Sorry folks! Not much by way of commentary today!
PerpetualDiscounts were off again to yield 7.46%, equivalent to 10.44% interest at the standard equivalency factor of 1.4x. Long Corporates continue to hold at 7.50%, so the pre-tax interest-equivalent spread is now 294bp … who knows? It won’t take much before we’re breaching 300bp again.
| 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 | 0.3276 % | 818.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3276 % | 1,324.1 |
| Floater | 4.76 % | 5.95 % | 67,587 | 13.88 | 3 | 0.3276 % | 1,022.8 |
| OpRet | 5.30 % | 5.01 % | 149,100 | 3.93 | 15 | -0.0973 % | 2,035.7 |
| SplitShare | 6.97 % | 9.08 % | 57,677 | 4.84 | 6 | -0.4790 % | 1,591.5 |
| Interest-Bearing | 6.23 % | 11.97 % | 38,576 | 0.78 | 1 | 0.0000 % | 1,884.6 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1996 % | 1,471.0 |
| Perpetual-Discount | 7.34 % | 7.46 % | 172,278 | 12.03 | 71 | -0.1996 % | 1,354.8 |
| FixedReset | 6.20 % | 5.64 % | 478,449 | 13.98 | 28 | 0.1283 % | 1,780.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.E | Perpetual-Discount | -4.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 7.97 % |
| TD.PR.O | Perpetual-Discount | -3.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 17.82 Evaluated at bid price : 17.82 Bid-YTW : 6.91 % |
| PWF.PR.H | Perpetual-Discount | -2.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 18.08 Evaluated at bid price : 18.08 Bid-YTW : 8.09 % |
| PWF.PR.F | Perpetual-Discount | -2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 7.86 % |
| LFE.PR.A | SplitShare | -2.16 % | Asset coverage of 1.0+:1 as of February 27 according to the company … and DBRS still rates it as Pfd-2(low). YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2012-12-01 Maturity Price : 10.00 Evaluated at bid price : 6.35 Bid-YTW : 19.64 % |
| POW.PR.A | Perpetual-Discount | -2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 7.83 % |
| MFC.PR.B | Perpetual-Discount | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 15.67 Evaluated at bid price : 15.67 Bid-YTW : 7.46 % |
| BNS.PR.J | Perpetual-Discount | -2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 6.98 % |
| POW.PR.B | Perpetual-Discount | -1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 8.18 % |
| SLF.PR.B | Perpetual-Discount | -1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 15.11 Evaluated at bid price : 15.11 Bid-YTW : 7.97 % |
| PWF.PR.L | Perpetual-Discount | -1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 15.99 Evaluated at bid price : 15.99 Bid-YTW : 8.12 % |
| BAM.PR.M | Perpetual-Discount | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 12.51 Evaluated at bid price : 12.51 Bid-YTW : 9.78 % |
| POW.PR.C | Perpetual-Discount | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 7.85 % |
| IAG.PR.C | FixedReset | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.53 % |
| NA.PR.L | Perpetual-Discount | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 16.25 Evaluated at bid price : 16.25 Bid-YTW : 7.56 % |
| W.PR.J | Perpetual-Discount | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 19.56 Evaluated at bid price : 19.56 Bid-YTW : 7.30 % |
| SLF.PR.C | Perpetual-Discount | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 14.26 Evaluated at bid price : 14.26 Bid-YTW : 7.83 % |
| BAM.PR.I | OpRet | -1.64 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2013-12-30 Maturity Price : 25.00 Evaluated at bid price : 21.60 Bid-YTW : 9.38 % |
| RY.PR.G | Perpetual-Discount | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 7.07 % |
| RY.PR.L | FixedReset | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 23.01 Evaluated at bid price : 23.05 Bid-YTW : 5.22 % |
| PWF.PR.K | Perpetual-Discount | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 15.48 Evaluated at bid price : 15.48 Bid-YTW : 8.14 % |
| BMO.PR.L | Perpetual-Discount | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 19.66 Evaluated at bid price : 19.66 Bid-YTW : 7.46 % |
| MFC.PR.C | Perpetual-Discount | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 14.68 Evaluated at bid price : 14.68 Bid-YTW : 7.71 % |
| SBN.PR.A | SplitShare | -1.40 % | Asset coverage of 1.5-:1 as of February 19 according to Mulvihill. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-12-01 Maturity Price : 10.00 Evaluated at bid price : 8.43 Bid-YTW : 8.92 % |
| IAG.PR.A | Perpetual-Discount | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 14.80 Evaluated at bid price : 14.80 Bid-YTW : 7.79 % |
