Remember the thirty months following the dividend reset on TRP.PR.A that kicked off the bear market. Wasn’t that awful? It seems like every day the Government of Canada Five Year Yield would go down a little bit and the preferred share market would go down in sympathy.
Well, things are different now, thanks to President-elect Trump and his intended fiscal stimulus! Now the Government of Canada Five Year Yield goes up a little nearly every day and the preferred share market goes down in sympathy. Totally different environment.
PerpetualDiscounts now yield 5.39%, equivalent to 7.01% interest at the standard equivalency factor of 1.3x. Long corporates now yield just over 4.0%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a dramatic widening from the 275bp reported November 9.
| 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 | -0.4123 % | 1,724.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4123 % | 3,150.5 |
| Floater | 4.35 % | 4.51 % | 47,439 | 16.35 | 4 | -0.4123 % | 1,815.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0728 % | 2,896.7 |
| SplitShare | 4.83 % | 4.77 % | 45,468 | 4.32 | 6 | -0.0728 % | 3,459.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0728 % | 2,699.1 |
| Perpetual-Premium | 5.48 % | 5.32 % | 83,203 | 14.53 | 23 | -0.8627 % | 2,638.4 |
| Perpetual-Discount | 5.44 % | 5.41 % | 90,140 | 14.76 | 15 | -0.6209 % | 2,756.2 |
| FixedReset | 4.91 % | 4.63 % | 186,769 | 6.79 | 93 | -1.2917 % | 2,074.1 |
| Deemed-Retractible | 5.17 % | 5.35 % | 131,963 | 4.51 | 32 | -0.4450 % | 2,728.7 |
| FloatingReset | 2.81 % | 3.54 % | 42,475 | 4.90 | 12 | -0.6318 % | 2,308.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.C | FixedReset | -3.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 13.09 Evaluated at bid price : 13.09 Bid-YTW : 4.58 % |
| TRP.PR.B | FixedReset | -3.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 12.01 Evaluated at bid price : 12.01 Bid-YTW : 4.54 % |
| TRP.PR.F | FloatingReset | -3.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 4.09 % |
| TRP.PR.A | FixedReset | -2.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 15.28 Evaluated at bid price : 15.28 Bid-YTW : 4.78 % |
| RY.PR.P | Perpetual-Premium | -2.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 24.40 Evaluated at bid price : 24.80 Bid-YTW : 5.30 % |
| BAM.PF.A | FixedReset | -2.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 19.47 Evaluated at bid price : 19.47 Bid-YTW : 5.02 % |
| BAM.PF.E | FixedReset | -2.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 19.43 Evaluated at bid price : 19.43 Bid-YTW : 4.72 % |
| BAM.PF.F | FixedReset | -2.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 20.67 Evaluated at bid price : 20.67 Bid-YTW : 4.73 % |
| TRP.PR.H | FloatingReset | -2.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 11.00 Evaluated at bid price : 11.00 Bid-YTW : 3.99 % |
| RY.PR.M | FixedReset | -2.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 20.09 Evaluated at bid price : 20.09 Bid-YTW : 4.39 % |
| BAM.PR.X | FixedReset | -2.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 14.41 Evaluated at bid price : 14.41 Bid-YTW : 4.81 % |
| MFC.PR.I | FixedReset | -2.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.45 Bid-YTW : 6.88 % |
| BAM.PR.Z | FixedReset | -2.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 19.33 Evaluated at bid price : 19.33 Bid-YTW : 5.13 % |
| FTS.PR.H | FixedReset | -2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 13.71 Evaluated at bid price : 13.71 Bid-YTW : 4.30 % |
| IFC.PR.C | FixedReset | -2.34 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 7.66 % |
| CM.PR.P | FixedReset | -2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 18.58 Evaluated at bid price : 18.58 Bid-YTW : 4.38 % |
| GWO.PR.N | FixedReset | -2.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.35 Bid-YTW : 11.03 % |
| FTS.PR.M | FixedReset | -2.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 4.46 % |
| HSE.PR.G | FixedReset | -2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 21.47 Evaluated at bid price : 21.47 Bid-YTW : 5.24 % |
