A brief review of different types of yield calculation.
Look for the research link!
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 | -0.9446 % | 2,484.3 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.9446 % | 4,764.9 |
Floater | 5.01 % | 5.01 % | 45,701 | 15.49 | 3 | -0.9446 % | 2,746.0 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1655 % | 3,463.8 |
SplitShare | 4.91 % | 5.64 % | 45,136 | 3.15 | 8 | 0.1655 % | 4,136.5 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1655 % | 3,227.4 |
Perpetual-Premium | 6.08 % | 6.19 % | 78,067 | 13.52 | 2 | -0.3726 % | 2,844.8 |
Perpetual-Discount | 6.01 % | 6.11 % | 63,547 | 13.73 | 34 | -0.3312 % | 3,089.7 |
FixedReset Disc | 4.67 % | 6.48 % | 117,811 | 13.44 | 57 | -0.1192 % | 2,498.2 |
Insurance Straight | 6.06 % | 6.10 % | 91,642 | 13.77 | 19 | -1.0029 % | 2,968.0 |
FloatingReset | 5.86 % | 6.17 % | 46,884 | 13.65 | 2 | -0.4328 % | 2,614.3 |
FixedReset Prem | 5.07 % | 4.87 % | 137,622 | 1.98 | 9 | 0.1849 % | 2,602.8 |
FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1192 % | 2,553.7 |
FixedReset Ins Non | 4.59 % | 6.40 % | 70,171 | 13.53 | 15 | 0.5552 % | 2,613.9 |
Performance Highlights | |||
Issue | Index | Change | Notes |
IFC.PR.K | Perpetual-Discount | -4.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 21.31 Evaluated at bid price : 21.31 Bid-YTW : 6.20 % |
GWO.PR.R | Insurance Straight | -3.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 6.35 % |
RY.PR.J | FixedReset Disc | -3.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 20.69 Evaluated at bid price : 20.69 Bid-YTW : 6.68 % |
RY.PR.O | Perpetual-Discount | -2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 22.75 Evaluated at bid price : 23.00 Bid-YTW : 5.38 % |
IFC.PR.F | Insurance Straight | -2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 21.61 Evaluated at bid price : 21.91 Bid-YTW : 6.07 % |
GWO.PR.M | Insurance Straight | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 22.82 Evaluated at bid price : 23.10 Bid-YTW : 6.31 % |
BAM.PR.X | FixedReset Disc | -2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 7.40 % |
RY.PR.Z | FixedReset Disc | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.48 % |
SLF.PR.C | Insurance Straight | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 18.84 Evaluated at bid price : 18.84 Bid-YTW : 5.95 % |
SLF.PR.E | Insurance Straight | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 5.93 % |
GWO.PR.Y | Insurance Straight | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 6.26 % |
SLF.PR.D | Insurance Straight | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 5.93 % |
POW.PR.D | Perpetual-Discount | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.12 % |
GWO.PR.L | Insurance Straight | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 22.44 Evaluated at bid price : 22.70 Bid-YTW : 6.25 % |
BAM.PR.K | Floater | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 12.84 Evaluated at bid price : 12.84 Bid-YTW : 5.05 % |
IFC.PR.E | Insurance Straight | -1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 21.72 Evaluated at bid price : 22.05 Bid-YTW : 5.92 % |
MFC.PR.M | FixedReset Ins Non | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 19.03 Evaluated at bid price : 19.03 Bid-YTW : 7.04 % |
BIP.PR.A | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 7.67 % |
POW.PR.A | Perpetual-Discount | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 22.72 Evaluated at bid price : 23.01 Bid-YTW : 6.09 % |
CU.PR.J | Perpetual-Discount | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 6.11 % |
FTS.PR.G | FixedReset Disc | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 6.78 % |
PVS.PR.K | SplitShare | 1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 23.42 Bid-YTW : 5.64 % |
NA.PR.S | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.51 % |
CM.PR.Q | FixedReset Disc | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 21.28 Evaluated at bid price : 21.28 Bid-YTW : 6.40 % |
BAM.PF.C | Perpetual-Discount | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 6.15 % |
RY.PR.N | Perpetual-Discount | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 23.01 Evaluated at bid price : 23.41 Bid-YTW : 5.28 % |
MFC.PR.J | FixedReset Ins Non | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 22.67 Evaluated at bid price : 23.30 Bid-YTW : 6.26 % |
BAM.PF.D | Perpetual-Discount | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 20.06 Evaluated at bid price : 20.06 Bid-YTW : 6.15 % |
