Despite another bump in the GOC-5 yield to 1.34%, the Canadian preferred share market didn’t do anything exciting today – another poke in the eye for those who like to talk about cause and effect on a daily basis. No worry, we can all simply nod our heads wisely and talk about “consolidation” and “profit taking”.
| 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 | -0.9002 % | 2,153.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.9002 % | 3,951.7 |
| Floater | 3.68 % | 3.68 % | 73,061 | 18.11 | 3 | -0.9002 % | 2,277.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0157 % | 3,061.6 |
| SplitShare | 4.70 % | 4.17 % | 61,510 | 1.47 | 5 | -0.0157 % | 3,656.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0157 % | 2,852.7 |
| Perpetual-Premium | 5.31 % | 2.99 % | 67,729 | 0.09 | 25 | 0.0448 % | 2,790.7 |
| Perpetual-Discount | 5.11 % | 5.08 % | 91,058 | 15.30 | 12 | 0.2193 % | 3,007.4 |
| FixedReset | 4.39 % | 4.26 % | 205,096 | 6.47 | 97 | 0.1673 % | 2,374.4 |
| Deemed-Retractible | 4.99 % | 5.08 % | 122,310 | 6.20 | 30 | -0.0136 % | 2,896.6 |
| FloatingReset | 2.65 % | 3.05 % | 51,160 | 4.32 | 10 | 0.1889 % | 2,583.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BMO.PR.Q | FixedReset | -1.40 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.10 Bid-YTW : 5.85 % |
| BAM.PR.B | Floater | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 12.81 Evaluated at bid price : 12.81 Bid-YTW : 3.69 % |
| BMO.PR.Y | FixedReset | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 22.68 Evaluated at bid price : 23.45 Bid-YTW : 4.27 % |
| MFC.PR.M | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.09 Bid-YTW : 5.73 % |
| BAM.PR.X | FixedReset | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.67 % |
| BAM.PR.Z | FixedReset | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 22.93 Evaluated at bid price : 23.69 Bid-YTW : 4.54 % |
| BAM.PR.R | FixedReset | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 19.66 Evaluated at bid price : 19.66 Bid-YTW : 4.49 % |
| BAM.PR.T | FixedReset | 1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 4.50 % |
| CU.PR.C | FixedReset | 2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 21.82 Evaluated at bid price : 22.26 Bid-YTW : 4.22 % |
| BAM.PF.A | FixedReset | 2.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 23.51 Evaluated at bid price : 23.98 Bid-YTW : 4.44 % |
| IFC.PR.A | FixedReset | 3.48 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 7.60 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.D | FixedReset | 1,276,967 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 23.13 Evaluated at bid price : 24.94 Bid-YTW : 4.41 % |
| CM.PR.R | FixedReset | 192,145 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.02 Bid-YTW : 4.49 % |
| RY.PR.R | FixedReset | 109,537 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.99 Bid-YTW : 3.59 % |
| W.PR.J | Perpetual-Premium | 101,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-07-29 Maturity Price : 25.00 Evaluated at bid price : 25.19 Bid-YTW : -6.50 % |
| SLF.PR.I | FixedReset | 87,299 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.70 Bid-YTW : 4.75 % |
| TRP.PR.J | FixedReset | 85,941 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.94 Bid-YTW : 3.50 % |
| There were 47 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| EML.PR.A | FixedReset | Quote: 26.62 – 27.10 Spot Rate : 0.4800 Average : 0.2829 YTW SCENARIO |
| TRP.PR.G | FixedReset | Quote: 24.06 – 24.50 Spot Rate : 0.4400 Average : 0.2920 YTW SCENARIO |
| BMO.PR.Y | FixedReset | Quote: 23.45 – 23.70 Spot Rate : 0.2500 Average : 0.1582 YTW SCENARIO |
| RY.PR.L | FixedReset | Quote: 25.36 – 25.60 Spot Rate : 0.2400 Average : 0.1541 YTW SCENARIO |
| PWF.PR.T | FixedReset | Quote: 23.12 – 23.49 Spot Rate : 0.3700 Average : 0.2937 YTW SCENARIO |
| TRP.PR.F | FloatingReset | Quote: 19.04 – 19.30 Spot Rate : 0.2600 Average : 0.1845 YTW SCENARIO |
i’ve noticed there is a decent lag in what 5 year GOC rates and what the preferred share market does. sometimes it takes a few days for traders to clue in…
there are some rumors circulating that Canada is being strong armed into raising rates… talk is.. this tearing up of Nafta, softwood lumber, border tax.. is a way to force the BofC to raise rates in tandem with the US FED so that the USD doesn’t get too strong and hurt trade.. interesting theory.