| VNR.PR.A | FixedReset | -2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 4.99 % |
| MFC.PR.M | FixedReset | -2.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.82 Bid-YTW : 7.79 % |
| MFC.PR.N | FixedReset | -2.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.90 Bid-YTW : 7.65 % |
| HSE.PR.E | FixedReset | -2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 21.18 Evaluated at bid price : 21.18 Bid-YTW : 5.34 % |
| CM.PR.Q | FixedReset | -2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 4.43 % |
| RY.PR.J | FixedReset | -2.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 20.41 Evaluated at bid price : 20.41 Bid-YTW : 4.44 % |
| RY.PR.W | Perpetual-Premium | -2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 24.02 Evaluated at bid price : 24.27 Bid-YTW : 5.06 % |
| BAM.PF.B | FixedReset | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 18.16 Evaluated at bid price : 18.16 Bid-YTW : 5.04 % |
| BAM.PF.G | FixedReset | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.67 % |
| GWO.PR.Q | Deemed-Retractible | -2.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.91 Bid-YTW : 5.97 % |
| MFC.PR.H | FixedReset | -2.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 6.04 % |
| POW.PR.D | Perpetual-Discount | -1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 23.06 Evaluated at bid price : 23.32 Bid-YTW : 5.41 % |
| TD.PF.F | Perpetual-Premium | -1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 23.91 Evaluated at bid price : 24.29 Bid-YTW : 5.07 % |
| TD.PF.E | FixedReset | -1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 4.43 % |
| MFC.PR.G | FixedReset | -1.84 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.76 Bid-YTW : 6.61 % |
| BNS.PR.R | FixedReset | -1.84 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.06 Bid-YTW : 4.09 % |
| IAG.PR.A | Deemed-Retractible | -1.79 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 6.65 % |
| CM.PR.O | FixedReset | -1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 19.06 Evaluated at bid price : 19.06 Bid-YTW : 4.37 % |
| MFC.PR.J | FixedReset | -1.73 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.36 Bid-YTW : 7.43 % |
| HSE.PR.A | FixedReset | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 12.04 Evaluated at bid price : 12.04 Bid-YTW : 5.37 % |
| CU.PR.I | FixedReset | -1.70 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 26.05 Bid-YTW : 3.35 % |
| BNS.PR.Q | FixedReset | -1.69 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.86 Bid-YTW : 4.01 % |
| ELF.PR.G | Perpetual-Discount | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 21.91 Evaluated at bid price : 22.15 Bid-YTW : 5.41 % |
| BAM.PR.C | Floater | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 10.52 Evaluated at bid price : 10.52 Bid-YTW : 4.54 % |
| MFC.PR.L | FixedReset | -1.67 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.28 Bid-YTW : 8.02 % |
| MFC.PR.K | FixedReset | -1.66 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.82 Bid-YTW : 8.31 % |
| RY.PR.O | Perpetual-Premium | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 23.89 Evaluated at bid price : 24.26 Bid-YTW : 5.05 % |
| PWF.PR.T | FixedReset | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 19.84 Evaluated at bid price : 19.84 Bid-YTW : 4.25 % |
| BAM.PR.T | FixedReset | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 5.06 % |
| RY.PR.N | Perpetual-Premium | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 23.90 Evaluated at bid price : 24.27 Bid-YTW : 5.05 % |
| POW.PR.B | Perpetual-Premium | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 24.09 Evaluated at bid price : 24.35 Bid-YTW : 5.55 % |
| TD.PF.B | FixedReset | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 18.53 Evaluated at bid price : 18.53 Bid-YTW : 4.40 % |
| FTS.PR.K | FixedReset | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 4.33 % |
| BNS.PR.G | FixedReset | -1.48 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 26.02 Bid-YTW : 4.63 % |
| RY.PR.Q | FixedReset | -1.44 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.95 Bid-YTW : 4.56 % |