IFC.PR.A | FixedReset Ins Non | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 19.44 Evaluated at bid price : 19.44 Bid-YTW : 6.35 % |
MFC.PR.N | FixedReset Ins Non | 2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 18.82 Evaluated at bid price : 18.82 Bid-YTW : 6.98 % |
MFC.PR.K | FixedReset Ins Non | 2.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.40 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
CM.PR.R | FixedReset Disc | 249,950 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.94 Bid-YTW : 3.08 % |
FTS.PR.H | FixedReset Disc | 200,005 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 7.11 % |
PWF.PR.P | FixedReset Disc | 200,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 7.31 % |
CU.PR.I | FixedReset Prem | 150,600 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 4.37 % |
TRP.PR.C | FixedReset Disc | 102,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-28 Maturity Price : 13.51 Evaluated at bid price : 13.51 Bid-YTW : 7.66 % |
BAM.PF.I | FixedReset Prem | 69,825 | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-03-31 Maturity Price : 25.00 Evaluated at bid price : 26.14 Bid-YTW : 4.34 % |
There were 19 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
SLF.PR.J | FloatingReset | Quote: 15.81 – 25.00 Spot Rate : 9.1900 Average : 5.1755 YTW SCENARIO |
MFC.PR.L | FixedReset Ins Non | Quote: 18.75 – 24.35 Spot Rate : 5.6000 Average : 4.5078 YTW SCENARIO |
TRP.PR.C | FixedReset Disc | Quote: 13.51 – 17.00 Spot Rate : 3.4900 Average : 2.7509 YTW SCENARIO |
PWF.PR.H | Perpetual-Discount | Quote: 23.70 – 25.18 Spot Rate : 1.4800 Average : 0.8657 YTW SCENARIO |
POW.PR.A | Perpetual-Discount | Quote: 23.01 – 24.29 Spot Rate : 1.2800 Average : 0.7277 YTW SCENARIO |
BMO.PR.W | FixedReset Disc | Quote: 20.25 – 22.35 Spot Rate : 2.1000 Average : 1.5544 YTW SCENARIO |
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 | -0.3054 % | 2,508.0 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3054 % | 4,810.3 |
Floater | 4.96 % | 4.97 % | 47,650 | 15.55 | 3 | -0.3054 % | 2,772.2 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2280 % | 3,458.0 |
SplitShare | 4.92 % | 5.82 % | 45,590 | 3.15 | 8 | 0.2280 % | 4,129.6 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2280 % | 3,222.1 |
Perpetual-Premium | 6.05 % | 6.17 % | 81,036 | 13.55 | 2 | -0.4943 % | 2,855.4 |
Perpetual-Discount | 5.99 % | 6.08 % | 65,554 | 13.71 | 34 | -0.1715 % | 3,100.0 |
FixedReset Disc | 4.67 % | 6.47 % | 119,500 | 13.45 | 57 | -0.0380 % | 2,501.2 |
Insurance Straight | 6.00 % | 6.12 % | 93,227 | 13.77 | 19 | -0.1779 % | 2,998.0 |
FloatingReset | 5.83 % | 6.11 % | 48,509 | 13.74 | 2 | 0.9046 % | 2,625.7 |
FixedReset Prem | 5.08 % | 4.93 % | 136,536 | 1.98 | 9 | -0.0748 % | 2,598.0 |
FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0380 % | 2,556.7 |
FixedReset Ins Non | 4.62 % | 6.45 % | 70,688 | 13.39 | 15 | -1.1538 % | 2,599.5 |
Performance Highlights | |||
Issue | Index | Change | Notes |
MFC.PR.N | FixedReset Ins Non | -6.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 18.44 Evaluated at bid price : 18.44 Bid-YTW : 7.12 % |
IFC.PR.C | FixedReset Disc | -5.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 7.29 % |
MFC.PR.J | FixedReset Ins Non | -2.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 22.22 Evaluated at bid price : 22.95 Bid-YTW : 6.35 % |
MFC.PR.M | FixedReset Ins Non | -2.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 19.28 Evaluated at bid price : 19.28 Bid-YTW : 6.95 % |
BMO.PR.W | FixedReset Disc | -2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 6.52 % |
RY.PR.S | FixedReset Disc | -2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 23.10 Evaluated at bid price : 23.50 Bid-YTW : 5.95 % |
RY.PR.N | Perpetual-Discount | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 22.81 Evaluated at bid price : 23.06 Bid-YTW : 5.37 % |
BIP.PR.F | FixedReset Disc | -1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 22.70 Evaluated at bid price : 23.12 Bid-YTW : 6.56 % |
CU.PR.H | Perpetual-Discount | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 21.70 Evaluated at bid price : 21.70 Bid-YTW : 6.12 % |
IFC.PR.A | FixedReset Ins Non | -1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 6.45 % |
BAM.PF.E | FixedReset Disc | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 7.29 % |
MFC.PR.K | FixedReset Ins Non | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 6.55 % |
MFC.PR.L | FixedReset Ins Non | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 7.00 % |
IAF.PR.I | FixedReset Ins Non | -1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 23.37 Evaluated at bid price : 24.00 Bid-YTW : 6.18 % |
