TXPR closed at 580.81, down 0.50% on the day. Volume today was 980,030, below the median of the past 21 trading days.
CPD closed at 11.59, down 0.17% on the day. Volume was 102,580, fourth highest of the past 21 trading days.
ZPR closed at 9.63, up 0.21% on the day. Volume was 150,370, slightly above the median of the past 21 trading days.
Five-year Canada yields were were up to 3.48% today.
It was a poor day all ’round, abetted by Fed commentary:
Adding to recent worries about monetary policy, Fed Governor Michelle Bowman said the central bank will need to keep raising interest rates until it makes much more progress tackling inflation. Richmond Fed President Thomas Barkin said the central bank still needs to raise interest rates, but that it could stick with quarter-point increases.
… and the Canadian Industrial Product Price Index announcement didn’t help:
In January 2023, the Industrial Product Price Index increased 0.4% month over month, following two consecutive months of declines, and rose 5.4% year over year.
Prices for energy and petroleum products rose 0.4% month over month, following a 10.2% decline in December. Year over year, prices were 19.8% higher in January compared with January 2022. In January 2023, the price of finished motor gasoline was up 8.8% and jet fuel rose 14.1%, while diesel fuel fell 4.8%. The price of conventional crude oil, the raw material used to make refined petroleum products, rose by 1.3% in January. In late December, US refinery utilization dropped as a result of severe cold weather conditions, putting upward pressure on refined product prices. The 14.1% jet fuel price increase was the largest January month-over-month increase on record, and the sixth-largest month-over-month gain overall. Jet fuel prices rose partly due to higher global travel demand, as COVID-19 travel restrictions in China were lifted. According to data from Canadian Air Transport Authority, 3.9 million passengers travelled through Canada’s eight largest airports in January, more than double the number from January 2022.
Guess what’s still going through the courts?:
Almost 20 years since harmful market-timing trading in mutual funds was first exposed by U.S. authorities, an Ontario court has found that fund managers breached their duties to investors when they failed to prevent market-timing trading by allowing hedge funds to use their funds to engage in the practice.
…
Later, a class action was filed against the five major fund managers that had reached settlements with the Ontario Securities Commission over the practice — IG Investment Management Ltd., CI Mutual Funds Inc., Franklin Templeton Investments Corp., AGF Funds Inc. and AIC Ltd. Three of those five firms have since settled.
…
While the mutual funds’ prospectuses warned about the harm from frequent trading and threatened 2% fees to prevent it, “the defendants not only failed to take steps to prevent frequent trading or charge the fees set out in their prospectuses when it occurred, they facilitated frequent trading by entering into ‘switch agreements’ which allowed certain investors to switch in and out of funds for a fee of only 0.2%,” the court noted.According to the court’s ruling, the firms argued they weren’t aware that the frequent traders were engaged in “time zone arbitrage.”
However, the court found that the specific form of market timing didn’t matter — it was the frequent trading that harmed long-term investors.
“Had the defendants taken steps to prevent or prohibit frequent trading, they would have prevented time zone arbitrage as well,” it said.
At the same time, the court ruled that while the fund firms were negligent, they did not breach their fiduciary duties to investors.
“I do not find that their negligence rises to a breach of honesty or good faith,” the court said in its decision.
“The defendants may have acted with considerable hubris in thinking that their own ‘knowledge’ of the market was superior to that of experienced, sophisticated hedge funds. They acted with a lack of knowledge that fell below the standards of care in failing to recognize the dangers of frequent short-term trading. They acted with carelessness in failing to understand what the frequent traders were telling them. They acted negligently in failing to examine past or current trading records to test their random walk thesis, but I am not persuaded that they acted in breach of their fiduciary duties,” it said.
Based on the finding that the companies breached their duties of care, however, the court directed the case to proceed to a trial to determine investors’ damages.
