Nothing happened today.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 37bp, FixedResets gaining 11bp and DeemedRetractibles off 3bp. The Performance Highlights table is notable on the downside for domination by BAM Floating Rate issues, while the upside has a surprisingly large population of FixedResets. Volume was high.
PerpetualDiscounts now yield 5.49%, equivalent to 7.14% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.7%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 245bp, unchanged from October 23.
And that’s it for another month!
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | -0.9452 % | 2,459.3 |
| FixedFloater | 4.19 % | 3.47 % | 28,099 | 18.46 | 1 | 2.0702 % | 4,007.2 |
| Floater | 2.75 % | 3.03 % | 63,356 | 19.65 | 5 | -0.9452 % | 2,655.4 |
| OpRet | 4.62 % | 3.16 % | 68,248 | 0.57 | 3 | 0.0900 % | 2,640.2 |
| SplitShare | 4.75 % | 4.90 % | 63,647 | 3.68 | 6 | 0.1314 % | 2,956.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0900 % | 2,414.2 |
| Perpetual-Premium | 5.78 % | 0.13 % | 105,812 | 0.08 | 7 | 0.1586 % | 2,299.4 |
| Perpetual-Discount | 5.49 % | 5.49 % | 186,112 | 14.46 | 30 | 0.3678 % | 2,375.3 |
| FixedReset | 5.01 % | 3.65 % | 227,423 | 3.37 | 82 | 0.1110 % | 2,454.8 |
| Deemed-Retractible | 5.08 % | 4.15 % | 195,475 | 1.51 | 43 | -0.0330 % | 2,413.8 |
| FloatingReset | 0.00 % | 0.00 % | 0 | 0.00 | 5 | 0.1110 % | 2,454.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.B | Deemed-Retractible | -2.43 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.71 Bid-YTW : 6.41 % |
| BAM.PR.C | Floater | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 3.04 % |
| BAM.PR.K | Floater | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 17.34 Evaluated at bid price : 17.34 Bid-YTW : 3.05 % |
| BAM.PR.B | Floater | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 17.46 Evaluated at bid price : 17.46 Bid-YTW : 3.03 % |
| BAM.PR.R | FixedReset | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 23.46 Evaluated at bid price : 25.07 Bid-YTW : 4.13 % |
| TRP.PR.A | FixedReset | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 23.63 Evaluated at bid price : 24.11 Bid-YTW : 3.84 % |
| PWF.PR.S | Perpetual-Discount | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 22.60 Evaluated at bid price : 22.96 Bid-YTW : 5.24 % |
| GWO.PR.H | Deemed-Retractible | 1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.27 Bid-YTW : 5.78 % |
| PWF.PR.F | Perpetual-Discount | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 23.70 Evaluated at bid price : 23.97 Bid-YTW : 5.50 % |
| VNR.PR.A | FixedReset | 1.20 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-10-15 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 3.98 % |
| POW.PR.D | Perpetual-Discount | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 22.87 Evaluated at bid price : 23.16 Bid-YTW : 5.43 % |
| CIU.PR.C | FixedReset | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 3.91 % |
| BAM.PR.X | FixedReset | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 21.96 Evaluated at bid price : 22.36 Bid-YTW : 4.18 % |
| ENB.PR.D | FixedReset | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 22.89 Evaluated at bid price : 24.14 Bid-YTW : 4.19 % |
| FTS.PR.H | FixedReset | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 21.60 Evaluated at bid price : 22.00 Bid-YTW : 3.72 % |
| ENB.PR.Y | FixedReset | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 22.45 Evaluated at bid price : 23.40 Bid-YTW : 4.35 % |
| FTS.PR.J | Perpetual-Discount | 1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 22.75 Evaluated at bid price : 23.15 Bid-YTW : 5.19 % |
| ENB.PR.H | FixedReset | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 22.46 Evaluated at bid price : 23.32 Bid-YTW : 4.16 % |
| BAM.PR.G | FixedFloater | 2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 22.89 Evaluated at bid price : 22.68 Bid-YTW : 3.47 % |
| POW.PR.B | Perpetual-Discount | 2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 5.61 % |
| PWF.PR.K | Perpetual-Discount | 2.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 23.04 Evaluated at bid price : 23.33 Bid-YTW : 5.32 % |
| TD.PR.Y | FixedReset | Not Calc! | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.86 Bid-YTW : 3.60 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| SLF.PR.A | Deemed-Retractible | 99,266 | RBC crossed 80,200 at 22.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.71 Bid-YTW : 5.96 % |
| SLF.PR.E | Deemed-Retractible | 97,747 | RBC crossed 82,000 at 22.36. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.13 Bid-YTW : 6.00 % |
| CU.PR.G | Perpetual-Discount | 53,571 | RBC crossed 24,900 at 21.39. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.38 % |
| GWO.PR.H | Deemed-Retractible | 49,176 | TD crossed 30,000 at 23.38. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.27 Bid-YTW : 5.78 % |
| CU.PR.F | Perpetual-Discount | 34,460 | RBC crossed 25,000 at 21.39. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.38 % |
| BAM.PR.M | Perpetual-Discount | 31,638 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-31 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 5.97 % |
| There were 51 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.B | Deemed-Retractible | Quote: 21.71 – 22.20 Spot Rate : 0.4900 Average : 0.3070 YTW SCENARIO |
| PWF.PR.L | Perpetual-Discount | Quote: 23.46 – 23.90 Spot Rate : 0.4400 Average : 0.3165 YTW SCENARIO |
| CGI.PR.D | SplitShare | Quote: 23.81 – 24.26 Spot Rate : 0.4500 Average : 0.3354 YTW SCENARIO |
| FTS.PR.F | Perpetual-Discount | Quote: 23.50 – 23.89 Spot Rate : 0.3900 Average : 0.2887 YTW SCENARIO |
| GWO.PR.P | Deemed-Retractible | Quote: 24.90 – 25.24 Spot Rate : 0.3400 Average : 0.2476 YTW SCENARIO |
| BAM.PR.K | Floater | Quote: 17.34 – 17.75 Spot Rate : 0.4100 Average : 0.3222 YTW SCENARIO |
[…] PerpetualDiscounts now yield 5.54%, equivalent to 7.20% interest at the standard equivalency factor of 1.3x. Long Corporates now yield about 4.7%, so the pre-tax, interest-equivalent spread between the two is now about 250bp, a slight (and perhaps spurious, particularly given the index rebalancing as of October 31) increase from the 245bp reported October 31. […]