Not a fun day for preferreds, with PerpetualDiscounts getting hammered … although not quite as badly as on March 5. They are now down 5.19% for March to date.
| 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 | -5.5910 % | 747.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -5.5910 % | 1,208.8 |
| Floater | 5.22 % | 6.37 % | 64,032 | 13.25 | 3 | -5.5910 % | 933.8 |
| OpRet | 5.31 % | 5.35 % | 144,733 | 3.92 | 15 | -0.4499 % | 2,029.1 |
| SplitShare | 7.07 % | 9.24 % | 55,968 | 4.82 | 6 | -1.3028 % | 1,569.0 |
| Interest-Bearing | 6.24 % | 12.46 % | 39,057 | 0.77 | 1 | 2.7807 % | 1,880.7 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.2554 % | 1,422.7 |
| Perpetual-Discount | 7.59 % | 7.60 % | 168,311 | 11.80 | 71 | -1.2554 % | 1,310.3 |
| FixedReset | 6.25 % | 5.92 % | 700,233 | 13.67 | 31 | -0.5234 % | 1,770.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.A | Floater | -12.08 % | Not nearly as bad as it looks … but there are no bids! This traded 1,700 shares, in a single trade at 12.75, before closing at 11.21-12.75 (!), 2×3. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 11.21 Evaluated at bid price : 11.21 Bid-YTW : 3.93 % |
| MFC.PR.C | Perpetual-Discount | -7.78 % | Whoosh! Traded 12,680 shares in a range of 13.11-86 before closing at 13.03-39, 5×4. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 13.03 Evaluated at bid price : 13.03 Bid-YTW : 8.70 % |
| GWO.PR.G | Perpetual-Discount | -5.64 % | Not as bad as it looks … but close! Traded 10,093 shares in a range of 15.12-67 before closing at 14.88-10, 4×6. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 14.88 Evaluated at bid price : 14.88 Bid-YTW : 8.78 % |
| RY.PR.W | Perpetual-Discount | -4.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 17.41 Evaluated at bid price : 17.41 Bid-YTW : 7.12 % |
| ELF.PR.F | Perpetual-Discount | -4.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 14.18 Evaluated at bid price : 14.18 Bid-YTW : 9.59 % |
| BMO.PR.H | Perpetual-Discount | -3.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 7.45 % |
| BNA.PR.A | SplitShare | -3.80 % | Asset coverage of 1.7-:1 as of February 28, according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2010-09-30 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 12.76 % |
| CM.PR.K | FixedReset | -3.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.23 % |
| CM.PR.H | Perpetual-Discount | -3.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 15.20 Evaluated at bid price : 15.20 Bid-YTW : 8.05 % |
| CU.PR.A | Perpetual-Discount | -3.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.98 % |
| RY.PR.L | FixedReset | -3.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 22.76 Evaluated at bid price : 22.80 Bid-YTW : 5.19 % |
| W.PR.J | Perpetual-Discount | -3.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 7.57 % |
| MFC.PR.B | Perpetual-Discount | -3.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 8.08 % |
| PWF.PR.E | Perpetual-Discount | -3.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 16.02 Evaluated at bid price : 16.02 Bid-YTW : 8.76 % |
| SLF.PR.D | Perpetual-Discount | -3.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 12.60 Evaluated at bid price : 12.60 Bid-YTW : 8.87 % |
| POW.PR.A | Perpetual-Discount | -3.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 16.76 Evaluated at bid price : 16.76 Bid-YTW : 8.56 % |
| LFE.PR.A | SplitShare | -3.04 % | Asset coverage of 1.0+:1 as of February 27, according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2012-12-01 Maturity Price : 10.00 Evaluated at bid price : 5.75 Bid-YTW : 23.08 % |
| PWF.PR.L | Perpetual-Discount | -2.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 15.15 Evaluated at bid price : 15.15 Bid-YTW : 8.59 % |
| CM.PR.E | Perpetual-Discount | -2.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 17.58 Evaluated at bid price : 17.58 Bid-YTW : 8.12 % |
| CM.PR.P | Perpetual-Discount | -2.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 17.41 Evaluated at bid price : 17.41 Bid-YTW : 8.06 % |
| SLF.PR.E | Perpetual-Discount | -2.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 12.79 Evaluated at bid price : 12.79 Bid-YTW : 8.84 % |
| SLF.PR.C | Perpetual-Discount | -2.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 12.84 Evaluated at bid price : 12.84 Bid-YTW : 8.71 % |
| GWO.PR.I | Perpetual-Discount | -2.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 14.02 Evaluated at bid price : 14.02 Bid-YTW : 8.06 % |
| PWF.PR.G | Perpetual-Discount | -2.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 8.36 % |
| CU.PR.B | Perpetual-Discount | -2.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 21.73 Evaluated at bid price : 22.00 Bid-YTW : 6.87 % |
| BMO.PR.J | Perpetual-Discount | -2.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 14.99 Evaluated at bid price : 14.99 Bid-YTW : 7.60 % |
| BNS.PR.N | Perpetual-Discount | -2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 7.32 % |
| BNS.PR.Q | FixedReset | -2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.56 % |
| GWO.PR.J | FixedReset | -2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 22.86 Evaluated at bid price : 22.90 Bid-YTW : 5.57 % |
| TD.PR.A | FixedReset | -2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 21.76 Evaluated at bid price : 21.80 Bid-YTW : 4.64 % |
| BNA.PR.C | SplitShare | -1.94 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 10.60 Bid-YTW : 16.45 % |
| BAM.PR.O | OpRet | -1.89 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 20.75 Bid-YTW : 10.33 % |
