Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close May 31, 2022, was $9.9943.
I apologize for the late publication of this post. Month-end quotes, purchased at great expense from the Toronto Exchange, were even more horrible than they usually are, to the point that they simply could not be used without correction. This required purchase of quite a few “Trades & Quotes” quotations, which are far more expensive, for which the TMX was estimating a cost of over $40 per ticker; in addition, the on-line ordering system told me at one point that I could not order the data and that I should contact Data Sales. Getting all this sorted out was extremely time-consuming; but in the end I received data that was within the bounds of reason in aggregate and cost much less than the official estimate. On the bright side, I now have a contact name for a person at the Exchange who has authority to decide to sell ‘closing quotes’ (as of 4pm) as distinct from the current ‘last quotes’ (which are the closing quotes after quite a few orders have been cancelled subsequent to 4pm). So I’ll be writing a letter in the next few weeks and will keep Assiduous Readers advised of any progress.
| Returns to May 31, 2022 | ||||
| Period | MAPF | TXPR* Total Return |
CPD – according to Blackrock | |
| One Month | +6.47% | +5.01% | N/A | |
| Three Months | -4.22% | -2.65% | N/A | |
| One Year | +1.49% | -0.87% | -1.36% | |
| Two Years (annualized) | +32.38% | +18.77% | N/A | |
| Three Years (annualized) | +13.15% | +8.27% | +7.65% | |
| Four Years (annualized) | +4.50% | +3.42% | N/A | |
| Five Years (annualized) | +6.71% | +4.30% | +3.75% | |
| Six Years (annualized) | +9.16% | +6.13% | N/A | |
| Seven Years (annualized) | +5.22% | +3.34% | N/A | |
| Eight Years (annualized) | +4.33% | +2.51% | N/A | |
| Nine Years (annualized) | +4.13% | +2.20% | N/A | |
| Ten Years (annualized) | +4.69% | +2.54% | +2.03% | |
| Eleven Years (annualized) | +4.21% | +2.61% | ||
| Twelve Years (annualized) | +5.95% | +3.53% | ||
| Thirteen Years (annualized) | +6.97% | +3.90% | ||
| Fourteen Years (annualized) | +8.28% | +3.20% | ||
| Fifteen Years (annualized) | +7.90% | |||
| Sixteen Years (annualized) | +7.73% | |||
| Seventeen Years (annualized) | +7.58% | |||
| Eighteen Years (annualized) | +7.72% | |||
| Nineteen Years (annualized) | +8.40% | |||
| Twenty Years (annualized) | +8.30% | |||
| Twenty-One Years (annualized) | +8.68% | |||
| 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 +5.07%, -3.17% and -0.92%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +9.60%; five year is +5.27%; ten year is +3.51%
Figures from Morningstar are no longer conveniently available. |
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| 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 +5.05%, -3.16% & -0.89%, respectively. Three year performance is +9.61%, five-year is +4.57%, ten year is +3.34% | ||||
| Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are +4.94%, -3.29% and -1.01% for one-, three- and twelve months, respectively. Three year performance is +9.79%; five-year is +4.72%.
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. |
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| The figures for the NAV of BMO S&P/TSX Laddered Preferred Share Index ETF (ZPR) is +0.29% for the past twelve months. Two year performance is +23.29%, three year is +9.66%, five year is +4.74%. | ||||
| 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 +4.79%, -3.12% and -3.21% for the past one-, three- and twelve-months, respectively. Two year performance is +17.63%; three year is +6.40%; five-year is +1.53%. | ||||
| Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are -1.29% for the past twelve months. The three-year figure is +8.12%; five years is +3.98%; ten-year is +2.36% | ||||
| 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. |
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| Figures for Lysander-Slater Preferred Share Dividend Fund (Class F) according to the company are +5.1%, -2.3% and +0.2% for the past one, three and twelve months, respectively. Three year performance is +8.3%, five-year is +3.7%. | ||||
| Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are +4.69%, -3.57% and -2.33% for the past one, three and twelve months, respectively. Two year performance is +17.29%, three-year is +6.92%, five-year is +2.69% | ||||
| Figures for the RBC Canadian Preferred Share ETF (RPF) as reported by Morningstar are -%, -% and -% for the past one, three and twelve months, respectively. Three-year performance is +%; five-year is +% | ||||
| Figures for the Dynamic Active Preferred Shares ETF (DXP) are +4.4%, -2.9% and 0.0% for the past one, three and twelve months, respectively. Three-year performance is +10.7%; five-year is +5.5% | ||||
The pace of yield changes slowed markedly in May, with the five-year Canada yield (“GOC-5”) rising slightly from 2.68% at April month-end to 2.71% at May 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 493bp …
…while at the same time the spread between FixedReset (Discounts) and PerpetualDiscounts has narrowed to 7bp 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, the normally moderate correlations between Issue Reset Spread and three-month performance have disappeared in this month’s check:
Last month, there were correlations of 26% and 28% for Pfd-2 and Pfd-3, respectively, but this month there is no significant correlation for either group – not surpising, since the overall change in the GOC-5 rate was only 3bp during the period:
… but for three-month performance, last month’s correlations of 60% and 44% for Pfd-2 and Pfd-3 respectively, have changed to 27% and 18%:
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 |
| May, 2022 | 9.9943 | 6.16% | 1.007 | 6.117% | 1.0000 | $0.6114 |
| 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. |
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| 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 |
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| 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% |
| May, 2022 | 2.71% | 1.48% |
Regarding your problem with the TSE, I wonder if this is the same problem I have with my Stock List on the Globe web site.
Essentially, the problem is with thinly traded preferred shares. On days that a particular share does not trade, rather than not showing any gain or loss, the stock list continues to show the gain/loss on the last day it did trade. Quite an annoying mess. I want to see how the portfolio is doing on the day, not on a random bunch of days.
(And my broker account has lately begun valuing my preferred shares at the highest bid price on the days a share issue does not trade. This causes wide swings in my portfolio valuation from day to day, highly annoying when I just want to do a quick check.)