The BoC has a lot of people convinced there will be a hike next week:
In Canada, there is now an 89 per cent probability of a rate hike next week, marking a radical shift from negligible chances of a rate hike just a month ago.
I’ll go along with that … certainly there has been no back-pedalling by the bank as the market has become progressively more sure that This Is It. But the fat lady hasn’t sung yet … if they stand pat, there will be carnage!
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 | 3.0627 % | 2,313.4 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 3.0627 % | 4,245.0 |
Floater | 3.42 % | 3.45 % | 76,901 | 18.67 | 3 | 3.0627 % | 2,446.4 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0313 % | 3,070.7 |
SplitShare | 4.69 % | 4.25 % | 61,274 | 1.45 | 5 | 0.0313 % | 3,667.1 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0313 % | 2,861.2 |
Perpetual-Premium | 5.35 % | 3.15 % | 71,162 | 0.09 | 21 | -0.0005 % | 2,786.2 |
Perpetual-Discount | 5.19 % | 5.17 % | 87,176 | 15.23 | 15 | -0.5615 % | 2,974.5 |
FixedReset | 4.36 % | 4.30 % | 189,127 | 6.43 | 97 | -0.0957 % | 2,384.1 |
Deemed-Retractible | 5.01 % | 5.22 % | 115,547 | 6.19 | 30 | -0.1039 % | 2,889.2 |
FloatingReset | 2.65 % | 3.06 % | 50,882 | 4.32 | 10 | 0.0999 % | 2,592.3 |
Performance Highlights | |||
Issue | Index | Change | Notes |
HSE.PR.G | FixedReset | -2.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-06 Maturity Price : 22.96 Evaluated at bid price : 23.97 Bid-YTW : 5.09 % |
BAM.PF.D | Perpetual-Discount | -2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-06 Maturity Price : 22.61 Evaluated at bid price : 22.95 Bid-YTW : 5.36 % |
BAM.PR.M | Perpetual-Discount | -1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-06 Maturity Price : 21.84 Evaluated at bid price : 22.08 Bid-YTW : 5.40 % |
BAM.PR.N | Perpetual-Discount | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-06 Maturity Price : 21.87 Evaluated at bid price : 22.11 Bid-YTW : 5.40 % |
BAM.PF.C | Perpetual-Discount | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-06 Maturity Price : 22.31 Evaluated at bid price : 22.62 Bid-YTW : 5.38 % |
NA.PR.W | FixedReset | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-06 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 4.36 % |
BAM.PF.I | FixedReset | -1.15 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 4.14 % |
MFC.PR.L | FixedReset | -1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.11 Bid-YTW : 6.36 % |
TRP.PR.H | FloatingReset | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-06 Maturity Price : 14.55 Evaluated at bid price : 14.55 Bid-YTW : 3.42 % |
BAM.PR.T | FixedReset | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-06 Maturity Price : 20.37 Evaluated at bid price : 20.37 Bid-YTW : 4.54 % |
BAM.PR.B | Floater | 2.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-06 Maturity Price : 13.77 Evaluated at bid price : 13.77 Bid-YTW : 3.45 % |
BAM.PR.C | Floater | 3.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-06 Maturity Price : 13.77 Evaluated at bid price : 13.77 Bid-YTW : 3.45 % |
BAM.PR.K | Floater | 3.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-06 Maturity Price : 13.85 Evaluated at bid price : 13.85 Bid-YTW : 3.43 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
TD.PF.E | FixedReset | 729,530 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-06 Maturity Price : 22.87 Evaluated at bid price : 23.88 Bid-YTW : 4.34 % |
CM.PR.R | FixedReset | 266,887 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.11 Bid-YTW : 4.43 % |
TD.PF.B | FixedReset | 167,773 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-06 Maturity Price : 21.39 Evaluated at bid price : 21.71 Bid-YTW : 4.26 % |
TD.PF.H | FixedReset | 111,993 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 26.04 Bid-YTW : 3.73 % |
RY.PR.H | FixedReset | 111,280 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-06 Maturity Price : 21.59 Evaluated at bid price : 22.00 Bid-YTW : 4.25 % |
BAM.PR.Z | FixedReset | 105,860 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-06 Maturity Price : 23.31 Evaluated at bid price : 24.08 Bid-YTW : 4.56 % |
TRP.PR.E | FixedReset | 103,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-06 Maturity Price : 22.13 Evaluated at bid price : 22.42 Bid-YTW : 4.27 % |
There were 17 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
TD.PR.T | FloatingReset | Quote: 24.40 – 25.33 Spot Rate : 0.9300 Average : 0.5203 YTW SCENARIO |
TD.PF.F | Perpetual-Premium | Quote: 25.06 – 25.39 Spot Rate : 0.3300 Average : 0.2161 YTW SCENARIO |
BAM.PF.I | FixedReset | Quote: 25.75 – 26.06 Spot Rate : 0.3100 Average : 0.1975 YTW SCENARIO |
BAM.PF.F | FixedReset | Quote: 23.95 – 24.25 Spot Rate : 0.3000 Average : 0.1879 YTW SCENARIO |
HSE.PR.G | FixedReset | Quote: 23.97 – 24.47 Spot Rate : 0.5000 Average : 0.3911 YTW SCENARIO |
EIT.PR.A | SplitShare | Quote: 25.90 – 26.20 Spot Rate : 0.3000 Average : 0.1916 YTW SCENARIO |
I’m intrigued by some of the low priced preferred shares tied to prime like BBD.PR.B (credit concerns noted) and TRI.PR.B. BBD.PR.B has underperformed BBD.PR.C which seems odd in a potentially rising rate environment.
One point that I haven’t seen discussed is if the prime rate will move as much as the BOC does even though it only moved down 30bp on the last 50bp of cuts by the BOC.
Rob Carrick had a column on the issue titled Make no mistake, borrowers will bear the brunt of a rate hike:
I’m more afraid of the banks playing games with the definition of Prime than I am of them playing with Prime itself. After all, they have encouragement from the Bank of Canada … its published data for the Canadian five-year mortgage rate (V80691335: Conventional mortgage – 5-year) has been nonsensical for the past several years and it claims that the rate is now 4.64% ho-ho-ho. It makes a mockery of their mandate to provide accurate data to the investing public.