Another strong day for the Canadian preferred share market on excellent volume, powered by an increase in the GOC-5 yield to 2.32%.
PerpetualDiscounts now yield 5.46%, equivalent to 7.10% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.10%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a significant narrowing from the 310bp reported May 9.
| 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 | -0.1251 % | 2,976.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1251 % | 5,462.5 |
| Floater | 3.36 % | 3.59 % | 87,396 | 18.27 | 4 | -0.1251 % | 3,148.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0237 % | 3,163.0 |
| SplitShare | 4.60 % | 4.70 % | 80,906 | 5.02 | 5 | -0.0237 % | 3,777.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0237 % | 2,947.2 |
| Perpetual-Premium | 5.62 % | -7.83 % | 68,938 | 0.09 | 10 | 0.0079 % | 2,874.1 |
| Perpetual-Discount | 5.41 % | 5.46 % | 63,828 | 14.69 | 24 | -0.1362 % | 2,945.8 |
| FixedReset | 4.24 % | 4.45 % | 164,234 | 3.68 | 103 | 0.3871 % | 2,567.1 |
| Deemed-Retractible | 5.12 % | 5.60 % | 80,719 | 5.58 | 27 | -0.1196 % | 2,951.8 |
| FloatingReset | 3.06 % | 3.30 % | 29,412 | 3.54 | 8 | 0.2606 % | 2,818.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.G | FixedReset | -1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.58 Bid-YTW : 7.40 % |
| BAM.PR.T | FixedReset | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-16 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 5.14 % |
| BMO.PR.Y | FixedReset | 1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-08-25 Maturity Price : 25.00 Evaluated at bid price : 24.86 Bid-YTW : 4.03 % |
| CM.PR.P | FixedReset | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-16 Maturity Price : 23.12 Evaluated at bid price : 23.51 Bid-YTW : 4.67 % |
| TD.PF.B | FixedReset | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-16 Maturity Price : 23.20 Evaluated at bid price : 23.70 Bid-YTW : 4.68 % |
| CM.PR.O | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-16 Maturity Price : 23.36 Evaluated at bid price : 23.85 Bid-YTW : 4.71 % |
| TRP.PR.C | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-16 Maturity Price : 17.82 Evaluated at bid price : 17.82 Bid-YTW : 4.99 % |
| HSE.PR.A | FixedReset | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-16 Maturity Price : 18.16 Evaluated at bid price : 18.16 Bid-YTW : 5.14 % |
| RY.PR.Z | FixedReset | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-16 Maturity Price : 23.46 Evaluated at bid price : 24.00 Bid-YTW : 4.57 % |
| TRP.PR.A | FixedReset | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-16 Maturity Price : 20.43 Evaluated at bid price : 20.43 Bid-YTW : 5.02 % |
| BAM.PR.X | FixedReset | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-16 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 4.99 % |
| MFC.PR.G | FixedReset | 1.48 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-12-19 Maturity Price : 25.00 Evaluated at bid price : 24.61 Bid-YTW : 4.27 % |
| TRP.PR.G | FixedReset | 1.65 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-11-30 Maturity Price : 25.00 Evaluated at bid price : 24.60 Bid-YTW : 4.42 % |
| CU.PR.C | FixedReset | 2.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-16 Maturity Price : 22.22 Evaluated at bid price : 22.80 Bid-YTW : 4.74 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.R | FloatingReset | 300,300 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-08-25 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 2.19 % |
| TD.PF.G | FixedReset | 154,300 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.56 Bid-YTW : 3.37 % |
| BNS.PR.G | FixedReset | 95,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 26.80 Bid-YTW : 3.22 % |
| TD.PF.D | FixedReset | 91,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.81 Bid-YTW : 4.06 % |
| BNS.PR.R | FixedReset | 90,800 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-01-26 Maturity Price : 25.00 Evaluated at bid price : 25.13 Bid-YTW : 3.37 % |
| NA.PR.W | FixedReset | 85,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-05-16 Maturity Price : 23.09 Evaluated at bid price : 23.47 Bid-YTW : 4.70 % |
| There were 42 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.D | Perpetual-Discount | Quote: 21.40 – 21.74 Spot Rate : 0.3400 Average : 0.2186 YTW SCENARIO |
| BAM.PF.A | FixedReset | Quote: 25.17 – 25.50 Spot Rate : 0.3300 Average : 0.2122 YTW SCENARIO |
| HSE.PR.E | FixedReset | Quote: 25.19 – 25.54 Spot Rate : 0.3500 Average : 0.2497 YTW SCENARIO |
| IFC.PR.C | FixedReset | Quote: 23.18 – 23.50 Spot Rate : 0.3200 Average : 0.2231 YTW SCENARIO |
| MFC.PR.M | FixedReset | Quote: 23.98 – 24.46 Spot Rate : 0.4800 Average : 0.3970 YTW SCENARIO |
| SLF.PR.G | FixedReset | Quote: 19.58 – 19.79 Spot Rate : 0.2100 Average : 0.1376 YTW SCENARIO |