| TRP.PR.D | FixedReset | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 17.77 Evaluated at bid price : 17.77 Bid-YTW : 4.75 % |
| NA.PR.X | FixedReset | -1.44 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-15 Maturity Price : 25.00 Evaluated at bid price : 26.02 Bid-YTW : 4.62 % |
| TD.PF.G | FixedReset | -1.44 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.05 Bid-YTW : 4.53 % |
| TD.PF.D | FixedReset | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 4.43 % |
| BNS.PR.E | FixedReset | -1.36 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 26.06 Bid-YTW : 4.54 % |
| SLF.PR.H | FixedReset | -1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.66 Bid-YTW : 8.79 % |
| MFC.PR.F | FixedReset | -1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.42 Bid-YTW : 11.03 % |
| TRP.PR.E | FixedReset | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 18.16 Evaluated at bid price : 18.16 Bid-YTW : 4.70 % |
| PWF.PR.S | Perpetual-Discount | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 21.75 Evaluated at bid price : 22.04 Bid-YTW : 5.48 % |
| RY.PR.R | FixedReset | -1.29 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.06 Bid-YTW : 4.51 % |
| SLF.PR.G | FixedReset | -1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.37 Bid-YTW : 10.10 % |
| BNS.PR.Y | FixedReset | -1.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.65 Bid-YTW : 5.78 % |
| BMO.PR.S | FixedReset | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.30 % |
| POW.PR.A | Perpetual-Premium | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 24.60 Evaluated at bid price : 24.86 Bid-YTW : 5.69 % |
| HSE.PR.C | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 5.32 % |
| BMO.PR.Z | Perpetual-Premium | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 24.11 Evaluated at bid price : 24.50 Bid-YTW : 5.10 % |
| RY.PR.H | FixedReset | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 18.95 Evaluated at bid price : 18.95 Bid-YTW : 4.29 % |
| MFC.PR.C | Deemed-Retractible | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.01 Bid-YTW : 7.27 % |
| IGM.PR.B | Perpetual-Premium | -1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 5.76 % |
| GWO.PR.R | Deemed-Retractible | -1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.40 Bid-YTW : 6.60 % |
| PWF.PR.L | Perpetual-Premium | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 23.44 Evaluated at bid price : 23.73 Bid-YTW : 5.41 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.B | FixedReset | 101,296 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.27 Bid-YTW : 4.72 % |
| PWF.PR.P | FixedReset | 95,750 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 13.40 Evaluated at bid price : 13.40 Bid-YTW : 4.58 % |
| TRP.PR.H | FloatingReset | 86,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-16 Maturity Price : 11.00 Evaluated at bid price : 11.00 Bid-YTW : 3.99 % |
| BMO.PR.L | Deemed-Retractible | 74,568 | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 3.57 % |
| RY.PR.A | Deemed-Retractible | 61,968 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-16 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 3.29 % |
| RY.PR.G | Deemed-Retractible | 61,960 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-16 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 2.83 % |
| There were 81 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.D | FloatingReset | Quote: 19.55 – 22.00 Spot Rate : 2.4500 Average : 1.9908 YTW SCENARIO |
| RY.PR.W | Perpetual-Premium | Quote: 24.27 – 24.80 Spot Rate : 0.5300 Average : 0.3263 YTW SCENARIO |
| W.PR.K | FixedReset | Quote: 25.28 – 25.89 Spot Rate : 0.6100 Average : 0.4140 YTW SCENARIO |
| TRP.PR.H | FloatingReset | Quote: 11.00 – 11.50 Spot Rate : 0.5000 Average : 0.3420 YTW SCENARIO |
| RY.PR.P | Perpetual-Premium | Quote: 24.80 – 25.25 Spot Rate : 0.4500 Average : 0.3066 YTW SCENARIO |
| POW.PR.A | Perpetual-Premium | Quote: 24.86 – 25.15 Spot Rate : 0.2900 Average : 0.1676 YTW SCENARIO |
James, there are times that the only thing that gets me through is your sarcasm 🙂