October 27, 2022

TXPR closed at 565.05, down 0.66% on the day. Volume today was 1.34-million, near the median of the past 21 trading days.

CPD closed at 11.23, down 0.09% on the day. Volume was 119,260, fifth-highest of the past 21 trading days.

ZPR closed at 9.38, down 0.95% on the day. Volume was 121,730, below the median of the past 21 trading days.

Five-year Canada yields were down substantially to 3.34% today. I guess the recession starts tomorrow!

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 -0.3593 % 2,398.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3593 % 4,600.8
Floater 8.34 % 8.46 % 52,940 10.88 2 -0.3593 % 2,651.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.5749 % 3,262.8
SplitShare 5.15 % 7.68 % 40,144 3.01 7 0.5749 % 3,896.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5749 % 3,040.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2992 % 2,650.7
Perpetual-Discount 6.42 % 6.53 % 72,862 13.19 33 0.2992 % 2,890.5
FixedReset Disc 5.26 % 7.24 % 96,158 12.43 63 -0.4247 % 2,273.5
Insurance Straight 6.39 % 6.49 % 81,578 13.18 19 -0.0759 % 2,814.1
FloatingReset 9.11 % 9.47 % 41,532 9.94 2 0.6098 % 2,544.5
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.4247 % 2,406.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4247 % 2,323.9
FixedReset Ins Non 5.43 % 7.55 % 54,667 12.13 14 -0.2410 % 2,312.8
Performance Highlights
Issue Index Change Notes
BAM.PF.G FixedReset Disc -4.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 9.10 %
TD.PF.K FixedReset Disc -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.14 %
CM.PR.P FixedReset Disc -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 7.47 %
BMO.PR.Y FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.24 %
TD.PF.L FixedReset Disc -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 23.20
Evaluated at bid price : 23.63
Bid-YTW : 6.98 %
BAM.PF.F FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 8.78 %
NA.PR.E FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 7.21 %
BAM.PR.R FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 8.83 %
IFC.PR.C FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.79 %
GWO.PR.P Insurance Straight -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.71 %
GWO.PR.S Insurance Straight -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 6.63 %
PWF.PR.G Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 22.14
Evaluated at bid price : 22.42
Bid-YTW : 6.61 %
BMO.PR.E FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 21.94
Evaluated at bid price : 22.50
Bid-YTW : 6.81 %
IFC.PR.E Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.43 %
TD.PF.B FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 7.38 %
NA.PR.S FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 7.50 %
BAM.PR.X FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.99 %
BAM.PF.H FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.58 %
MFC.PR.F FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.49 %
MFC.PR.M FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 8.18 %
MFC.PR.Q FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 7.37 %
BAM.PF.B FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 8.59 %
POW.PR.C Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 22.45
Evaluated at bid price : 22.71
Bid-YTW : 6.44 %
PWF.PR.S Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.53 %
CCS.PR.C Insurance Straight -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.50 %
TD.PF.D FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.14 %
TD.PF.I FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 23.80
Evaluated at bid price : 24.90
Bid-YTW : 6.47 %
PVS.PR.F SplitShare 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.26
Bid-YTW : 6.87 %
MFC.PR.C Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.34 %
CU.PR.G Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.37 %
PVS.PR.I SplitShare 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 7.45 %
CU.PR.F Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 6.32 %
GWO.PR.Y Insurance Straight 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 6.46 %
MFC.PR.B Insurance Straight 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.38 %
BNS.PR.I FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 6.73 %
PWF.PR.L Perpetual-Discount 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.60 %
SLF.PR.H FixedReset Ins Non 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 14.96
Evaluated at bid price : 14.96
Bid-YTW : 8.24 %
PWF.PR.Z Perpetual-Discount 7.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 20.24
Evaluated at bid price : 20.24
Bid-YTW : 6.41 %
BAM.PF.I FixedReset Disc 7.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 22.07
Evaluated at bid price : 22.60
Bid-YTW : 7.49 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.I FixedReset Ins Non 34,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 21.98
Evaluated at bid price : 22.50
Bid-YTW : 6.98 %
TD.PF.I FixedReset Disc 29,305 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 23.80
Evaluated at bid price : 24.90
Bid-YTW : 6.47 %
PVS.PR.K SplitShare 20,720 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.40
Bid-YTW : 8.30 %
TRP.PR.D FixedReset Disc 19,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 15.92
Evaluated at bid price : 15.92
Bid-YTW : 8.89 %
CM.PR.S FixedReset Disc 17,698 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 21.70
Evaluated at bid price : 22.10
Bid-YTW : 6.66 %
TD.PF.B FixedReset Disc 15,976 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 7.38 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Ins Non Quote: 16.59 – 22.30
Spot Rate : 5.7100
Average : 3.4968

