| 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 | -0.2768 % | 2,140.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2768 % | 4,105.6 |
| Floater | 9.64 % | 10.18 % | 36,634 | 9.42 | 4 | -0.2768 % | 2,366.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2199 % | 3,598.4 |
| SplitShare | 4.80 % | 5.22 % | 44,013 | 1.33 | 8 | -0.2199 % | 4,297.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2199 % | 3,352.8 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2773 % | 2,910.5 |
| Perpetual-Discount | 5.91 % | 6.02 % | 49,725 | 13.85 | 31 | -0.2773 % | 3,173.8 |
| FixedReset Disc | 5.49 % | 6.88 % | 117,482 | 12.48 | 58 | 0.0440 % | 2,676.7 |
| Insurance Straight | 5.76 % | 5.81 % | 59,743 | 14.17 | 20 | -0.4437 % | 3,144.2 |
| FloatingReset | 8.23 % | 8.33 % | 28,194 | 11.06 | 1 | 1.4012 % | 2,749.1 |
| FixedReset Prem | 6.45 % | 5.80 % | 216,504 | 13.50 | 7 | -0.4163 % | 2,567.0 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0440 % | 2,736.1 |
| FixedReset Ins Non | 5.20 % | 6.32 % | 100,320 | 13.59 | 14 | -0.0682 % | 2,827.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.I | Insurance Straight | -5.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 22.07 Evaluated at bid price : 22.40 Bid-YTW : 6.06 % |
| CCS.PR.C | Insurance Straight | -5.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 21.44 Evaluated at bid price : 21.70 Bid-YTW : 5.79 % |
| PWF.PR.T | FixedReset Disc | -4.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 21.48 Evaluated at bid price : 21.75 Bid-YTW : 6.45 % |
| FTS.PR.J | Perpetual-Discount | -2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.88 % |
| POW.PR.C | Perpetual-Discount | -1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 23.61 Evaluated at bid price : 23.88 Bid-YTW : 6.09 % |
| IFC.PR.C | FixedReset Ins Non | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.69 % |
| ENB.PF.K | FixedReset Disc | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 22.60 Evaluated at bid price : 23.35 Bid-YTW : 6.77 % |
| BIP.PR.B | FixedReset Disc | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 23.86 Evaluated at bid price : 24.30 Bid-YTW : 7.70 % |
| CU.PR.C | FixedReset Disc | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 6.66 % |
| POW.PR.D | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 5.98 % |
| PVS.PR.J | SplitShare | -1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 5.33 % |
| NA.PR.W | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 22.20 Evaluated at bid price : 22.90 Bid-YTW : 5.77 % |
| SLF.PR.G | FixedReset Ins Non | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 6.73 % |
| FTS.PR.M | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.88 % |
| CU.PR.H | Perpetual-Discount | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 22.01 Evaluated at bid price : 22.25 Bid-YTW : 5.97 % |
| ENB.PF.A | FixedReset Disc | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 7.65 % |
| FFH.PR.D | FloatingReset | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 21.71 Evaluated at bid price : 21.71 Bid-YTW : 8.33 % |
| BN.PR.X | FixedReset Disc | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 16.59 Evaluated at bid price : 16.59 Bid-YTW : 7.37 % |
| GWO.PR.S | Insurance Straight | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 22.24 Evaluated at bid price : 22.51 Bid-YTW : 5.87 % |
| FTS.PR.K | FixedReset Disc | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 6.31 % |
| TD.PF.E | FixedReset Disc | 3.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 23.23 Evaluated at bid price : 23.77 Bid-YTW : 6.13 % |
| BIP.PR.A | FixedReset Disc | 4.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 7.69 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.D | FixedReset Disc | 178,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 23.55 Evaluated at bid price : 24.15 Bid-YTW : 6.00 % |
| BMO.PR.W | FixedReset Disc | 118,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-11-25 Maturity Price : 25.00 Evaluated at bid price : 25.09 Bid-YTW : 4.51 % |
| RY.PR.J | FixedReset Disc | 52,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 23.68 Evaluated at bid price : 24.33 Bid-YTW : 5.92 % |
| RY.PR.S | FixedReset Prem | 48,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 23.29 Evaluated at bid price : 25.24 Bid-YTW : 5.52 % |
| NA.PR.S | FixedReset Disc | 32,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-07 Maturity Price : 23.13 Evaluated at bid price : 24.82 Bid-YTW : 5.64 % |