| ELF.PR.G | Perpetual-Discount | -1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 13.27 Evaluated at bid price : 13.27 Bid-YTW : 9.18 % |
| CM.PR.I | Perpetual-Discount | -1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 14.93 Evaluated at bid price : 14.93 Bid-YTW : 8.03 % |
| CM.PR.J | Perpetual-Discount | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 7.91 % |
| GWO.PR.H | Perpetual-Discount | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 14.55 Evaluated at bid price : 14.55 Bid-YTW : 8.37 % |
| RY.PR.D | Perpetual-Discount | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 7.28 % |
| TD.PR.O | Perpetual-Discount | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 7.15 % |
| BAM.PR.J | OpRet | -1.52 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 18.12 Bid-YTW : 10.41 % |
| CM.PR.G | Perpetual-Discount | -1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 16.99 Evaluated at bid price : 16.99 Bid-YTW : 8.11 % |
| BAM.PR.H | OpRet | -1.51 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2012-03-30 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 9.46 % |
| CM.PR.D | Perpetual-Discount | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 7.82 % |
| HSB.PR.C | Perpetual-Discount | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 7.60 % |
| W.PR.H | Perpetual-Discount | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 7.49 % |
| BMO.PR.K | Perpetual-Discount | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 17.12 Evaluated at bid price : 17.12 Bid-YTW : 7.77 % |
| BNS.PR.M | Perpetual-Discount | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 15.82 Evaluated at bid price : 15.82 Bid-YTW : 7.24 % |
| MFC.PR.A | OpRet | -1.24 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 23.80 Bid-YTW : 4.95 % |
| MFC.PR.D | FixedReset | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 23.76 Evaluated at bid price : 23.80 Bid-YTW : 6.74 % |
| BAM.PR.N | Perpetual-Discount | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 12.45 Evaluated at bid price : 12.45 Bid-YTW : 9.84 % |
| RY.PR.A | Perpetual-Discount | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 15.91 Evaluated at bid price : 15.91 Bid-YTW : 7.08 % |
| RY.PR.I | FixedReset | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 21.96 Evaluated at bid price : 22.00 Bid-YTW : 4.55 % |
| RY.PR.B | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 16.21 Evaluated at bid price : 16.21 Bid-YTW : 7.34 % |
| NA.PR.N | FixedReset | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 22.44 Evaluated at bid price : 22.50 Bid-YTW : 4.62 % |
| TD.PR.R | Perpetual-Discount | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 7.14 % |
| PWF.PR.F | Perpetual-Discount | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 8.34 % |
| BMO.PR.M | FixedReset | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 4.52 % |
| BAM.PR.B | Floater | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 7.00 Evaluated at bid price : 7.00 Bid-YTW : 6.37 % |
| PWF.PR.K | Perpetual-Discount | 1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 8.71 % |
| POW.PR.B | Perpetual-Discount | 2.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 16.49 Evaluated at bid price : 16.49 Bid-YTW : 8.30 % |
| STW.PR.A | Interest-Bearing | 2.78 % | Asset coverage of 1.4+:1 as of March 5, based on Capital Unit NAV of 2.02. and 1.99 Capital Units per Preferred. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2009-12-31 Maturity Price : 10.00 Evaluated at bid price : 9.61 Bid-YTW : 12.46 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.T | FixedReset | 361,250 | New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 23.05 Evaluated at bid price : 24.76 Bid-YTW : 5.92 % |
| TD.PR.I | FixedReset | 103,495 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 23.07 Evaluated at bid price : 24.83 Bid-YTW : 5.97 % |
| BNS.PR.T | FixedReset | 87,120 | TD bought two blocks from RBC: 16,700 at 25.06 and 19,600 at 25.03. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 24.96 Evaluated at bid price : 25.01 Bid-YTW : 6.05 % |
| CM.PR.M | FixedReset | 48,510 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 23.05 Evaluated at bid price : 24.75 Bid-YTW : 6.20 % |
| RY.PR.R | FixedReset | 45,184 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : 6.17 % |
| MFC.PR.D | FixedReset | 36,505 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-03-09 Maturity Price : 23.76 Evaluated at bid price : 23.80 Bid-YTW : 6.74 % |
| There were 22 other index-included issues trading in excess of 10,000 shares. | |||
We wouldn’t be Assiduous Readers if we were not checking out potential typos in numbers, would we? In today’s performance highlights table, first line (PWF.PR.A) – YTW is incredibly low after such a price decline; I suspect it’s missing a ‘1’ in front. Also, for most Fixed-Resets except a few, why is Maturity Price different from Evaluated at bid price? The differences are a few pennies, but in the volume table they are more than a dollar, see RY.PR.T, TD.PR.I et al.
Thanks again for all the unpaid work put into this website and its companions.
Adrian
(PWF.PR.A) – YTW is incredibly low after such a price decline
Prime is 2.50% and PWF.PR.A pays 70% of that, is 1.75% on par value $25, is $0.4375 p.a., so current yield is 3.90%, close to the YTW.
Floaters are getting hit with a double-whammy; dividends are going down with prime, but yields are going up with perps.
why is Maturity Price different from Evaluated at bid price
To calculate the Limit Maturity Price, I take away the scenarios in which the issue is called. For issues priced below about $22.00 this doesn’t make any difference, but for issues near par it does.