PVS.PR.K | SplitShare | -1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 23.18 Bid-YTW : 5.82 % |
NA.PR.S | FixedReset Disc | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 6.58 % |
ELF.PR.H | Perpetual-Discount | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 22.98 Evaluated at bid price : 23.25 Bid-YTW : 6.03 % |
TD.PF.D | FixedReset Disc | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 21.44 Evaluated at bid price : 21.44 Bid-YTW : 6.43 % |
GWO.PR.P | Insurance Straight | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 21.81 Evaluated at bid price : 22.05 Bid-YTW : 6.15 % |
IFC.PR.E | Insurance Straight | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 22.07 Evaluated at bid price : 22.35 Bid-YTW : 5.84 % |
PWF.PR.L | Perpetual-Discount | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 6.25 % |
CU.PR.J | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 6.04 % |
PWF.PR.P | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 14.30 Evaluated at bid price : 14.30 Bid-YTW : 7.29 % |
CCS.PR.C | Insurance Straight | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.91 % |
BAM.PF.G | FixedReset Disc | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 18.95 Evaluated at bid price : 18.95 Bid-YTW : 7.32 % |
BMO.PR.S | FixedReset Disc | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.32 % |
TRP.PR.F | FloatingReset | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 6.11 % |
CM.PR.Y | FixedReset Prem | 1.53 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 4.75 % |
CU.PR.G | Perpetual-Discount | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 5.98 % |
TRP.PR.D | FixedReset Disc | 2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 7.32 % |
PVS.PR.J | SplitShare | 2.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 23.12 Bid-YTW : 6.07 % |
CM.PR.O | FixedReset Disc | 2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 6.27 % |
IFC.PR.G | FixedReset Ins Non | 2.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 21.88 Evaluated at bid price : 22.40 Bid-YTW : 6.43 % |
BAM.PR.X | FixedReset Disc | 2.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 7.25 % |
RY.PR.M | FixedReset Disc | 3.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 6.41 % |
RY.PR.H | FixedReset Disc | 4.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 6.27 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
CM.PR.R | FixedReset Disc | 246,701 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.93 Bid-YTW : 3.43 % |
PWF.PR.H | Perpetual-Discount | 130,812 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 23.41 Evaluated at bid price : 23.70 Bid-YTW : 6.17 % |
BMO.PR.T | FixedReset Disc | 121,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 6.41 % |
CM.PR.O | FixedReset Disc | 108,925 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 6.27 % |
PWF.PR.S | Perpetual-Discount | 74,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 6.16 % |
PWF.PR.O | Perpetual-Discount | 68,760 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-27 Maturity Price : 23.48 Evaluated at bid price : 23.75 Bid-YTW : 6.21 % |
There were 13 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 Ins Non | Quote: 18.73 – 24.35 Spot Rate : 5.6200 Average : 3.3104 YTW SCENARIO |
TRP.PR.C | FixedReset Disc | Quote: 13.55 – 17.00 Spot Rate : 3.4500 Average : 1.9405 YTW SCENARIO |
IFC.PR.G | FixedReset Ins Non | Quote: 22.40 – 24.85 Spot Rate : 2.4500 Average : 1.6669 YTW SCENARIO |
CU.PR.J | Perpetual-Discount | Quote: 19.90 – 21.99 Spot Rate : 2.0900 Average : 1.3155 YTW SCENARIO |
BAM.PF.B | FixedReset Disc | Quote: 20.00 – 22.54 Spot Rate : 2.5400 Average : 1.7975 YTW SCENARIO |
BAM.PR.T | FixedReset Disc | Quote: 17.46 – 20.00 Spot Rate : 2.5400 Average : 1.8869 YTW SCENARIO |
As I state in the introduction to this essay:
Dividend Capture is an investment strategy that is based on the idea that market inefficiencies and differential taxation of capital gains and dividends can be exploited to produce excess returns by owning a security for a short period of time that includes the ex-Dividend date. One recommended strategy is to “Buy the stock the day before it goes X, capture the dividend, and sell it the next day. This is the most common Dividend Capture strategy, and the subject of the most academic research (Campbell and Beranck 1955, Durand and May 1960, etc). While the market is rising, this is the simplest, most efficient and least volatile way to capture dividends.”
