Some illuminating charts from a Statistics Canada study:
Meanwhile, PrefBlog’s Department Studying Artificial Intelligence Because There’s Not Bloody Much Of The Real Kind has learned something of interest to insurers:
The predictions of early death that were made by AI algorithms were “significantly more accurate” than predictions delivered by a model that did not use machine learning, lead study author Dr. Stephen Weng, an assistant professor of epidemiology and data science at the University of Nottingham (UN) in the U.K., said in a statement.
It was an interesting day for the Canadian preferred share market, which steadily fell until 2:15pm, down 45bp, when the cavalry arrived and the index finished with a gain of 8bp on the day.
PerpetualDiscounts now yield 5.40%, equivalent to 7.02% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.66%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 335bp, a sharp narrowing from the 350bp reported March 20.
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 | -1.6354 % | 2,071.2 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.6354 % | 3,800.6 |
Floater | 5.65 % | 5.76 % | 42,018 | 14.26 | 3 | -1.6354 % | 2,190.3 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0397 % | 3,278.9 |
SplitShare | 4.87 % | 4.57 % | 78,137 | 3.88 | 8 | -0.0397 % | 3,915.7 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0397 % | 3,055.2 |
Perpetual-Premium | 5.66 % | -11.00 % | 62,970 | 0.09 | 7 | 0.1572 % | 2,936.0 |
Perpetual-Discount | 5.36 % | 5.40 % | 79,909 | 14.66 | 26 | 0.4300 % | 3,113.7 |
FixedReset Disc | 5.29 % | 5.27 % | 197,244 | 14.97 | 64 | -0.3692 % | 2,156.8 |
Deemed-Retractible | 5.21 % | 5.75 % | 99,020 | 8.20 | 27 | 0.3806 % | 3,081.7 |
FloatingReset | 4.25 % | 4.04 % | 40,508 | 2.72 | 5 | -0.5003 % | 2,375.4 |
FixedReset Prem | 5.07 % | 3.73 % | 319,716 | 2.22 | 19 | 0.2101 % | 2,571.3 |
FixedReset Bank Non | 1.98 % | 4.12 % | 147,250 | 2.74 | 3 | 0.0977 % | 2,626.8 |
FixedReset Ins Non | 5.05 % | 6.53 % | 113,487 | 8.35 | 22 | -0.3190 % | 2,233.7 |
Performance Highlights | |||
Issue | Index | Change | Notes |
SLF.PR.G | FixedReset Ins Non | -3.71 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.01 Bid-YTW : 9.34 % |
MFC.PR.F | FixedReset Ins Non | -3.66 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.97 Bid-YTW : 9.25 % |
TRP.PR.G | FixedReset Disc | -3.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 6.02 % |
SLF.PR.J | FloatingReset | -2.86 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.28 Bid-YTW : 9.51 % |
GWO.PR.N | FixedReset Ins Non | -2.79 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.29 Bid-YTW : 8.90 % |
HSE.PR.C | FixedReset Disc | -2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 18.38 Evaluated at bid price : 18.38 Bid-YTW : 6.28 % |
RY.PR.M | FixedReset Disc | -2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 19.68 Evaluated at bid price : 19.68 Bid-YTW : 5.19 % |
BAM.PF.F | FixedReset Disc | -2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 5.69 % |
BAM.PR.K | Floater | -2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 11.88 Evaluated at bid price : 11.88 Bid-YTW : 5.84 % |
RY.PR.J | FixedReset Disc | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 19.99 Evaluated at bid price : 19.99 Bid-YTW : 5.27 % |
PWF.PR.A | Floater | -2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 12.78 Evaluated at bid price : 12.78 Bid-YTW : 5.48 % |
CM.PR.O | FixedReset Disc | -1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 18.28 Evaluated at bid price : 18.28 Bid-YTW : 5.17 % |
TD.PF.C | FixedReset Disc | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 18.64 Evaluated at bid price : 18.64 Bid-YTW : 5.06 % |
BAM.PF.D | Perpetual-Discount | -1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 21.65 Evaluated at bid price : 21.65 Bid-YTW : 5.69 % |
CM.PR.P | FixedReset Disc | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 17.38 Evaluated at bid price : 17.38 Bid-YTW : 5.33 % |