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 8.24 %

TRP.PR.E FixedReset Disc Quote: 14.20 – 19.49
Spot Rate : 5.2900
Average : 3.4219

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 9.71 %

MFC.PR.M FixedReset Ins Non Quote: 17.05 – 22.00
Spot Rate : 4.9500
Average : 3.4450

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 8.18 %

CU.PR.H Perpetual-Discount Quote: 20.50 – 22.10
Spot Rate : 1.6000
Average : 0.9847

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.53 %

RY.PR.S FixedReset Disc Quote: 21.00 – 22.80
Spot Rate : 1.8000
Average : 1.2941

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.85 %

GWO.PR.M Insurance Straight Quote: 22.60 – 23.85
Spot Rate : 1.2500
Average : 0.7846

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-27
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.49 %

5 Responses to “October 27, 2022”

  1. Dan Good says:

    Rob Carrick just wrote an article stating “Is it time to give up on investing’s king of disappointment, preferred shares?”. You have to pay to read the article and I am too cheap but it did catch my eye. Some preferred shares are getting pretty cheap so it might be a good time to go fishing for value.

  2. paradon says:

    You didn’t miss much. Carrick informed us that PS’s have underperformed the TSX this year.

  3. RAV4guy says:

    This is the last paragraph of the article by Rob Carrick:

    “Prefs have paid their dividends, and you should continue to expect that if you stick to blue chip issuers. But the price moves have made owning prefs a consistently painful experience. How much can you stand?”

    I believe the article is more balanced than the headline. The article did not add to my knowledge of the preferred share subject. If it attracts some buyers, great. I also did not decrease my holdings during this down year in market prices. I have bought more in fact, but when you are already in with both feet you can only add so much. Still I am appy to receive the ongoing flow of dividends with some nice increases in payout starting to show up. “I will shut up and clip my coupons.”

  4. moooooo says:

    Exactly, for pref share investors, more volatility means more opportunities to switch from one asset class to another, more yield over time. Let’s hope for a pref bubble soon to sell more :p

  5. jiHymas says:

    Well, with preferred share prices having bounced just above a TXPR all-time (i.e., since June, 2007) low (barring a week or so around the COVID Crash), as discussed 2022-10-13, it’s not surprising to hear this kind of thing.

    Carrick sums it up well in his closing paragraph (as noted by RAV4guy above):

    Prefs have paid their dividends, and you should continue to expect that if you stick to blue chip issuers. But the price moves have made owning prefs a consistently painful experience. How much can you stand?

    What must be remembered is the value of liquidity. As discussed in the link:

    The spread on corporate bonds over the liquid risk-free rate (for example, government bonds) represents compensation for several different factors:

    A Expected default losses
    B Unexpected default risk, such as default and recovery rate risk
    C Mark-to-market risk, such as the risk of a fall in the market price of the bond
    D Liquidity risk, such as the risk of not finding a ready buyer at the theoretical market price.

    Investors concerned with the realisable value of their investment in the short-term require compensation for all these risks.

    However, investors who can hold bonds to maturity need compensation only for A and B. Such investors can enjoy the premiums for C and D, and we refer to these collectively as a ‘liquidity premium’.

    A & B are fundamental risks. C&D are of importance only to short-term investors (saving up to buy a house in five years?) and fools. The shibboleth that ‘risk is the standard deviation of monthly returns’ is simply a testament to the intellectual bankruptcy of the investment industry.

    I’ve made the case time and time again that fixed income investing exists on a spectrum between secuity of income and security of principal. Preferred shares (when trading at a discount) strongly emphasize the former to the inevitable detriment of the latter.

    Those who understand the above and who are looking for income will take advantage of the fact that they do not care about volatility. They’re rather fond of volatility, in fact, since it scares away the hoi polloi and boosts the liquidity premium up to dizzying heights such as those currently in effect.

    Those who do not understand the above should stick to investments they understand.

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