I discuss various examples of Dividend Capture and examine the usefulness of the concept in the Canadian preferred share market.
Look for the research link!
TXPR closed at 619.18, up 1.53% on the day. Volume today was 781,400, second-lowest of the past 21 trading days.
CPD closed at 12.24, unchanged on the day. Volume was 125,610, third-highest of the past 21 trading days.
ZPR closed at 10.30 up 0.78% on the day. Volume of 142,060 was third-lowest of the past 21 trading days.
Five-year Canada yields were up a bit to 3.24% today.
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 | 0.5116 % | 2,515.7 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5116 % | 4,825.0 |
Floater | 4.94 % | 4.95 % | 49,665 | 15.60 | 3 | 0.5116 % | 2,780.7 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3458 % | 3,450.2 |
SplitShare | 4.93 % | 5.57 % | 44,993 | 3.16 | 8 | 0.3458 % | 4,120.3 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3458 % | 3,214.8 |
Perpetual-Premium | 6.02 % | 6.11 % | 77,414 | 13.65 | 2 | 0.5176 % | 2,869.6 |
Perpetual-Discount | 5.98 % | 6.07 % | 66,443 | 13.77 | 34 | 0.9200 % | 3,105.3 |
FixedReset Disc | 4.66 % | 6.40 % | 119,220 | 13.53 | 57 | 0.7459 % | 2,502.2 |
Insurance Straight | 5.99 % | 6.08 % | 91,904 | 13.82 | 19 | 0.4671 % | 3,003.4 |
FloatingReset | 5.89 % | 6.20 % | 48,873 | 13.62 | 2 | 0.7859 % | 2,602.2 |
FixedReset Prem | 5.07 % | 5.34 % | 138,727 | 1.97 | 9 | 0.2779 % | 2,600.0 |
FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7459 % | 2,557.7 |
FixedReset Ins Non | 4.56 % | 6.38 % | 73,601 | 13.64 | 15 | 0.7494 % | 2,629.8 |
Performance Highlights | |||
Issue | Index | Change | Notes |
GWO.PR.M | Insurance Straight | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 23.39 Evaluated at bid price : 23.68 Bid-YTW : 6.15 % |
BAM.PR.X | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 7.38 % |
IFC.PR.K | Perpetual-Discount | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 21.75 Evaluated at bid price : 22.05 Bid-YTW : 5.97 % |
BIP.PR.B | FixedReset Prem | 1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.51 % |
SLF.PR.E | Insurance Straight | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 5.83 % |
BNS.PR.I | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 23.61 Evaluated at bid price : 24.00 Bid-YTW : 5.86 % |
TD.PF.A | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 20.93 Evaluated at bid price : 20.93 Bid-YTW : 6.24 % |
RY.PR.N | Perpetual-Discount | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 23.08 Evaluated at bid price : 23.51 Bid-YTW : 5.25 % |
PWF.PR.L | Perpetual-Discount | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 6.18 % |
IFC.PR.E | Insurance Straight | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 22.25 Evaluated at bid price : 22.60 Bid-YTW : 5.77 % |
PWF.PR.K | Perpetual-Discount | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 6.20 % |
TD.PF.M | FixedReset Prem | 1.17 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.09 Bid-YTW : 5.34 % |
CU.PR.G | Perpetual-Discount | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 6.07 % |
IFC.PR.I | Perpetual-Discount | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 22.38 Evaluated at bid price : 22.77 Bid-YTW : 5.94 % |
GWO.PR.Q | Insurance Straight | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 6.16 % |
TD.PF.D | FixedReset Disc | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 21.37 Evaluated at bid price : 21.69 Bid-YTW : 6.30 % |
PWF.PR.F | Perpetual-Discount | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 21.34 Evaluated at bid price : 21.61 Bid-YTW : 6.17 % |
PWF.PF.A | Perpetual-Discount | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 6.18 % |
GWO.PR.Y | Insurance Straight | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 6.09 % |
BAM.PR.M | Perpetual-Discount | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 6.07 % |
TRP.PR.F | FloatingReset | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 16.31 Evaluated at bid price : 16.31 Bid-YTW : 6.20 % |
