TXPR closed at 582.42, up 1.42% on the day. Volume today was 3.48-million, highest of the past thirty days and well ahead of second-place September 9.
CPD closed at 11.58, up 1.14% on the day. Volume was 74,620, well above the median of the past 30 trading days.
ZPR closed at 9.12, up 1.56% on the day. Volume of 155,437 was well below the median of the past 30 trading days.
Five-year Canada yields were up 1bp to 0.35% today.
PerpetualDiscounts now yield 5.24%, equivalent to 6.81% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.86%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 395bp from the 405bp reported September 23.
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 | 0.0000 % | 1,634.0 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 2,998.3 |
Floater | 5.21 % | 5.21 % | 53,678 | 15.13 | 3 | 0.0000 % | 1,727.9 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0514 % | 3,502.7 |
SplitShare | 4.85 % | 4.80 % | 52,527 | 3.61 | 7 | 0.0514 % | 4,182.9 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0514 % | 3,263.7 |
Perpetual-Premium | 5.31 % | 4.25 % | 77,382 | 3.52 | 17 | 0.3244 % | 3,154.5 |
Perpetual-Discount | 5.21 % | 5.24 % | 94,438 | 14.96 | 17 | 0.2448 % | 3,532.7 |
FixedReset Disc | 5.51 % | 4.25 % | 119,803 | 16.35 | 68 | 1.3536 % | 2,081.4 |
Deemed-Retractible | 5.02 % | 4.90 % | 121,274 | 15.20 | 27 | 0.2386 % | 3,457.5 |
FloatingReset | 2.86 % | 2.13 % | 49,756 | 1.31 | 3 | 0.6328 % | 1,795.3 |
FixedReset Prem | 5.23 % | 4.19 % | 282,098 | 0.79 | 11 | 0.3121 % | 2,629.0 |
FixedReset Bank Non | 1.95 % | 2.25 % | 138,142 | 1.31 | 2 | -0.0201 % | 2,844.0 |
FixedReset Ins Non | 5.67 % | 4.39 % | 82,273 | 16.20 | 22 | 1.5754 % | 2,130.2 |
Performance Highlights | |||
Issue | Index | Change | Notes |
BIP.PR.A | FixedReset Disc | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 16.73 Evaluated at bid price : 16.73 Bid-YTW : 5.91 % |
EML.PR.A | FixedReset Ins Non | -1.07 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 4.89 % |
MFC.PR.I | FixedReset Ins Non | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 4.38 % |
IFC.PR.C | FixedReset Ins Non | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 16.34 Evaluated at bid price : 16.34 Bid-YTW : 4.66 % |
W.PR.M | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 24.55 Evaluated at bid price : 24.90 Bid-YTW : 5.22 % |
NA.PR.C | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 23.33 Evaluated at bid price : 23.65 Bid-YTW : 4.10 % |
TD.PF.A | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 4.06 % |
IFC.PR.G | FixedReset Ins Non | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 4.49 % |
TD.PF.B | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 4.10 % |
NA.PR.G | FixedReset Disc | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 4.35 % |
BMO.PR.Y | FixedReset Disc | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 4.13 % |
BMO.PR.F | FixedReset Disc | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 23.35 Evaluated at bid price : 25.20 Bid-YTW : 3.97 % |
NA.PR.S | FixedReset Disc | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 17.46 Evaluated at bid price : 17.46 Bid-YTW : 4.35 % |
MFC.PR.N | FixedReset Ins Non | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 16.58 Evaluated at bid price : 16.58 Bid-YTW : 4.39 % |
BIP.PR.C | FixedReset Disc | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 22.98 Evaluated at bid price : 23.54 Bid-YTW : 5.69 % |
CM.PR.T | FixedReset Disc | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 22.81 Evaluated at bid price : 23.80 Bid-YTW : 4.08 % |
GWO.PR.N | FixedReset Ins Non | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 10.25 Evaluated at bid price : 10.25 Bid-YTW : 4.07 % |
NA.PR.E | FixedReset Disc | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 18.87 Evaluated at bid price : 18.87 Bid-YTW : 4.25 % |
MFC.PR.H | FixedReset Ins Non | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 4.42 % |
BAM.PF.B | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 15.57 Evaluated at bid price : 15.57 Bid-YTW : 5.32 % |
BAM.PF.G | FixedReset Disc | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 15.21 Evaluated at bid price : 15.21 Bid-YTW : 5.31 % |
BAM.PF.I | FixedReset Disc | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 23.74 Evaluated at bid price : 24.14 Bid-YTW : 4.98 % |
