Nothing happened today. How dull.
Continued good volume in the Canadian preferred share market, a PerpetualDiscounts squeaked out a win of 1bp, while FixedResets were up 9bp, edging their median weighted average yield a little closer to 3.50%.
PerpetualDiscounts now yield 5.90%, equivalent to 8.26% interest at the standard equivalency factor of 1.4x. Long corporates now yield 5.6%, so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 265bp, a significant tightening from the 280bp reported on July 14.
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 | 2.82 % | 2.90 % | 23,397 | 20.26 | 1 | 0.0000 % | 2,078.1 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2200 % | 3,154.6 |
Floater | 2.51 % | 2.15 % | 42,290 | 21.97 | 4 | 0.2200 % | 2,248.4 |
OpRet | 4.89 % | -0.38 % | 102,180 | 0.08 | 11 | -0.2754 % | 2,338.7 |
SplitShare | 6.27 % | 5.02 % | 75,410 | 0.08 | 2 | 0.1732 % | 2,213.1 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2754 % | 2,138.5 |
Perpetual-Premium | 5.90 % | 5.28 % | 106,544 | 1.81 | 4 | 0.0491 % | 1,941.2 |
Perpetual-Discount | 5.83 % | 5.90 % | 182,356 | 14.04 | 73 | 0.0106 % | 1,852.6 |
FixedReset | 5.31 % | 3.53 % | 333,251 | 3.46 | 47 | 0.0940 % | 2,221.9 |
Performance Highlights | |||
Issue | Index | Change | Notes |
RY.PR.B | Perpetual-Discount | -1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-07-21 Maturity Price : 20.94 Evaluated at bid price : 20.94 Bid-YTW : 5.71 % |
BAM.PR.I | OpRet | -1.53 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2010-08-20 Maturity Price : 25.50 Evaluated at bid price : 25.70 Bid-YTW : -0.38 % |
PWF.PR.K | Perpetual-Discount | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-07-21 Maturity Price : 20.69 Evaluated at bid price : 20.69 Bid-YTW : 6.01 % |
TRP.PR.A | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.91 Bid-YTW : 3.80 % |
SLF.PR.G | FixedReset | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-07-21 Maturity Price : 25.55 Evaluated at bid price : 25.60 Bid-YTW : 3.90 % |
ELF.PR.G | Perpetual-Discount | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-07-21 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 6.51 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
CM.PR.K | FixedReset | 111,472 | RBC crossed 22,500 at 26.96. Desjardins crossed blocks of 49,800 and 25,000, both at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 26.89 Bid-YTW : 3.30 % |
MFC.PR.D | FixedReset | 84,422 | RBC crossed 20,000 at 27.68; National crossed 25,000 at 27.74. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 27.69 Bid-YTW : 3.88 % |
TRP.PR.C | FixedReset | 71,120 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-07-21 Maturity Price : 23.14 Evaluated at bid price : 25.05 Bid-YTW : 3.96 % |
IAG.PR.A | Perpetual-Discount | 63,320 | TD crossed three blocks, 25,000 shares, 14,100 and 18,500, all at 19.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-07-21 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 6.01 % |
TD.PR.A | FixedReset | 62,370 | RBC crossed blocks of 25,000 and 36,000, both at 26.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-02 Maturity Price : 25.00 Evaluated at bid price : 26.11 Bid-YTW : 3.61 % |
MFC.PR.E | FixedReset | 53,444 | National crossed 25,000 at 26.89, then bought 11,000 from anonymous at 26.90. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 26.87 Bid-YTW : 3.83 % |
There were 45 other index-included issues trading in excess of 10,000 shares. |
[…] Update, 2010-7-29: PerpetualDiscounts now yield 5.90%, equivalent to 8.26% interest at the standard equivalency factor of 1.4x. Long Corporates yield 5.6%, so the pre-tax interest-equivalent spread is now about 265bp, unchanged from the figure reported on July 21. […]