DBRS has concluded that the Brookfield Asset Management / General Growth Properties deal, as confirmed, continues to be credit-neutral. The original PrefBlog post on this issue has been updated with the link.
Volume continued to be elevated and the Canadian preferred share market continued to get hit, with PerpetualDiscounts down 32bp on the day and FixedResets losing 7bp.
| 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 | 2.56 % | 2.61 % | 58,083 | 20.98 | 1 | 0.0000 % | 2,162.1 |
| FixedFloater | 4.93 % | 3.05 % | 49,418 | 20.10 | 1 | 0.0000 % | 3,207.1 |
| Floater | 1.90 % | 1.67 % | 47,936 | 23.42 | 4 | -0.5411 % | 2,423.2 |
| OpRet | 4.87 % | 1.96 % | 109,523 | 0.16 | 10 | -0.0741 % | 2,309.0 |
| SplitShare | 6.38 % | -1.25 % | 137,805 | 0.08 | 2 | 0.0880 % | 2,139.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0741 % | 2,111.4 |
| Perpetual-Premium | 5.74 % | 3.06 % | 36,513 | 0.65 | 2 | 0.2591 % | 1,863.8 |
| Perpetual-Discount | 6.12 % | 6.19 % | 177,444 | 13.66 | 76 | -0.3214 % | 1,736.2 |
| FixedReset | 5.39 % | 3.57 % | 392,427 | 3.66 | 43 | -0.0692 % | 2,195.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.M | FixedReset | -1.88 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-02 Maturity Price : 25.00 Evaluated at bid price : 27.18 Bid-YTW : 3.89 % |
| MFC.PR.A | OpRet | -1.58 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 25.59 Bid-YTW : 3.68 % |
| PWF.PR.H | Perpetual-Discount | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-01 Maturity Price : 23.10 Evaluated at bid price : 23.38 Bid-YTW : 6.26 % |
| CIU.PR.A | Perpetual-Discount | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-01 Maturity Price : 19.26 Evaluated at bid price : 19.26 Bid-YTW : 6.05 % |
| POW.PR.B | Perpetual-Discount | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-01 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.40 % |
| TRI.PR.B | Floater | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-01 Maturity Price : 23.48 Evaluated at bid price : 23.75 Bid-YTW : 1.62 % |
| BNS.PR.O | Perpetual-Discount | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-01 Maturity Price : 23.23 Evaluated at bid price : 23.41 Bid-YTW : 5.98 % |
| IAG.PR.E | Perpetual-Discount | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-01 Maturity Price : 23.87 Evaluated at bid price : 24.06 Bid-YTW : 6.27 % |
| NA.PR.K | Perpetual-Discount | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-01 Maturity Price : 23.85 Evaluated at bid price : 24.20 Bid-YTW : 6.13 % |
| GWL.PR.O | Perpetual-Premium | 1.20 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2010-11-30 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 3.06 % |
| BAM.PR.J | OpRet | 1.56 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 26.05 Bid-YTW : 4.79 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.T | FixedReset | 48,565 | TD sold 10,000 to Nesbitt at 28.06 and 12,000 to anonymous at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 28.00 Bid-YTW : 3.54 % |
| TD.PR.I | FixedReset | 47,441 | TD crossed 26,000 at 28.22. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 28.22 Bid-YTW : 3.37 % |
| W.PR.J | Perpetual-Discount | 43,573 | Nesbitt crossed 40,000 at 21.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-01 Maturity Price : 21.44 Evaluated at bid price : 21.70 Bid-YTW : 6.47 % |
| TD.PR.G | FixedReset | 42,555 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.96 Bid-YTW : 3.52 % |
| TD.PR.E | FixedReset | 40,330 | RBC sold 10,000 to anonymous at 28.10. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 28.10 Bid-YTW : 3.38 % |
| TD.PR.K | FixedReset | 35,927 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 28.08 Bid-YTW : 3.50 % |
| There were 50 other index-included issues trading in excess of 10,000 shares. | |||
Hi James, do you think the pref decline is appropriate in this environment or an extreme reaction to what may be a larger increase in prime rates this summer or an overreaction that will correct back again once the headlines of ” Banks rasie mortage rates” recedes from the headlines
All I can say is that if the broader market shared the concerns of preferred share investors, we would be seeing a similar move in Long Corporate yields.
And we ain’t.
[…] yield – 6.2% for a PerpetualDiscount, and about 3.6% to the call date for a FixedReset, as of April 1. The FixedReset index set a new low yield in March, highlighted by RY.PR.R’s brief flirtation […]