Just the bare bones again! Hopefully I’ll have caught up with all my overdue things in the near future!
PerpetualDiscounts now have a yield of 5.58%, equivalent to 7.25% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, unchanged from the March 30 figure.
| 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 | 5.01 % | 6.09 % | 10,310 | 16.57 | 1 | 0.7463 % | 1,570.7 |
| FixedFloater | 6.79 % | 5.97 % | 21,895 | 16.33 | 1 | 0.0000 % | 2,929.8 |
| Floater | 4.58 % | 4.76 % | 60,412 | 15.98 | 4 | 0.4383 % | 1,689.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0068 % | 2,803.0 |
| SplitShare | 4.73 % | 5.06 % | 88,979 | 1.60 | 6 | -0.0068 % | 3,280.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0068 % | 2,559.3 |
| Perpetual-Premium | 5.80 % | -9.27 % | 92,281 | 0.08 | 6 | 0.4702 % | 2,581.0 |
| Perpetual-Discount | 5.57 % | 5.58 % | 95,674 | 14.49 | 33 | 0.1455 % | 2,618.8 |
| FixedReset | 5.23 % | 4.65 % | 181,452 | 14.01 | 87 | 0.5733 % | 1,945.6 |
| Deemed-Retractible | 5.20 % | 5.44 % | 123,630 | 5.10 | 34 | -0.0374 % | 2,623.2 |
| FloatingReset | 3.13 % | 5.02 % | 35,896 | 5.40 | 17 | -0.0658 % | 2,018.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.O | FloatingReset | -2.25 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.75 Bid-YTW : 11.47 % |
| BIP.PR.A | FixedReset | -1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 19.08 Evaluated at bid price : 19.08 Bid-YTW : 5.70 % |
| HSE.PR.A | FixedReset | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 10.06 Evaluated at bid price : 10.06 Bid-YTW : 6.05 % |
| PWF.PR.Q | FloatingReset | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 11.35 Evaluated at bid price : 11.35 Bid-YTW : 4.49 % |
| PVS.PR.D | SplitShare | -1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 5.90 % |
| BAM.PR.Z | FixedReset | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 18.89 Evaluated at bid price : 18.89 Bid-YTW : 5.01 % |
| MFC.PR.I | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.45 Bid-YTW : 7.22 % |
| RY.PR.H | FixedReset | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 4.21 % |
| TD.PF.C | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.18 % |
| TD.PF.A | FixedReset | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.20 % |
| FTS.PR.M | FixedReset | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 18.52 Evaluated at bid price : 18.52 Bid-YTW : 4.58 % |
| IFC.PR.C | FixedReset | 1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.65 Bid-YTW : 8.17 % |
| PWF.PR.A | Floater | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 11.40 Evaluated at bid price : 11.40 Bid-YTW : 4.19 % |
| CIU.PR.C | FixedReset | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 11.25 Evaluated at bid price : 11.25 Bid-YTW : 4.62 % |
| NA.PR.W | FixedReset | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 17.94 Evaluated at bid price : 17.94 Bid-YTW : 4.44 % |
| BMO.PR.T | FixedReset | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.25 % |
| BAM.PF.F | FixedReset | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 19.67 Evaluated at bid price : 19.67 Bid-YTW : 4.77 % |
| BAM.PR.R | FixedReset | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 15.21 Evaluated at bid price : 15.21 Bid-YTW : 4.95 % |
| BAM.PR.X | FixedReset | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 14.47 Evaluated at bid price : 14.47 Bid-YTW : 4.55 % |
| TRP.PR.B | FixedReset | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 11.27 Evaluated at bid price : 11.27 Bid-YTW : 4.49 % |
| BAM.PF.E | FixedReset | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.75 % |
| NA.PR.S | FixedReset | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 18.91 Evaluated at bid price : 18.91 Bid-YTW : 4.37 % |
| TD.PF.E | FixedReset | 2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 4.34 % |
| FTS.PR.K | FixedReset | 2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 16.59 Evaluated at bid price : 16.59 Bid-YTW : 4.48 % |
| MFC.PR.G | FixedReset | 2.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.96 Bid-YTW : 7.52 % |
| HSE.PR.G | FixedReset | 2.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.81 % |
| TRP.PR.C | FixedReset | 2.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 11.80 Evaluated at bid price : 11.80 Bid-YTW : 4.75 % |
| FTS.PR.H | FixedReset | 3.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 13.10 Evaluated at bid price : 13.10 Bid-YTW : 4.28 % |
| TD.PF.D | FixedReset | 3.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.33 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| NA.PR.X | FixedReset | 132,400 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-15 Maturity Price : 25.00 Evaluated at bid price : 26.45 Bid-YTW : 4.59 % |
| CU.PR.G | Perpetual-Discount | 123,485 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 5.56 % |
| MFC.PR.O | FixedReset | 112,070 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.17 Bid-YTW : 4.75 % |
| FTS.PR.M | FixedReset | 83,673 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 18.52 Evaluated at bid price : 18.52 Bid-YTW : 4.58 % |
| CM.PR.P | FixedReset | 68,887 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-04-06 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.22 % |
| SLF.PR.G | FixedReset | 60,920 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.35 Bid-YTW : 10.45 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.L | FixedReset | Quote: 17.90 – 18.49 Spot Rate : 0.5900 Average : 0.3762 YTW SCENARIO |
| BMO.PR.T | FixedReset | Quote: 18.50 – 19.00 Spot Rate : 0.5000 Average : 0.3644 YTW SCENARIO |
| TD.PF.B | FixedReset | Quote: 18.55 – 18.95 Spot Rate : 0.4000 Average : 0.2682 YTW SCENARIO |
| HSE.PR.A | FixedReset | Quote: 10.06 – 10.50 Spot Rate : 0.4400 Average : 0.3113 YTW SCENARIO |
| TD.PF.A | FixedReset | Quote: 18.60 – 18.95 Spot Rate : 0.3500 Average : 0.2371 YTW SCENARIO |
| TRP.PR.D | FixedReset | Quote: 17.35 – 17.61 Spot Rate : 0.2600 Average : 0.1590 YTW SCENARIO |
Just looking at the fixed reset pref market today and it is WAY up! The insurance fixed resets in particular – several are up more than 4% this morning. Interest rates haven’t gone up today, oil hasn’t gone up today… so what’s happening? Did I miss some news?? Hope somebody can explain this to me!
I share your surprise and I miss James’ imaging the market’s daily performance. Whilst chuckling the bare bones, just imagine a drone lifting up like a rocket.
brian, here’s my take. After being demolished in the last year, I think fixed resets are looking for any hint of future interest rate increases. They are so beat down that if a whiff of rate increase surfaces, I see that they will start a sharp recovery – I can only hope.
I’ve seen several reports in the last week of the Canadian labour market surging in March that suggests that Canada is experiencing a strengthening economy. GDP is up, the best in 5 years, so some banks have revised their forecasts. The Canadian job market bounced back in March too, and so all these factors may lower pressure on any interest rate cuts that the central bank might have been considering next week. I’ll grab onto any port in the storm that will help the beat-down of my fixed resets.
ltr