The five-year Canada bond yield rocketted up to 1.95% today and Rob Carrick pointed out that preferreds are on sale … so of course the market went down. What a world!
| 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 | 3.29 % | 3.90 % | 33,127 | 19.54 | 1 | 0.2660 % | 2,685.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.0516 % | 5,128.3 |
| Floater | 3.42 % | 3.42 % | 62,231 | 18.73 | 3 | -1.0516 % | 2,955.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1091 % | 3,645.5 |
| SplitShare | 4.70 % | 4.25 % | 28,687 | 3.41 | 7 | -0.1091 % | 4,353.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1091 % | 3,396.8 |
| Perpetual-Premium | 5.34 % | 1.31 % | 51,417 | 0.08 | 16 | -0.4061 % | 3,191.1 |
| Perpetual-Discount | 5.02 % | 5.07 % | 63,006 | 15.32 | 16 | -0.8199 % | 3,681.9 |
| FixedReset Disc | 4.23 % | 4.74 % | 117,734 | 15.90 | 46 | -0.0375 % | 2,682.2 |
| Insurance Straight | 5.07 % | 4.79 % | 91,234 | 15.34 | 18 | -0.8898 % | 3,535.3 |
| FloatingReset | 3.24 % | 2.84 % | 58,891 | 20.15 | 2 | 0.2924 % | 2,784.0 |
| FixedReset Prem | 4.78 % | 4.30 % | 143,263 | 2.23 | 23 | -0.0531 % | 2,685.7 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0375 % | 2,741.7 |
| FixedReset Ins Non | 4.39 % | 4.82 % | 73,433 | 15.80 | 17 | -0.1171 % | 2,768.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.E | FixedReset Disc | -3.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 5.58 % |
| PWF.PF.A | Perpetual-Discount | -2.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 22.91 Evaluated at bid price : 23.20 Bid-YTW : 4.90 % |
| GWO.PR.R | Insurance Straight | -2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 23.20 Evaluated at bid price : 23.50 Bid-YTW : 5.10 % |
| GWO.PR.I | Insurance Straight | -2.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 22.55 Evaluated at bid price : 22.80 Bid-YTW : 4.93 % |
| GWO.PR.Y | Insurance Straight | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 22.99 Evaluated at bid price : 23.40 Bid-YTW : 4.79 % |
| MFC.PR.N | FixedReset Ins Non | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.95 % |
| PWF.PR.S | Perpetual-Discount | -1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 23.67 Evaluated at bid price : 23.95 Bid-YTW : 5.06 % |
| BAM.PR.B | Floater | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 13.71 Evaluated at bid price : 13.71 Bid-YTW : 3.44 % |
| BAM.PF.F | FixedReset Disc | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 21.26 Evaluated at bid price : 21.54 Bid-YTW : 5.43 % |
| BAM.PR.N | Perpetual-Discount | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 22.72 Evaluated at bid price : 23.01 Bid-YTW : 5.16 % |
| POW.PR.D | Perpetual-Discount | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 24.44 Evaluated at bid price : 24.68 Bid-YTW : 5.14 % |
| PWF.PR.L | Perpetual-Discount | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 24.64 Evaluated at bid price : 24.90 Bid-YTW : 5.18 % |
| GWO.PR.H | Insurance Straight | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 23.59 Evaluated at bid price : 23.86 Bid-YTW : 5.08 % |
| TD.PF.C | FixedReset Disc | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 22.13 Evaluated at bid price : 22.50 Bid-YTW : 4.62 % |
| SLF.PR.C | Insurance Straight | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 23.48 Evaluated at bid price : 23.75 Bid-YTW : 4.68 % |
| IAF.PR.B | Insurance Straight | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 23.42 Evaluated at bid price : 23.71 Bid-YTW : 4.85 % |
| FTS.PR.K | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 5.13 % |
| BAM.PF.J | FixedReset Prem | 1.05 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.19 Bid-YTW : 3.49 % |
| BAM.PR.R | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 5.24 % |
| FTS.PR.G | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 5.00 % |
| RY.PR.M | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 22.51 Evaluated at bid price : 23.25 Bid-YTW : 4.55 % |
| NA.PR.S | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 22.70 Evaluated at bid price : 23.00 Bid-YTW : 4.70 % |
| CU.PR.G | Perpetual-Discount | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 22.48 Evaluated at bid price : 22.75 Bid-YTW : 4.97 % |