FTS.PR.G | FixedReset Disc | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 20.07 Evaluated at bid price : 20.07 Bid-YTW : 6.63 % |
IFC.PR.A | FixedReset Ins Non | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 6.28 % |
RY.PR.S | FixedReset Disc | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 23.62 Evaluated at bid price : 24.00 Bid-YTW : 5.78 % |
TRP.PR.C | FixedReset Disc | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 13.49 Evaluated at bid price : 13.49 Bid-YTW : 7.60 % |
POW.PR.G | Perpetual-Discount | 1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 23.15 Evaluated at bid price : 23.45 Bid-YTW : 5.97 % |
CU.PR.D | Perpetual-Discount | 2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 6.09 % |
PWF.PR.T | FixedReset Disc | 2.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 6.63 % |
MFC.PR.M | FixedReset Ins Non | 2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 19.84 Evaluated at bid price : 19.84 Bid-YTW : 6.70 % |
BAM.PF.E | FixedReset Disc | 2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 18.77 Evaluated at bid price : 18.77 Bid-YTW : 7.11 % |
GWO.PR.S | Insurance Straight | 2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.14 % |
GWO.PR.N | FixedReset Ins Non | 2.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 13.75 Evaluated at bid price : 13.75 Bid-YTW : 6.98 % |
CU.PR.F | Perpetual-Discount | 2.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 5.96 % |
FTS.PR.M | FixedReset Disc | 2.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 6.75 % |
PVS.PR.K | SplitShare | 3.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 5.57 % |
CU.PR.C | FixedReset Disc | 3.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 21.50 Evaluated at bid price : 21.80 Bid-YTW : 6.34 % |
CU.PR.H | Perpetual-Discount | 3.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 22.09 Evaluated at bid price : 22.09 Bid-YTW : 6.01 % |
TRP.PR.A | FixedReset Disc | 3.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 7.55 % |
IFC.PR.C | FixedReset Disc | 3.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.88 % |
BAM.PR.T | FixedReset Disc | 3.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 17.59 Evaluated at bid price : 17.59 Bid-YTW : 7.11 % |
MFC.PR.N | FixedReset Ins Non | 4.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 19.66 Evaluated at bid price : 19.66 Bid-YTW : 6.64 % |
TRP.PR.E | FixedReset Disc | 7.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 7.32 % |
MIC.PR.A | Perpetual-Discount | 9.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 21.30 Evaluated at bid price : 21.60 Bid-YTW : 6.27 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
BMO.PR.T | FixedReset Disc | 34,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 6.36 % |
CM.PR.S | FixedReset Disc | 30,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 22.36 Evaluated at bid price : 23.21 Bid-YTW : 6.08 % |
PWF.PR.S | Perpetual-Discount | 29,030 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 6.14 % |
CM.PR.R | FixedReset Disc | 26,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 3.32 % |
PWF.PR.O | Perpetual-Discount | 22,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-24 Maturity Price : 23.53 Evaluated at bid price : 23.80 Bid-YTW : 6.19 % |
CU.PR.I | FixedReset Prem | 21,900 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 4.48 % |
There were 10 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
IFC.PR.E | Insurance Straight | Quote: 22.60 – 23.98 Spot Rate : 1.3800 Average : 0.9558 YTW SCENARIO |
CM.PR.O | FixedReset Disc | Quote: 20.95 – 22.00 Spot Rate : 1.0500 Average : 0.7119 YTW SCENARIO |
BAM.PR.X | FixedReset Disc | Quote: 17.01 – 18.00 Spot Rate : 0.9900 Average : 0.7710 YTW SCENARIO |
TRP.PR.B | FixedReset Disc | Quote: 12.81 – 14.29 Spot Rate : 1.4800 Average : 1.2721 YTW SCENARIO |
IFC.PR.G | FixedReset Ins Non | Quote: 21.90 – 22.90 Spot Rate : 1.0000 Average : 0.8082 YTW SCENARIO |
BAM.PR.N | Perpetual-Discount | Quote: 19.21 – 19.83 Spot Rate : 0.6200 Average : 0.4337 YTW SCENARIO |
This essay extends the prior discussion of annuities presented in Annuities Part 1 and The Annuity Decision.