Well, I haven’t read the actual decision, so I won’t comment too much. Let’s just say that these guys were either crooked or stupid and the most surprising thing is that any of these firms are still in business.
| 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 | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4456 % | 2,576.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4456 % | 4,941.8 |
| Floater | 8.75 % | 8.95 % | 55,752 | 10.36 | 2 | -0.4456 % | 2,848.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0419 % | 3,429.8 |
| SplitShare | 4.90 % | 6.53 % | 55,786 | 2.76 | 7 | 0.0419 % | 4,095.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0419 % | 3,195.8 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.9815 % | 2,799.4 |
| Perpetual-Discount | 6.09 % | 6.16 % | 71,305 | 13.61 | 37 | -0.9815 % | 3,052.6 |
| FixedReset Disc | 5.32 % | 7.34 % | 89,151 | 12.29 | 59 | -0.5066 % | 2,293.2 |
| Insurance Straight | 5.98 % | 6.11 % | 91,930 | 13.67 | 20 | -1.0548 % | 3,004.8 |
| FloatingReset | 9.68 % | 10.14 % | 38,132 | 9.35 | 2 | -0.1552 % | 2,610.3 |
| FixedReset Prem | 6.39 % | 6.49 % | 202,941 | 4.02 | 2 | -0.0595 % | 2,374.9 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5066 % | 2,344.1 |
| FixedReset Ins Non | 5.22 % | 6.93 % | 48,911 | 12.58 | 14 | -0.1949 % | 2,472.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| POW.PR.B | Perpetual-Discount | -5.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 21.22 Evaluated at bid price : 21.22 Bid-YTW : 6.40 % |
| POW.PR.C | Perpetual-Discount | -4.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 22.76 Evaluated at bid price : 23.04 Bid-YTW : 6.37 % |
| GWO.PR.P | Insurance Straight | -4.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.47 % |
| BN.PR.M | Perpetual-Discount | -3.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 18.62 Evaluated at bid price : 18.62 Bid-YTW : 6.49 % |
| GWO.PR.I | Insurance Straight | -3.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 6.09 % |
| GWO.PR.T | Insurance Straight | -2.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 6.24 % |
| BN.PR.X | FixedReset Disc | -2.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 16.54 Evaluated at bid price : 16.54 Bid-YTW : 7.65 % |
| BN.PF.D | Perpetual-Discount | -2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.40 % |
| IFC.PR.I | Perpetual-Discount | -2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 22.02 Evaluated at bid price : 22.31 Bid-YTW : 6.14 % |
| BN.PR.Z | FixedReset Disc | -2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 21.56 Evaluated at bid price : 21.56 Bid-YTW : 7.35 % |
| PWF.PR.L | Perpetual-Discount | -2.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 20.78 Evaluated at bid price : 20.78 Bid-YTW : 6.20 % |
| CM.PR.Q | FixedReset Disc | -2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 7.22 % |
| CM.PR.P | FixedReset Disc | -1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 7.61 % |
| PWF.PR.E | Perpetual-Discount | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 22.05 Evaluated at bid price : 22.28 Bid-YTW : 6.23 % |
| MFC.PR.B | Insurance Straight | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 20.09 Evaluated at bid price : 20.09 Bid-YTW : 5.90 % |
| IFC.PR.G | FixedReset Ins Non | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 6.90 % |
| ELF.PR.F | Perpetual-Discount | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 6.32 % |
| PWF.PR.H | Perpetual-Discount | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 22.93 Evaluated at bid price : 23.21 Bid-YTW : 6.25 % |
| GWO.PR.Q | Insurance Straight | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 6.19 % |
| GWO.PR.G | Insurance Straight | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.15 % |
| RY.PR.O | Perpetual-Discount | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.46 % |
| PWF.PR.Z | Perpetual-Discount | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 21.34 Evaluated at bid price : 21.34 Bid-YTW : 6.10 % |
| RY.PR.J | FixedReset Disc | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 7.18 % |
| GWO.PR.H | Insurance Straight | -1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 6.11 % |
