
March, 2011 11.0560 6.00% 0.994 5.964% 1.0298 $0.6403
June 11.1194 5.87% 1.018 5.976% 1.0298 $0.6453
September 10.2709 6.10%
Note
1.001 6.106% 1.0298 $0.6090
December, 2011 10.0793 5.63%
Note
1.031 5.805% 1.0000 $0.5851
March, 2012 10.3944 5.13%
Note
0.996 5.109% 1.0000 $0.5310
June 10.2151 5.32%
Note
1.012 5.384% 1.0000 $0.5500
September 10.6703 4.61%
Note
0.997 4.624% 1.0000 $0.4934
December, 2012 10.8307 4.24% 0.989 4.287% 1.0000 $0.4643
March, 2013 10.9033 3.87% 0.996 3.886% 1.0000 $0.4237
June 10.3261 4.81% 0.998 4.80% 1.0000 $0.4957
September 10.0296 5.62% 0.996 5.643% 1.0000 $0.5660
December, 2013 9.8717 6.02% 1.008 5.972% 1.0000 $0.5895
March, 2014 10.2233 5.55% 0.998 5.561% 1.0000 $0.5685
June 10.5877 5.09% 0.998 5.100% 1.0000 $0.5395
September 10.4601 5.28% 0.997 5.296% 1.0000 $0.5540
December, 2014 10.5701 4.83% 1.009 4.787% 1.0000 $0.5060
March, 2015 9.9573 4.99% 1.001 4.985% 1.0000 $0.4964
June, 2015 9.4181 5.55% 1.002 5.539% 1.0000 $0.5217
September 7.8140 6.98% 0.999 6.987% 1.0000 $0.5460
December, 2015 8.1379 6.85% 0.997 6.871% 1.0000 $0.5592
March, 2016 7.4416 7.79% 0.998 7.805% 1.0000 $0.5808
June 7.6704 7.67% 1.011 7.587% 1.0000 $0.5819
September 8.0590 7.35% 0.993 7.402% 1.0000 $0.5965
December, 2016 8.5844 7.24% 0.990 7.313% 1.0000 $0.6278
March, 2017 9.3984 6.26% 0.994 6.298% 1.0000 $0.5919
June 9.5313 6.41% 0.998 6.423% 1.0000 $0.6122
September 9.7129 6.56% 0.998 6.573% 1.0000 $0.6384
December, 2017 10.0566 6.06% 1.004 6.036% 1.0000 $0.6070
March, 2018 10.2701 6.22% 1.007 6.177% 1.0000 $0.6344
June 10.2518 6.22% 0.995 6.251% 1.0000 $0.6408
September 10.2965 6.62% 1.018 6.503% 1.0000 $0.6696
December, 2018 8.6875 7.16% 0.997 7.182% 1.0000 $0.6240
March, 2019 8.4778 7.09% 1.007 7.041% 1.0000 $0.5969
June 8.0896 7.33% 0.996 7.359% 1.0000 $0.5953
September 7.7948 7.96% 0.998 7.976% 1.0000 $0.6217
December, 2019 8.0900 6.03% 0.995 6.060% 1.0000 $0.4903
March 5.5596 7.04% 1.006 6.998% 1.0000 $0.3891
June 6.3568 6.10% 0.9900 6.162% 1.0000 $0.3917
September 7.2852 5.32% 1.00 5.320% 1.0000 $0.3876
December, 2020 8.3947 4.46% 0.999 4.464% 1.0000 $0.3747
March, 2021 9.6473 4.48% 0.996 4.498% 1.0000 $0.4339
June 10.3712 3.92% 0.985 3.980% 1.0000 $0.4127
September 10.7572 4.08% 1.017 4.012% 1.0000 $0.4316
December, 2021 10.7432 4.31% 0.999 4.314% 1.0000 $0.4635
March, 2022 10.5040 5.53% 1.004 5.508% 1.0000 $0.5786
April, 2022 9.3869 6.44% 1.000 6.440% 1.0000 $0.6045
NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains.
Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00%
The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99
Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings.
The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested.
Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or the Deemed Maturity date for insurers and insurance holding companies (see below)), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis.

The same reasoning is also applied to FixedResets from these issuers, other than explicitly defined NVCC from banks.

In November, 2019, the assumption of DeemedRetraction for insurance issues was cancelled in the wake of the IAIS decision included in ICS 2.0. This resulted in a large drop in the yield calculated for these issues

The Deemed Maturity date for insurers was set at 2022-1-31 at the commencement of the process in February, 2011. It was extended to 2025-1-31 in April, 2013 and to 2030-1-31 in December, 2018. In November, 2019, the assumption of DeemedRetraction was cancelled in the wake of the IAIS decision included in ICS 2.0.
Yields for September, 2011, to January, 2012, were calculated by imposing a cap of 10% on the yields of YLO issues held, in order to avoid their extremely high calculated yields distorting the calculation and to reflect the uncertainty in the marketplace that these yields will be realized. From February to September 2012, yields on these issues have been set to zero. All YLO issues held were sold in October 2012.

These calculations were performed assuming constant contemporary GOC-5 and 3-Month Bill rates, as follows:

Canada Yields Assumed in Calculations
Month-end GOC-5 3-Month Bill
September, 2015 0.78% 0.40%
December, 2015 0.71% 0.46%
March, 2016 0.70% 0.44%
June 0.57% 0.47%
September 0.58% 0.53%
December, 2016 1.16% 0.47%
March, 2017 1.08% 0.55%
June 1.35% 0.69%
September 1.79% 0.97%
December, 2017 1.83% 1.00%
March, 2018 2.06% 1.08%
June 1.95% 1.22%
September 2.33% 1.55%
December, 2018 1.88% 1.65%
March, 2019 1.46% 1.66%
June 1.34% 1.66%
September 1.41% 1.66%
December, 2019 1.68% 1.68%
March, 2020 0.57% 0.21%
June 0.37% 0.21%
September 0.35% 0.14%
December, 2020 0.42% 0.08%
March, 2021 0.94% 0.09%
June 0.93% 0.13%
September 1.07% 0.13%
December, 2021 1.31% 0.16%
March, 2022 2.44% 0.53%
April, 2022 2.68% 1.34%

One Response to “MAPF Performance: April, 2022”

  1. CanSiamCyp says:

    Hi James,

    Element Fleet posted their Q1 2022 results today after market close:

    https://money.tmx.com/en/quote/EFN/news/5761319538301370/Element_Reports_Strong_First_Quarter_Results_Raises_2022_Revenue_Earnings_Cash_Flow_Guidance

    As I anticipated they announced the full redemption of EFN.PR.I on 30 June:

    Preferred Share Redemption

    The Company also announced today its intention to redeem – in accordance with the terms of the Cumulative 5-Year Minimum Rate Reset Preferred Shares, Series I (the “Series I Shares”) as set out in the Company’s articles – all of its 6,000,000 issued and outstanding Series I Shares on June 30, 2022 (the “Redemption Date”) for a redemption price equal to $25.00 per Series I Share, together with all accrued and unpaid dividends up to but excluding the Redemption Date (the “Redemption Price”), less any tax required to be deducted and withheld by the Company.

    Cheers!

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