A retirement calculator is provided and discussed, with notes on its design, shortcomings and potential for future enhancements.
I conclude in part:
My advice is to remain as flexible as possible. Retirement plans should be updated annually, while eschewing the temptation to over-manage one’s assets. Investors should focus on a 15-year plan (at the most) rather than a 30-year plan, while keeping a sharp eye not on the prospects for ruin, but for the prospects of large cuts in final results.
If, for instance, the first 15 years of retirement investment go badly, there is no need to continue with the same allocation for the next 15; and this should be recognized at year zero. In year 15 an annuity will be a lot cheaper than it is at year zero, and risk should be assessed with this in mind. In many cases, I suggest, an annuity purchase should be deferred, using the potential for annuity purchase as a safety net for one’s retirement planning. After all, they grow a bit cheaper every day of your life! They also represent an irreversible decision – so plan to drop off your cheque on your way home from the doctor’s office, not on the way there!
Cash is important. If at all possible, withdrawals from the portfolio should be funded by portfolio income; if there is a shortfall, consider shifting to higher yielding assets (without assuming too much risk, of course! It should be recognized that a higher cash yield will result in a lower expected capital gain). If that still does not solve the problem, an annuity should be considered.
And, by all means, don’t take this or any other financial projection too seriously. They are useful as background, to allow you to play with the effects of different decisions, but they all rely on highly uncertain predictions of future events. Remember: I didn’t predict a wave of revolts across the Middle East this year – and neither did anybody else.
Look for the research link!
TXPR closed at 609.84, down 0.70% on the day. Volume today was 2.58-million, third-highest of the past 21 trading days.
CPD closed at 12.24, down 0.08% on the day. Volume was 87,630, above the median of the past 21 trading days.
ZPR closed at 10.22 down 0.58% on the day. Volume of 211,150 was below the median of the past 21 trading days.
Five-year Canada yields were down sharply to 3.21% today; the volatility is amazing:
U.S. Treasury yields fell to their lowest levels in almost two weeks on Thursday, as data from the euro area stoked worries about a sharp slowdown in the global economy.
Euro zone business growth has slowed significantly this month – and by much more than expected – as consumers concerned about soaring bills opted to stay at home and defer purchases to save money, a survey showed on Thursday.
In London trade, the 10-year Treasury yield fell to 3.087 % , its lowest level in almost two weeks. It was down 6 bps on the day and followed sharp falls in bond yields across the euro area.
…
S&P Global’s flash euro zone Composite Purchasing Managers’ Index (PMI), seen as a good gauge of overall economic health, slumped to 51.9 in June from 54.8 in May, far below the 54.0 predicted in a Reuters poll.
…
Since hitting its highest since 2011 early last week, the benchmark 10-year Treasury yield has tumbled around 40 bps, highlighting investor uncertainty in the wake of aggressive monetary tightening from the Federal Reserve
There’s a lot of weeping and wailing about how abnormally high interests rates are right now:
Rising rates could bake higher expenses into family finances for years. With a fixed-rate mortgage, you are locking in today’s higher payments in for whatever term you choose. From that perspective, the familiar old five-year fixed rate mortgage doesn’t look great.
Higher mortgage costs also make houses less affordable to buy, which is itself a retirement problem. In no way does a home guarantee a financially secure retirement. But if you do own one, you have a valuable asset to sell in order to free up money for retirement costs like care provided through in-home services or nursing homes.
…
A return to normal inflation levels and an interest rate reversal would help avert this crisis, but we have a broader affordability problem to contend with in the form of lifestyle inflation.
I don’t get it. I don’t see anything abnormal at all about GOC-5 yields in the 3.00%-3.50% range when inflation is at 2% (or at least is projected to be there, according to the Canada Break-Even Inflation Rate). What I think is abnormal is fourteen years of ridiculously low yields, negative real yields, even negative NOMINAL yields, for heavens sake. Hell, it used to be that a negative yield on US Treasury Bills was breathlessly mentioned in textbooks as a gross aberation that only existed fleetingly due to special conditions in the Great Depression. And after reading this factoid, you checked it with a puzzled frown. Now, not so much.