| TD.PF.A | FixedReset Disc | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 7.62 % |
| BN.PR.N | Perpetual-Discount | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.36 % |
| RY.PR.N | Perpetual-Discount | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.46 % |
| GWO.PR.Y | Insurance Straight | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 5.97 % |
| SLF.PR.G | FixedReset Ins Non | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 13.26 Evaluated at bid price : 13.26 Bid-YTW : 8.09 % |
| SLF.PR.D | Insurance Straight | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 5.80 % |
| CU.PR.F | Perpetual-Discount | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 6.03 % |
| GWO.PR.L | Insurance Straight | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 22.71 Evaluated at bid price : 22.95 Bid-YTW : 6.25 % |
| SLF.PR.C | Insurance Straight | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 5.80 % |
| TD.PF.D | FixedReset Disc | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 7.25 % |
| GWO.PR.R | Insurance Straight | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 6.04 % |
| BMO.PR.T | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 7.56 % |
| NA.PR.S | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 7.52 % |
| NA.PR.G | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 21.60 Evaluated at bid price : 21.98 Bid-YTW : 6.91 % |
| SLF.PR.J | FloatingReset | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 15.76 Evaluated at bid price : 15.76 Bid-YTW : 9.71 % |
| TD.PF.K | FixedReset Disc | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 7.04 % |
| TRP.PR.D | FixedReset Disc | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 16.41 Evaluated at bid price : 16.41 Bid-YTW : 8.56 % |
| CM.PR.S | FixedReset Disc | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 22.51 Evaluated at bid price : 22.51 Bid-YTW : 6.52 % |
| GWO.PR.M | Insurance Straight | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 23.20 Evaluated at bid price : 23.50 Bid-YTW : 6.26 % |
| TRP.PR.A | FixedReset Disc | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 14.65 Evaluated at bid price : 14.65 Bid-YTW : 8.67 % |
| MFC.PR.L | FixedReset Ins Non | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 17.64 Evaluated at bid price : 17.64 Bid-YTW : 7.69 % |
| BIP.PR.F | FixedReset Disc | 1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 7.31 % |
| SLF.PR.E | Insurance Straight | 4.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.02 % |
| PWF.PR.R | Perpetual-Discount | 4.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 22.04 Evaluated at bid price : 22.27 Bid-YTW : 6.23 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PR.K | Floater | 73,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 13.41 Evaluated at bid price : 13.41 Bid-YTW : 8.95 % |
| BN.PF.F | FixedReset Disc | 38,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 8.26 % |
| BMO.PR.E | FixedReset Disc | 31,615 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 21.31 Evaluated at bid price : 21.58 Bid-YTW : 6.92 % |
| BN.PF.B | FixedReset Disc | 29,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 8.22 % |
| MFC.PR.I | FixedReset Ins Non | 26,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 22.69 Evaluated at bid price : 23.75 Bid-YTW : 6.52 % |
| RY.PR.H | FixedReset Disc | 19,756 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-02-17 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 7.39 % |
| There were 6 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MIC.PR.A | Perpetual-Discount | Quote: 19.96 – 28.99 Spot Rate : 9.0300 Average : 4.9255 YTW SCENARIO |
| PWF.PR.E | Perpetual-Discount | Quote: 22.28 – 25.50 Spot Rate : 3.2200 Average : 1.9018 YTW SCENARIO |
| POW.PR.C | Perpetual-Discount | Quote: 23.04 – 24.40 Spot Rate : 1.3600 Average : 0.7914 YTW SCENARIO |
| POW.PR.B | Perpetual-Discount | Quote: 21.22 – 22.34 Spot Rate : 1.1200 Average : 0.6224 YTW SCENARIO |
| BN.PR.R | FixedReset Disc | Quote: 15.05 – 16.47 Spot Rate : 1.4200 Average : 0.9468 YTW SCENARIO |
| MFC.PR.M | FixedReset Ins Non | Quote: 18.41 – 20.45 Spot Rate : 2.0400 Average : 1.5807 YTW SCENARIO |