| PVS.PR.L | SplitShare | 28,400 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 5.22 % |
| There were 15 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.C | FixedReset Disc | Quote: 20.75 – 22.78 Spot Rate : 2.0300 Average : 1.2774 YTW SCENARIO |
| IFC.PR.I | Insurance Straight | Quote: 22.40 – 23.74 Spot Rate : 1.3400 Average : 0.8281 YTW SCENARIO |
| PWF.PR.T | FixedReset Disc | Quote: 21.75 – 23.05 Spot Rate : 1.3000 Average : 0.7946 YTW SCENARIO |
| CCS.PR.C | Insurance Straight | Quote: 21.70 – 22.80 Spot Rate : 1.1000 Average : 0.7609 YTW SCENARIO |
| MFC.PR.F | FixedReset Ins Non | Quote: 16.20 – 16.97 Spot Rate : 0.7700 Average : 0.4620 YTW SCENARIO |
| BN.PF.J | FixedReset Disc | Quote: 23.11 – 23.70 Spot Rate : 0.5900 Average : 0.4042 YTW SCENARIO |
FRDs are starting to slowly deflate. If we drop to the zero line with rates, will our FRDs go back to their lows? I was tempted to sell all my FRDs a few months ago and walk away with capital gains. I know I will be told I don’t know what I am doing again but the gains I have from last October’s purchases are fairly significant. Quite a few years worth of dividends.
Anyways, just wondering what you guys think. Be nice 😉
“FRDs are starting to slowly deflate.”
FRDs – Discount Fixed Rate prefs? Spread deflating? Not sure what you’re talking about.
“If we drop to the zero line with rates, will our FRDs go back to their lows?”
If the short end of the curve drops to near zero? If so, that means we will have a lot of other problems to worry about.
I meant prices are slowly going down. The Fed and BOC are lowering rates and probably heading to zero.
“I meant prices are slowly going down.”
Prices of Discount Fixed Rate Preferred Shares?
Prices of those are not going down. They started climbing October last year when rates were peaking, then slowed recently with the rate cuts. IMO, there is another leg up in pricing on further spread compression.
Why would the Fed and BOC need to go to zero?
I second the question:
Why would the Fed and BOC need to go to zero?
For most of my career, I’ve been fond of trotting out the odd piece of trivia that at one point during the Great Depression, conditions got so bad that US Treasury Bills traded at a premium – that is, with a negative interest rate.
Now people think negative interest rates are normal.
Oh, well, perhaps if I live another sixty years, I can trot out stories about negative interest rates when the tail end of the recovery from the Credit Crunch intersected with COVID. I will astonish people (mainly because I’ll be so old).
“I meant prices are slowly going down.”
ZPR is trading at all time highs on a total return basis.
“The Fed and BOC are lowering rates and probably heading to zero.”
are they now? lol
“Why would the Fed and BOC need to go to zero?”
They central banks have no choice. The interest payments on the debt is killing the government budgets. They just can’t afford to pay these rates. They have no choice!!!
“They central banks have no choice. The interest payments on the debt is killing the government budgets. They just can’t afford to pay these rates. They have no choice!!!”
This is a highly simplistic and flawed thesis, especially if we believe in “independent” central banking. The discipline is in the other direction.
The “fiscal side” has options but lowering rates is not one of them. That is the CB’s job and any action is done mainly to keep inflation low (~2-3%).
Fiscal-side choices exist such as reducing spending and raising taxes, to name two obvious ones.
Uninhibited spending (no “guardrails”) would indeed have serious consequences but we are not there yet.
Let’s not forget about the dual mandate — now that the 2% inflation target rate is in sight, there’s also the mandate for low unemployment.
Let’s not forget about the dual mandate
The ‘dual mandate’ does not apply to the BoC, although it applies to the Fed.
anyone think rates are going to zero again any time soon after the recent data?
Nestor says:
“anyone think rates are going to zero again any time soon after the recent data?”
I know what you mean. I think the debt burden is too much for both Canada and the US and that they will still head to the zero line but maybe not as fast as I thought. Let me say, I hope I am wrong and that rates stay close to where they are now.
i’m hoping rates go to 20% … that would make for an interesting day.