| BAM.PF.I | FixedReset Prem | 1.16 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : -21.75 % |
| TRP.PR.F | FloatingReset | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 3.64 % |
| MFC.PR.F | FixedReset Ins Non | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 16.46 Evaluated at bid price : 16.46 Bid-YTW : 4.75 % |
| IFC.PR.G | FixedReset Ins Non | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 22.93 Evaluated at bid price : 23.40 Bid-YTW : 4.80 % |
| BAM.PF.A | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 23.03 Evaluated at bid price : 23.45 Bid-YTW : 5.16 % |
| BIP.PR.E | FixedReset Prem | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 24.48 Evaluated at bid price : 24.85 Bid-YTW : 5.02 % |
| TRP.PR.C | FixedReset Disc | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 5.46 % |
| CM.PR.Q | FixedReset Disc | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 22.88 Evaluated at bid price : 23.90 Bid-YTW : 4.60 % |
| PWF.PR.P | FixedReset Disc | 1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 5.04 % |
| BAM.PR.X | FixedReset Disc | 2.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 5.40 % |
| BIP.PR.A | FixedReset Disc | 2.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 22.33 Evaluated at bid price : 22.88 Bid-YTW : 5.67 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.N | FixedReset Ins Non | 51,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.95 % |
| TD.PF.C | FixedReset Disc | 32,360 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 22.13 Evaluated at bid price : 22.50 Bid-YTW : 4.62 % |
| TD.PF.A | FixedReset Disc | 22,290 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 22.22 Evaluated at bid price : 22.60 Bid-YTW : 4.56 % |
| TD.PF.M | FixedReset Prem | 19,476 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 3.97 % |
| CM.PR.T | FixedReset Prem | 17,900 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.95 Bid-YTW : 3.67 % |
| BAM.PR.K | Floater | 16,799 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-03-14 Maturity Price : 13.90 Evaluated at bid price : 13.90 Bid-YTW : 3.39 % |
| There were 5 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TD.PF.C | FixedReset Disc | Quote: 22.50 – 23.70 Spot Rate : 1.2000 Average : 0.6932 YTW SCENARIO |
| TRP.PR.C | FixedReset Disc | Quote: 14.50 – 15.70 Spot Rate : 1.2000 Average : 0.8250 YTW SCENARIO |
| BAM.PF.F | FixedReset Disc | Quote: 21.54 – 22.90 Spot Rate : 1.3600 Average : 0.9911 YTW SCENARIO |
| BMO.PR.E | FixedReset Prem | Quote: 24.72 – 25.25 Spot Rate : 0.5300 Average : 0.3382 YTW SCENARIO |
| BAM.PF.E | FixedReset Disc | Quote: 19.41 – 21.00 Spot Rate : 1.5900 Average : 1.4009 YTW SCENARIO |
| PWF.PF.A | Perpetual-Discount | Quote: 23.20 – 24.00 Spot Rate : 0.8000 Average : 0.6369 YTW SCENARIO |
I’m assessing the odds of TransAlta calling TA.PR.F in June as non-zero. That issue will reset at ~5.1% using today’s rates or 6.6% pre-tax. This seems a bit too steep to me given the improving quality of the company. If the odds are actually close to zero, then switching to TA.PR.D seems a no-brainer.
Interested in hearing views from the thoughtful readers here.
While the TA issue will reset at about 5.1% (based on the $25 par price), you would be buying the pref at about $20.35, a steep discount to par. so your yield will actually be more like 6.25%.
Personally, I prefer some of the Enbridge issues. eg ENB.PR.B resets in a couple of months with a 240bp spread. Current price of $18.30 and a 5yr GOC of 1.95% would give you a yield of 5.94%. You only give up a little yield for far better (IMO) credit rating.
Disclosure: I only hold a little of an ENB floored issue, just watching these others.
“you would be buying the pref at about $20.35”.
Right. However, what I am trying to assess is whether to sell TA.PR.F to buy TA.PR.D. IVT analysis plainly indicates that this is a wise move. However, if the Fs are called in June, swapping Fs for Ds now would be a big error. I think the Fs are unlikely to be called but the risk is non-zero. Just how non-zero is it?
“Personally, I prefer some of the Enbridge issues.”
I like them too. I own the F series at the moment.
“I own the F series at the moment”
Correction: I own ENB.PF.G