SLF.PR.H | FixedReset Ins Non | -1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.00 Bid-YTW : 7.87 % |
BMO.PR.E | FixedReset Disc | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 21.99 Evaluated at bid price : 22.50 Bid-YTW : 4.82 % |
MFC.PR.L | FixedReset Ins Non | -1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.41 Bid-YTW : 7.88 % |
TD.PF.B | FixedReset Disc | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 5.14 % |
TRP.PR.F | FloatingReset | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 14.07 Evaluated at bid price : 14.07 Bid-YTW : 6.39 % |
GWO.PR.G | Deemed-Retractible | 1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.04 Bid-YTW : 5.71 % |
PWF.PR.Z | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 23.53 Evaluated at bid price : 23.89 Bid-YTW : 5.46 % |
SLF.PR.D | Deemed-Retractible | 1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.05 Bid-YTW : 6.53 % |
SLF.PR.A | Deemed-Retractible | 1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.35 Bid-YTW : 6.13 % |
BMO.PR.Y | FixedReset Disc | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.06 % |
PWF.PR.S | Perpetual-Discount | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 22.06 Evaluated at bid price : 22.44 Bid-YTW : 5.42 % |
TD.PF.E | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 21.06 Evaluated at bid price : 21.06 Bid-YTW : 5.15 % |
TRP.PR.A | FixedReset Disc | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 14.36 Evaluated at bid price : 14.36 Bid-YTW : 5.91 % |
PWF.PR.L | Perpetual-Discount | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 23.53 Evaluated at bid price : 23.80 Bid-YTW : 5.43 % |
SLF.PR.C | Deemed-Retractible | 1.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.12 Bid-YTW : 6.49 % |
IFC.PR.A | FixedReset Ins Non | 1.60 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.46 Bid-YTW : 8.09 % |
TRP.PR.B | FixedReset Disc | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 11.80 Evaluated at bid price : 11.80 Bid-YTW : 5.75 % |
GWO.PR.H | Deemed-Retractible | 1.77 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 5.88 % |
CU.PR.D | Perpetual-Discount | 2.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 22.88 Evaluated at bid price : 23.14 Bid-YTW : 5.34 % |
PWF.PR.K | Perpetual-Discount | 3.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 23.09 Evaluated at bid price : 23.35 Bid-YTW : 5.37 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
SLF.PR.A | Deemed-Retractible | 584,603 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.35 Bid-YTW : 6.13 % |
GWO.PR.I | Deemed-Retractible | 306,985 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.25 Bid-YTW : 6.47 % |
PWF.PR.S | Perpetual-Discount | 219,640 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 22.06 Evaluated at bid price : 22.44 Bid-YTW : 5.42 % |
GWO.PR.L | Deemed-Retractible | 211,635 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-04-26 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : -9.59 % |
GWO.PR.M | Deemed-Retractible | 116,800 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.39 Bid-YTW : -11.36 % |
PWF.PR.F | Perpetual-Discount | 102,371 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-03-27 Maturity Price : 24.08 Evaluated at bid price : 24.34 Bid-YTW : 5.47 % |
SLF.PR.B | Deemed-Retractible | 101,850 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.42 Bid-YTW : 6.14 % |
There were 39 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
IFC.PR.E | Deemed-Retractible | Quote: 23.80 – 24.91 Spot Rate : 1.1100 Average : 0.7785 YTW SCENARIO |
EMA.PR.F | FixedReset Disc | Quote: 19.15 – 19.79 Spot Rate : 0.6400 Average : 0.4085 YTW SCENARIO |
TRP.PR.G | FixedReset Disc | Quote: 18.30 – 19.05 Spot Rate : 0.7500 Average : 0.5251 YTW SCENARIO |
TD.PF.K | FixedReset Disc | Quote: 21.61 – 22.08 Spot Rate : 0.4700 Average : 0.3053 YTW SCENARIO |
BAM.PR.R | FixedReset Disc | Quote: 15.54 – 16.20 Spot Rate : 0.6600 Average : 0.4975 YTW SCENARIO |
CU.PR.F | Perpetual-Discount | Quote: 20.90 – 21.40 Spot Rate : 0.5000 Average : 0.3455 YTW SCENARIO |