PerpetualDiscounts now yield 5.27%, equivalent to 6.85% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a slight (and perhaps spurious) widening from the 295bp reported January 31.
| 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 | 1.4970 % | 2,900.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.4970 % | 5,322.0 |
| Floater | 3.43 % | 3.60 % | 48,538 | 18.27 | 4 | 1.4970 % | 3,067.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0389 % | 3,148.4 |
| SplitShare | 4.66 % | 4.36 % | 68,022 | 4.14 | 5 | -0.0389 % | 3,759.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0389 % | 2,933.6 |
| Perpetual-Premium | 5.36 % | -1.97 % | 65,098 | 0.09 | 18 | 0.0573 % | 2,871.4 |
| Perpetual-Discount | 5.28 % | 5.27 % | 70,590 | 15.03 | 16 | 0.0561 % | 3,010.8 |
| FixedReset | 4.20 % | 4.47 % | 151,082 | 3.82 | 101 | 0.0674 % | 2,542.5 |
| Deemed-Retractible | 5.06 % | 5.44 % | 84,097 | 5.80 | 28 | -0.0798 % | 2,955.9 |
| FloatingReset | 3.03 % | 2.91 % | 41,188 | 3.76 | 10 | 0.1339 % | 2,778.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.F | FixedReset | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.97 Bid-YTW : 7.35 % |
| BIP.PR.E | FixedReset | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 23.10 Evaluated at bid price : 24.86 Bid-YTW : 5.02 % |
| BAM.PR.T | FixedReset | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 21.54 Evaluated at bid price : 21.82 Bid-YTW : 4.82 % |
| GWO.PR.N | FixedReset | 1.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.90 Bid-YTW : 6.59 % |
| PWF.PR.A | Floater | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 19.87 Evaluated at bid price : 19.87 Bid-YTW : 3.03 % |
| BAM.PF.E | FixedReset | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 23.21 Evaluated at bid price : 24.18 Bid-YTW : 4.75 % |
| BAM.PR.R | FixedReset | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 4.90 % |
| POW.PR.D | Perpetual-Discount | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 23.86 Evaluated at bid price : 24.11 Bid-YTW : 5.22 % |
| BAM.PR.C | Floater | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 16.86 Evaluated at bid price : 16.86 Bid-YTW : 3.61 % |
| BAM.PR.K | Floater | 2.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 16.89 Evaluated at bid price : 16.89 Bid-YTW : 3.60 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.P | FixedReset | 251,984 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 3.35 % |
| CM.PR.S | FixedReset | 192,908 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 23.12 Evaluated at bid price : 24.87 Bid-YTW : 4.47 % |
| NA.PR.E | FixedReset | 168,525 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-31 Maturity Price : 23.07 Evaluated at bid price : 24.80 Bid-YTW : 4.60 % |
| BNS.PR.Q | FixedReset | 104,200 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 3.81 % |
| TD.PF.I | FixedReset | 79,735 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.41 Bid-YTW : 4.14 % |
| BMO.PR.B | FixedReset | 77,722 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.17 Bid-YTW : 3.54 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| EIT.PR.A | SplitShare | Quote: 25.60 – 26.55 Spot Rate : 0.9500 Average : 0.5855 YTW SCENARIO |
| PWF.PR.R | Perpetual-Premium | Quote: 25.60 – 25.99 Spot Rate : 0.3900 Average : 0.2528 YTW SCENARIO |
| CCS.PR.C | Deemed-Retractible | Quote: 23.80 – 24.50 Spot Rate : 0.7000 Average : 0.5814 YTW SCENARIO |
| MFC.PR.F | FixedReset | Quote: 18.97 – 19.37 Spot Rate : 0.4000 Average : 0.2918 YTW SCENARIO |
| RY.PR.L | FixedReset | Quote: 25.20 – 25.49 Spot Rate : 0.2900 Average : 0.1849 YTW SCENARIO |
| PWF.PR.F | Perpetual-Discount | Quote: 24.51 – 24.79 Spot Rate : 0.2800 Average : 0.1790 YTW SCENARIO |
what did you mean , when you wrote ..”Yep. CPD and ZPR are my best friends.”on jan 30 2018 ? thankyou
CPD is the iShares S&P/TSX Canadian Preferred Share Index ETF, a passive ETF with AUM of $1.5-billion.
ZPR is the BMO Laddered Preferred Share Index ETF, another passive ETF with AUM of $2.2-billion.
Being passive vehicles, these two giants buy and sell their constituents strictly in accordance with their index weight. They do not even attempt to consider valuation (although the people who put together their Creation Units and Redemption Units might take relatively small positions from time to time).
Therefore, activities based on creating and redeeming units of these funds can often have the effect of nudging something I own and consider rich up into sell territory; correspondingly for things I think are cheap and am considering buying.
Thus, their activities will often have the effect of rewarding active management, as indicated in the quote from Mr. Kamstra in the January 29 post.
thankyou , i understand
Just remembered! An egregious example of this was POW.PR.C back in January 2010.