An article by Andrew Allentuck in Investment Executive titled What is safety worth to fixed-income investors? led me to a 2017 paper by Maxime Leboeuf and James Pinnington titled What Explains the Recent Increase in Canadian Corporate Bond Spreads:
The spread between the yield of a corporate bond and the yield of a similar Government of Canada bond reflects compensation for possible default by the issuing firm and compensation for additional risks beyond default. Using the approach proposed by Gilchrist and Zakrajšek (2012), we find that roughly two-thirds of the total 1.2-percentage-point increase in corporate bond spreads from July 2014 to September 2016—a period when oil prices were low—is due to higher compensation for possible default. Default risk explains most of the increase of spreads for energy and high-yield firms but explains almost none of the increase for financial and investment-grade firms. This suggests that liquidity risk and other factors beyond possible default affected spreads of financial and other investment-grade firms.
| 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 | 0.2238 % | 3,193.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2238 % | 5,859.0 |
| Floater | 3.40 % | 3.59 % | 39,663 | 18.33 | 4 | 0.2238 % | 3,376.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1032 % | 3,228.1 |
| SplitShare | 4.61 % | 4.82 % | 52,955 | 4.72 | 5 | 0.1032 % | 3,855.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1032 % | 3,007.9 |
| Perpetual-Premium | 5.64 % | 0.04 % | 61,206 | 0.20 | 12 | -0.3658 % | 2,901.9 |
| Perpetual-Discount | 5.55 % | 5.71 % | 74,763 | 14.35 | 21 | -0.2965 % | 2,952.2 |
| FixedReset Disc | 4.20 % | 5.04 % | 139,106 | 15.34 | 45 | -0.0849 % | 2,588.0 |
| Deemed-Retractible | 5.30 % | 6.63 % | 65,444 | 5.26 | 27 | -0.3079 % | 2,917.6 |
| FloatingReset | 3.60 % | 3.80 % | 42,821 | 5.55 | 4 | -0.9558 % | 2,846.2 |
| FixedReset Prem | 4.88 % | 4.29 % | 231,901 | 3.07 | 34 | -0.0875 % | 2,565.1 |
| FixedReset Bank Non | 3.12 % | 3.54 % | 69,816 | 0.35 | 8 | 0.0306 % | 2,575.6 |
| FixedReset Ins Non | 4.41 % | 5.53 % | 107,913 | 5.37 | 22 | -0.2582 % | 2,539.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.Q | FloatingReset | -2.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-18 Maturity Price : 21.09 Evaluated at bid price : 21.09 Bid-YTW : 3.80 % |
| POW.PR.A | Perpetual-Premium | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-18 Maturity Price : 24.22 Evaluated at bid price : 24.51 Bid-YTW : 5.74 % |
| PWF.PR.P | FixedReset Disc | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-18 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 4.92 % |
| HSE.PR.E | FixedReset Prem | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-18 Maturity Price : 24.03 Evaluated at bid price : 24.40 Bid-YTW : 5.99 % |
| BAM.PR.X | FixedReset Disc | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-18 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.15 % |
| MFC.PR.Q | FixedReset Ins Non | -1.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.55 Bid-YTW : 5.98 % |
| SLF.PR.B | Deemed-Retractible | -1.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.49 Bid-YTW : 7.76 % |
| POW.PR.D | Perpetual-Discount | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-18 Maturity Price : 21.54 Evaluated at bid price : 21.80 Bid-YTW : 5.76 % |
| IFC.PR.A | FixedReset Ins Non | -1.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.28 Bid-YTW : 7.47 % |
| SLF.PR.H | FixedReset Ins Non | -1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.25 Bid-YTW : 6.73 % |
| IAG.PR.I | FixedReset Ins Non | -1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 5.41 % |
| PWF.PR.E | Perpetual-Premium | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-18 Maturity Price : 23.86 Evaluated at bid price : 24.11 Bid-YTW : 5.72 % |
| SLF.PR.G | FixedReset Ins Non | -1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.75 Bid-YTW : 7.69 % |
| IAG.PR.A | Deemed-Retractible | -1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.15 Bid-YTW : 7.84 % |
| SLF.PR.C | Deemed-Retractible | -1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.41 Bid-YTW : 8.35 % |
| SLF.PR.D | Deemed-Retractible | -1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.43 Bid-YTW : 8.34 % |
| HSE.PR.G | FixedReset Prem | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-18 Maturity Price : 24.17 Evaluated at bid price : 24.48 Bid-YTW : 5.94 % |
| IFC.PR.E | Deemed-Retractible | 1.92 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.30 Bid-YTW : 6.63 % |
| IFC.PR.G | FixedReset Ins Non | 2.78 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 5.45 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.I | FixedReset Disc | 57,155 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-18 Maturity Price : 23.14 Evaluated at bid price : 25.00 Bid-YTW : 4.75 % |
| RY.PR.Z | FixedReset Disc | 55,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-18 Maturity Price : 22.78 Evaluated at bid price : 23.48 Bid-YTW : 4.90 % |
| TD.PF.F | Perpetual-Discount | 46,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-18 Maturity Price : 23.81 Evaluated at bid price : 24.26 Bid-YTW : 5.04 % |
| CM.PR.S | FixedReset Disc | 33,790 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-18 Maturity Price : 22.80 Evaluated at bid price : 23.93 Bid-YTW : 4.91 % |
| MFC.PR.G | FixedReset Ins Non | 31,750 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 5.40 % |
| IFC.PR.G | FixedReset Ins Non | 31,646 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 5.45 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| POW.PR.A | Perpetual-Premium | Quote: 24.51 – 24.93 Spot Rate : 0.4200 Average : 0.2610 YTW SCENARIO |
| BIP.PR.B | FixedReset Prem | Quote: 25.75 – 26.15 Spot Rate : 0.4000 Average : 0.2468 YTW SCENARIO |
| CM.PR.P | FixedReset Disc | Quote: 22.87 – 23.31 Spot Rate : 0.4400 Average : 0.2871 YTW SCENARIO |
| MFC.PR.Q | FixedReset Ins Non | Quote: 23.55 – 24.00 Spot Rate : 0.4500 Average : 0.3306 YTW SCENARIO |
| HSE.PR.E | FixedReset Prem | Quote: 24.40 – 24.84 Spot Rate : 0.4400 Average : 0.3276 YTW SCENARIO |
| PWF.PR.Q | FloatingReset | Quote: 21.09 – 21.56 Spot Rate : 0.4700 Average : 0.3929 YTW SCENARIO |