November 16, 2016

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
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 6.69 %

RY.PR.W Perpetual-Premium Quote: 24.27 – 24.80
Spot Rate : 0.5300
Average : 0.3263

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 %

W.PR.K FixedReset Quote: 25.28 – 25.89
Spot Rate : 0.6100
Average : 0.4140

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 5.10 %

TRP.PR.H FloatingReset Quote: 11.00 – 11.50
Spot Rate : 0.5000
Average : 0.3420

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.P Perpetual-Premium Quote: 24.80 – 25.25
Spot Rate : 0.4500
Average : 0.3066

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 %

POW.PR.A Perpetual-Premium Quote: 24.86 – 25.15
Spot Rate : 0.2900
Average : 0.1676

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 %

One Response to “November 16, 2016”

  1. LD says:

    James, there are times that the only thing that gets me through is your sarcasm 🙂

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