PerpetualDiscounts now yield 6.09%, equivalent to 7.92% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.83% on 2024-8-23 and since then the closing price of ZLC has changed from 15.45 to 15.35, a decrease of 65bp in price, implying an increase of yields of 5bp (BMO reports a duration of 12.44, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.88%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 305bp from the 320bp reported August 21.
HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
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 | -0.3873 % | 2,207.6 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3873 % | 4,234.1 |
Floater | 10.13 % | 10.41 % | 32,345 | 9.13 | 2 | -0.3873 % | 2,440.1 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3196 % | 3,518.3 |
SplitShare | 4.73 % | 5.42 % | 30,080 | 1.13 | 4 | 0.3196 % | 4,201.6 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3196 % | 3,278.3 |
Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0659 % | 2,890.2 |
Perpetual-Discount | 5.95 % | 6.09 % | 59,600 | 13.70 | 31 | -0.0659 % | 3,151.6 |
FixedReset Disc | 5.44 % | 6.82 % | 127,660 | 12.61 | 60 | 0.1943 % | 2,676.1 |
Insurance Straight | 5.81 % | 5.97 % | 69,825 | 13.89 | 21 | -0.2739 % | 3,115.2 |
FloatingReset | 8.70 % | 8.66 % | 26,307 | 10.69 | 3 | -0.8456 % | 2,770.5 |
FixedReset Prem | 6.68 % | 5.64 % | 226,058 | 12.10 | 5 | 0.1698 % | 2,580.8 |
FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1943 % | 2,735.5 |
FixedReset Ins Non | 5.18 % | 6.01 % | 103,418 | 13.88 | 14 | 0.3927 % | 2,837.8 |
Performance Highlights | |||
Issue | Index | Change | Notes |
GWO.PR.Q | Insurance Straight | -4.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 6.22 % |
BN.PF.B | FixedReset Disc | -3.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 7.04 % |
MFC.PR.Q | FixedReset Ins Non | -2.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 23.00 Evaluated at bid price : 24.30 Bid-YTW : 5.73 % |
BN.PF.I | FixedReset Disc | -1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 22.53 Evaluated at bid price : 23.07 Bid-YTW : 7.21 % |
PWF.PR.S | Perpetual-Discount | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 19.77 Evaluated at bid price : 19.77 Bid-YTW : 6.15 % |
FFH.PR.K | FixedReset Disc | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 21.56 Evaluated at bid price : 21.95 Bid-YTW : 7.19 % |
ENB.PF.C | FixedReset Disc | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 17.82 Evaluated at bid price : 17.82 Bid-YTW : 7.84 % |
GWO.PR.M | Insurance Straight | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 23.84 Evaluated at bid price : 24.09 Bid-YTW : 6.12 % |
MFC.PR.B | Insurance Straight | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 5.68 % |
GWO.PR.Y | Insurance Straight | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 19.28 Evaluated at bid price : 19.28 Bid-YTW : 5.95 % |
CU.PR.I | FixedReset Disc | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 23.32 Evaluated at bid price : 23.80 Bid-YTW : 6.82 % |
BIP.PR.F | FixedReset Disc | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 22.23 Evaluated at bid price : 22.85 Bid-YTW : 6.73 % |
GWO.PR.L | Insurance Straight | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 23.22 Evaluated at bid price : 23.52 Bid-YTW : 6.11 % |
CU.PR.D | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 20.81 Evaluated at bid price : 20.81 Bid-YTW : 5.93 % |
MFC.PR.I | FixedReset Ins Non | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 23.28 Evaluated at bid price : 24.75 Bid-YTW : 5.86 % |
NA.PR.G | FixedReset Prem | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 23.54 Evaluated at bid price : 26.07 Bid-YTW : 5.77 % |
NA.PR.E | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 23.27 Evaluated at bid price : 24.97 Bid-YTW : 5.58 % |
GWO.PR.P | Insurance Straight | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 22.49 Evaluated at bid price : 22.75 Bid-YTW : 6.03 % |
ENB.PR.F | FixedReset Disc | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 7.40 % |
PWF.PR.T | FixedReset Disc | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 22.19 Evaluated at bid price : 22.80 Bid-YTW : 5.98 % |
MFC.PR.F | FixedReset Ins Non | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 6.55 % |
MFC.PR.M | FixedReset Ins Non | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 21.45 Evaluated at bid price : 21.75 Bid-YTW : 6.10 % |
SLF.PR.D | Insurance Straight | 2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 5.47 % |
PVS.PR.K | SplitShare | 2.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 5.42 % |
GWO.PR.T | Insurance Straight | 2.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 21.79 Evaluated at bid price : 21.79 Bid-YTW : 6.02 % |
BN.PF.E | FixedReset Disc | 2.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 7.70 % |
SLF.PR.C | Insurance Straight | 2.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.50 % |
SLF.PR.H | FixedReset Ins Non | 5.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 6.44 % |
BN.PF.G | FixedReset Disc | 20.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 7.54 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