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 | 0.1024 % | 2,502.9 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1024 % | 4,800.5 |
Floater | 4.97 % | 4.98 % | 50,100 | 15.55 | 3 | 0.1024 % | 2,766.5 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5919 % | 3,438.3 |
SplitShare | 4.95 % | 6.04 % | 43,939 | 3.16 | 8 | -0.5919 % | 4,106.1 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5919 % | 3,203.7 |
Perpetual-Premium | 6.06 % | 6.14 % | 78,594 | 13.60 | 2 | -0.6173 % | 2,854.8 |
Perpetual-Discount | 6.03 % | 6.15 % | 66,956 | 13.68 | 34 | -0.4489 % | 3,077.0 |
FixedReset Disc | 4.70 % | 6.41 % | 121,105 | 13.48 | 57 | -0.5125 % | 2,483.6 |
Insurance Straight | 6.02 % | 6.07 % | 87,547 | 13.82 | 19 | 0.3741 % | 2,989.4 |
FloatingReset | 5.93 % | 6.30 % | 50,870 | 13.48 | 2 | -2.8702 % | 2,581.9 |
FixedReset Prem | 5.09 % | 5.57 % | 135,830 | 1.97 | 9 | 0.0485 % | 2,592.8 |
FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5125 % | 2,538.8 |
FixedReset Ins Non | 4.60 % | 6.39 % | 76,328 | 13.60 | 15 | -1.4767 % | 2,610.2 |
Performance Highlights | |||
Issue | Index | Change | Notes |
IFC.PR.C | FixedReset Disc | -10.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 18.36 Evaluated at bid price : 18.36 Bid-YTW : 7.10 % |
MIC.PR.A | Perpetual-Discount | -8.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 6.88 % |
TRP.PR.E | FixedReset Disc | -7.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 7.86 % |
GWO.PR.N | FixedReset Ins Non | -4.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 13.40 Evaluated at bid price : 13.40 Bid-YTW : 7.15 % |
MFC.PR.N | FixedReset Ins Non | -4.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 18.79 Evaluated at bid price : 18.79 Bid-YTW : 6.93 % |
PWF.PR.P | FixedReset Disc | -4.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 14.12 Evaluated at bid price : 14.12 Bid-YTW : 7.31 % |
TRP.PR.F | FloatingReset | -3.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 16.06 Evaluated at bid price : 16.06 Bid-YTW : 6.30 % |
TRP.PR.A | FixedReset Disc | -3.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 7.79 % |
MFC.PR.M | FixedReset Ins Non | -3.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 6.85 % |
CU.PR.G | Perpetual-Discount | -2.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 18.53 Evaluated at bid price : 18.53 Bid-YTW : 6.14 % |
MFC.PR.F | FixedReset Ins Non | -2.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 14.77 Evaluated at bid price : 14.77 Bid-YTW : 6.87 % |
RY.PR.M | FixedReset Disc | -2.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 20.07 Evaluated at bid price : 20.07 Bid-YTW : 6.55 % |
PWF.PF.A | Perpetual-Discount | -2.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 6.26 % |
SLF.PR.J | FloatingReset | -2.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 5.60 % |
IFC.PR.A | FixedReset Ins Non | -2.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 19.13 Evaluated at bid price : 19.13 Bid-YTW : 6.38 % |
MFC.PR.L | FixedReset Ins Non | -2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 6.89 % |
BIP.PR.F | FixedReset Disc | -2.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 23.11 Evaluated at bid price : 23.54 Bid-YTW : 6.39 % |
RY.PR.H | FixedReset Disc | -2.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.46 % |
CU.PR.H | Perpetual-Discount | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 6.21 % |
BAM.PR.T | FixedReset Disc | -2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 16.93 Evaluated at bid price : 16.93 Bid-YTW : 7.37 % |
MFC.PR.K | FixedReset Ins Non | -2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 6.39 % |
BIP.PR.A | FixedReset Disc | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 7.58 % |
GWO.PR.S | Insurance Straight | -1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.29 % |
RY.PR.N | Perpetual-Discount | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 22.91 Evaluated at bid price : 23.26 Bid-YTW : 5.31 % |
CU.PR.C | FixedReset Disc | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 6.55 % |
PVS.PR.K | SplitShare | -1.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 6.09 % |
TRP.PR.D | FixedReset Disc | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 7.46 % |
BIP.PR.E | FixedReset Disc | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 22.57 Evaluated at bid price : 23.17 Bid-YTW : 6.62 % |
CU.PR.D | Perpetual-Discount | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 19.93 Evaluated at bid price : 19.93 Bid-YTW : 6.22 % |
BAM.PF.G | FixedReset Disc | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 7.30 % |