| BAM.PR.O | OpRet | -1.18 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 9.96 % |
| GWO.PR.G | Perpetual-Discount | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 7.73 % |
| NA.PR.N | FixedReset | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 22.21 Evaluated at bid price : 22.27 Bid-YTW : 4.76 % |
| CM.PR.K | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 21.62 Evaluated at bid price : 22.00 Bid-YTW : 5.04 % |
| DFN.PR.A | SplitShare | 1.21 % | Asset coverage of 1.5-:1 as of February 27 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-12-01 Maturity Price : 10.00 Evaluated at bid price : 8.35 Bid-YTW : 9.08 % |
| CM.PR.I | Perpetual-Discount | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 7.72 % |
| CM.PR.H | Perpetual-Discount | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 15.81 Evaluated at bid price : 15.81 Bid-YTW : 7.73 % |
| BNS.PR.L | Perpetual-Discount | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 6.82 % |
| RY.PR.C | Perpetual-Discount | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 7.11 % |
| IGM.PR.A | OpRet | 1.64 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2013-06-29 Maturity Price : 25.00 Evaluated at bid price : 25.06 Bid-YTW : 5.61 % |
| BAM.PR.K | Floater | 1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 7.49 Evaluated at bid price : 7.49 Bid-YTW : 5.95 % |
| GWO.PR.I | Perpetual-Discount | 2.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 15.22 Evaluated at bid price : 15.22 Bid-YTW : 7.41 % |
| CM.PR.J | Perpetual-Discount | 2.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 7.63 % |
| HSB.PR.D | Perpetual-Discount | 2.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 7.53 % |
| BNS.PR.R | FixedReset | 3.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 4.95 % |
| CM.PR.E | Perpetual-Discount | 3.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 18.39 Evaluated at bid price : 18.39 Bid-YTW : 7.75 % |
| TD.PR.Y | FixedReset | 3.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.67 % |
| RY.PR.W | Perpetual-Discount | 3.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 18.49 Evaluated at bid price : 18.49 Bid-YTW : 6.70 % |
| BMO.PR.H | Perpetual-Discount | 4.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.87 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.D | FixedReset | 541,409 | New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 24.65 Evaluated at bid price : 24.70 Bid-YTW : 6.56 % |
| TD.PR.G | FixedReset | 44,211 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 25.13 Evaluated at bid price : 25.18 Bid-YTW : 6.24 % |
| CM.PR.I | Perpetual-Discount | 39,262 | RBC crossed 20,700 at 15.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 7.72 % |
| RY.PR.D | Perpetual-Discount | 31,980 | Raymond James bought 10,000 from Nesbitt at 16.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-04 Maturity Price : 15.98 Evaluated at bid price : 15.98 Bid-YTW : 7.12 % |
| BNS.PR.X | FixedReset | 31,800 | National crossed 10,000 at 25.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.17 Bid-YTW : 6.27 % |
| RY.PR.R | FixedReset | 29,350 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 25.21 Bid-YTW : 6.23 % |
| There were 22 other index-included issues trading in excess of 10,000 shares. | |||
With the spread now at 294 I’m wondering where the high and low has been for the past few years. If there is a graph of some sort that you can share I think it would be informative. Thanks.
Well … you should have attended the seminar, shouldn’t you!
Don’t worry, it will be available on-line soon.
Chart 2 in my review of 2008 is what you’re looking for. The spread spent years in the 100-150bp range, 200-250bp has become normal during the credit crunch and there was a brief spike to about 450 during the November collapse.
Thanks.
I thought i would share some analysis.
I calculated the interest equivalency for someone whose net taxable income consists entirely of eligible dividends and is equal to or less than $36,020 – the maximum level in Ontario at which an individual pays no tax(in 2008). In this case the marginal tax rate is 21% and the equivalency factor is 1.267 vs a marginal rate of 46.4% and the 1.4 for a high income earner ($150K). I utilized a handy tax calculator available online. Here is the link:
http://www.ey.com/GLOBAL/content.nsf/Canada/Tax_-_Calculators_-_2008_Personal_Tax
I got 1.27.
I’m not sure why – or how – you specified that the net taxable income is entirely dividends? The site we both used only gives marginal rates.