MFC.PR.L | FixedReset Ins Non | 102,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 22.41 Evaluated at bid price : 23.23 Bid-YTW : 5.69 % |
BN.PF.C | Perpetual-Discount | 100,608 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.18 % |
CU.PR.G | Perpetual-Discount | 50,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 19.27 Evaluated at bid price : 19.27 Bid-YTW : 5.88 % |
SLF.PR.G | FixedReset Ins Non | 50,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 16.34 Evaluated at bid price : 16.34 Bid-YTW : 6.50 % |
ENB.PR.P | FixedReset Disc | 31,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 7.18 % |
BN.PF.H | FixedReset Disc | 26,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-28 Maturity Price : 23.79 Evaluated at bid price : 24.21 Bid-YTW : 7.26 % |
There were 14 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
ENB.PR.A | Perpetual-Discount | Quote: 22.76 – 23.75 Spot Rate : 0.9900 Average : 0.6179 YTW SCENARIO |
GWO.PR.Q | Insurance Straight | Quote: 21.11 – 22.06 Spot Rate : 0.9500 Average : 0.6357 YTW SCENARIO |
BN.PF.B | FixedReset Disc | Quote: 20.95 – 21.85 Spot Rate : 0.9000 Average : 0.6028 YTW SCENARIO |
IFC.PR.K | Insurance Straight | Quote: 21.75 – 23.65 Spot Rate : 1.9000 Average : 1.6104 YTW SCENARIO |
BN.PF.I | FixedReset Disc | Quote: 23.07 – 24.00 Spot Rate : 0.9300 Average : 0.6887 YTW SCENARIO |
CU.PR.J | Perpetual-Discount | Quote: 20.00 – 20.79 Spot Rate : 0.7900 Average : 0.6123 YTW SCENARIO |
No more EQB.PR.C:
https://eqb.investorroom.com/2024-08-28-EQB-announces-4-q-q-and-24-y-y-dividend-increase-bolstered-by-record-Q3-adjusted-revenue-and-earnings-with-ROE-continuing-ahead-of-15-target
Market has been giving up on ALA.PR.G and ALA.PR.H being called as the deadline approaches.
irate,
well i suppose if ta were too incompetent or unable to either call for cash or swap for an lrcn a +380 j, no reason ala can’t be equally inept
while i did have a lot of j’s and thought it was a done deal, i did manage to switch out of them at good levels as wasn’t enough meat left on the bone when d’s remain cheaper
yeesh, ala.g not in my spreadsheet but
a +306 testing 24.5 on 3 occasions?? thats flat to a perp! talk about not any meat on the bone. far too many rate resets far back of perps equivalents to have stuck around on ala for so little
Yeah it’s not appealing unless you think you’ll get the 25 bucks. They called a +317 last year so seemed plausible.
interesting
despite goc5 having been >3.5 on day of the call, nov21, the call was not for cash but rather an lrcn swap
given both ta.j (+380) and now ala (+306) both extended, wonder if the lrcn saviour trade may be winding down
Has ALA.PR.G/H been extended? Reset is not until Tuesday I believe and I do not see any announcement on their website.
DR – lots of banks still. TD.PF.A resetting on Halloween, that’d be a big one if it doesn’t go.
Niagara – correct… they’ve been trading down but no clue if someone knows something or just people noting that when they called the last one they made the announcement well in advance of the deadline so no news might be bad news.
[…] Thanks to Assiduous Reader IrateAR for bringing this to my attention! […]
irate,
the first thing i did when a guy running the pref desk at a major bank sent me his master spreadsheet (so i didn’t have to build my own) in 2015 was to delete all the rows of bank and most insurance co’s…
some of us prefer the road less traveled
dont get me wrong, the lrcn movement has been a godsend in addressing the oversaturation of the pref mkt in general but
i was encouraged when it began to spread beyond the banks (ala, cpx etc)
if however that trend is arrested, so be it and i will be cheering on the upcoming TD you mentioned
Surprisingly, there has been no official announcement re. possible call on ALA.G. Aren’t we supposed to know by today as the latest?
The prospectus has the usual “business day” clause: where the relevant day falls on a weekend or holiday, the “next business day” kicks in… in this case Tuesday.
Official now:
https://www.altagas.ca/newsroom/news-releases/altagas-provides-notice-series-g-and-series-h-preferred-shares-conversion
Typos on the reset rates?
“The new annual dividend rate applicable to the Series G Shares for the five-year period commencing on and including September 30, 2024 to, but excluding, September 30, 2029 will be 3.025 percent, being equal to the sum of the five-year Government of Canada bond yield determined as of today plus 3.060 percent.”
3.025% is the new divvy rate? I think that was just the GOC5 rate. So 3.025+3.06=6.085%
Similarly on the floating rate H series:
” The dividend rate applicable to the Series H Shares for the three-month floating rate period commencing on and including September 30, 2024 to, but excluding, December 31, 2024 will be 4.205 percent, being equal to the sum of the annual rate of interest for the most recent auction of 90 day Government of Canada treasury bills plus 3.060 percent (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset every quarter.”
[…] Thanks to Assiduous Reader IrateAR for bringing this to my attention, and to Niagara for pointing out arithmetic errors. […]