PWF.PR.T | FixedReset Disc | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 16.62 Evaluated at bid price : 16.62 Bid-YTW : 4.58 % |
BAM.PR.R | FixedReset Disc | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 12.59 Evaluated at bid price : 12.59 Bid-YTW : 5.32 % |
TD.PF.L | FixedReset Disc | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 22.90 Evaluated at bid price : 24.00 Bid-YTW : 4.06 % |
BAM.PF.J | FixedReset Disc | 1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 23.06 Evaluated at bid price : 23.91 Bid-YTW : 4.94 % |
TRP.PR.A | FixedReset Disc | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 11.87 Evaluated at bid price : 11.87 Bid-YTW : 5.48 % |
SLF.PR.G | FixedReset Ins Non | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 10.24 Evaluated at bid price : 10.24 Bid-YTW : 4.36 % |
BAM.PF.H | FixedReset Disc | 2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 23.98 Evaluated at bid price : 24.80 Bid-YTW : 5.02 % |
BAM.PF.E | FixedReset Disc | 2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 5.31 % |
TRP.PR.E | FixedReset Disc | 2.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 13.59 Evaluated at bid price : 13.59 Bid-YTW : 5.42 % |
MFC.PR.Q | FixedReset Ins Non | 2.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.32 % |
SLF.PR.J | FloatingReset | 2.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 9.52 Evaluated at bid price : 9.52 Bid-YTW : 4.07 % |
BAM.PF.F | FixedReset Disc | 2.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 5.29 % |
IFC.PR.I | Perpetual-Premium | 2.48 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 5.06 % |
IFC.PR.A | FixedReset Ins Non | 3.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 12.30 Evaluated at bid price : 12.30 Bid-YTW : 4.60 % |
TRP.PR.G | FixedReset Disc | 6.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 15.21 Evaluated at bid price : 15.21 Bid-YTW : 5.51 % |
MFC.PR.G | FixedReset Ins Non | 21.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.39 % |
RY.PR.M | FixedReset Disc | 56.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 4.01 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
BNS.PR.G | FixedReset Prem | 213,450 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 25.49 Bid-YTW : 4.29 % |
BNS.PR.Z | FixedReset Bank Non | 103,144 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.94 Bid-YTW : 2.25 % |
BMO.PR.F | FixedReset Disc | 78,986 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 23.35 Evaluated at bid price : 25.20 Bid-YTW : 3.97 % |
TD.PF.M | FixedReset Disc | 66,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 23.20 Evaluated at bid price : 24.80 Bid-YTW : 4.14 % |
TD.PF.A | FixedReset Disc | 60,101 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 4.06 % |
BNS.PR.H | FixedReset Prem | 58,871 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-09-30 Maturity Price : 23.91 Evaluated at bid price : 25.33 Bid-YTW : 4.49 % |
There were 77 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
SLF.PR.I | FixedReset Ins Non | Quote: 18.24 – 19.46 Spot Rate : 1.2200 Average : 0.7805 YTW SCENARIO |
BMO.PR.Q | FixedReset Bank Non | Quote: 24.71 – 25.66 Spot Rate : 0.9500 Average : 0.5487 YTW SCENARIO |
MFC.PR.N | FixedReset Ins Non | Quote: 16.58 – 17.50 Spot Rate : 0.9200 Average : 0.6288 YTW SCENARIO |
PWF.PR.R | Perpetual-Premium | Quote: 25.20 – 25.91 Spot Rate : 0.7100 Average : 0.4330 YTW SCENARIO |
TRP.PR.D | FixedReset Disc | Quote: 13.63 – 14.44 Spot Rate : 0.8100 Average : 0.5522 YTW SCENARIO |
BNS.PR.I | FixedReset Disc | Quote: 20.20 – 20.89 Spot Rate : 0.6900 Average : 0.4391 YTW SCENARIO |
ALA.PR.A / ALA.PR.B : 15% Net Conversion to FixedReset
September 30th, 2020AltaGas Ltd. has announced (strikethroughs added; see following press release):
They later announced their wish:
Thus there has been a net conversion of 1,235,459 shares from ALA.PR.B to ALA.PR.A, or 15% of the total issue size.
ALA.PR.A is a FixedReset issued at 5.00%+266bp, which commenced trading August 19, 2010 after being announced August 10, 2010. In 2015 the issue reset to 3.38% and I recommended holders retain the issue. Despite this, there was a 31% conversion to FloatingResets. The issue has now reset to 3.06%.
ALA.PR.B is a FloatingReset, Bills+266bp, which arose via a partial conversion from ALA.PR.A in 2015.
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