PVS.PR.G | SplitShare | -1.23 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2026-02-28 Maturity Price : 25.00 Evaluated at bid price : 24.10 Bid-YTW : 6.11 % |
BAM.PR.R | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 16.94 Evaluated at bid price : 16.94 Bid-YTW : 7.26 % |
SLF.PR.H | FixedReset Ins Non | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 6.79 % |
POW.PR.G | Perpetual-Discount | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 6.09 % |
FTS.PR.M | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 6.94 % |
TRP.PR.C | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 13.26 Evaluated at bid price : 13.26 Bid-YTW : 7.72 % |
IFC.PR.G | FixedReset Ins Non | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 21.68 Evaluated at bid price : 22.10 Bid-YTW : 6.46 % |
BIP.PR.B | FixedReset Prem | -1.00 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 5.82 % |
BAM.PF.D | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 6.21 % |
GWO.PR.M | Insurance Straight | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 6.06 % |
BAM.PR.Z | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 23.00 Evaluated at bid price : 23.75 Bid-YTW : 6.42 % |
CCS.PR.C | Insurance Straight | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 5.98 % |
GWO.PR.Y | Insurance Straight | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 18.32 Evaluated at bid price : 18.32 Bid-YTW : 6.18 % |
RY.PR.Z | FixedReset Disc | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 6.34 % |
GWO.PR.R | Insurance Straight | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 6.16 % |
POW.PR.A | Perpetual-Discount | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 23.06 Evaluated at bid price : 23.32 Bid-YTW : 6.01 % |
POW.PR.D | Perpetual-Discount | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.97 % |
MFC.PR.B | Insurance Straight | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 5.93 % |
CM.PR.O | FixedReset Disc | 2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 6.33 % |
BMO.PR.T | FixedReset Disc | 2.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 6.34 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
CM.PR.R | FixedReset Disc | 810,300 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 3.23 % |
BMO.PR.T | FixedReset Disc | 103,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 6.34 % |
TD.PF.A | FixedReset Disc | 81,575 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 6.31 % |
BMO.PR.W | FixedReset Disc | 50,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 6.33 % |
PWF.PF.A | Perpetual-Discount | 42,951 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 6.26 % |
RY.PR.H | FixedReset Disc | 42,587 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-23 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.46 % |
There were 25 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
MIC.PR.A | Perpetual-Discount | Quote: 19.75 – 22.83 Spot Rate : 3.0800 Average : 1.7463 YTW SCENARIO |
BAM.PF.B | FixedReset Disc | Quote: 20.06 – 22.54 Spot Rate : 2.4800 Average : 1.5901 YTW SCENARIO |
BAM.PR.T | FixedReset Disc | Quote: 16.93 – 20.05 Spot Rate : 3.1200 Average : 2.2684 YTW SCENARIO |
IFC.PR.C | FixedReset Disc | Quote: 18.36 – 20.44 Spot Rate : 2.0800 Average : 1.3675 YTW SCENARIO |
TRP.PR.E | FixedReset Disc | Quote: 17.00 – 19.50 Spot Rate : 2.5000 Average : 1.8099 YTW SCENARIO |
RY.PR.J | FixedReset Disc | Quote: 21.50 – 23.10 Spot Rate : 1.6000 Average : 0.9593 YTW SCENARIO |
My introduction to this essay says it all, I think:
I didn’t really want to write about this topic again, for the third time running, but it is important to the analysis of the Canadian preferred share market now and will probably remain important for the next ten years – so it’s best if we get things started on a solid footing.
Additionally, it became plain to me from the response to the last edition1 that not only did readers want to hear more about this big change in the markets, but that I was insufficiently clear in parts of my discussion for many – so I will commence this appendix with a recapitulation of OSFI’s advisory and draft advisory released February 4, 2011 and how this affects analysis.
The first two articles in the series are available HERE and HERE.
Look for the research link!
CM.PR.R To Be Redeemed
Thursday, June 23rd, 2022Canadian Imperial Bank of Commerce has announced:
CM.PR.R is a FixedReset, 4.40%+338, NVCC Compliant issue that commenced trading 2017-6-2 after being announced 2017-05-25. It has been tracked by HIMIPref™ and is currently part of the FixedResets (Discount) subindex.
Thanks to Assiduous Reader CanSiamCyp for bringing this to my attention!
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