April 20, 2011

DBRS confirmed Transcontinental at Pfd-3(high); the ticker is TCL.PR.D.

The Canadian preferred share market had mixed returns today as, in a reversal of recent form, PerpetualDiscounts lost 7bp, FixedResets were essentially flat and DeemedRetractibles gained 13bp. Volatility remained subdued. Volume was high.

PerpetualDiscounts now yield 5.58%, equivalent to 7.25% interest at the standard equivalency factor of 1.3x. Long Corporates now yield about 5.5%, so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 175bp, a slight (and perhaps spurious) increase from the 170bp reported April 13.

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 0.0833 % 2,414.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0833 % 3,630.8
Floater 2.50 % 2.26 % 36,155 21.64 4 0.0833 % 2,606.6
OpRet 4.92 % 3.49 % 59,371 2.07 8 -0.1636 % 2,411.7
SplitShare 5.19 % -1.55 % 89,901 0.65 6 0.3035 % 2,500.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1636 % 2,205.3
Perpetual-Premium 5.80 % 5.72 % 118,141 6.13 8 -0.0249 % 2,047.0
Perpetual-Discount 5.58 % 5.58 % 128,367 14.40 16 -0.0678 % 2,121.6
FixedReset 5.16 % 3.46 % 205,036 2.92 57 -0.0027 % 2,292.3
Deemed-Retractible 5.28 % 5.29 % 303,850 8.13 53 0.1294 % 2,073.6
Performance Highlights
Issue Index Change Notes
IAG.PR.C FixedReset 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 27.17
Bid-YTW : 3.03 %
IAG.PR.F Deemed-Retractible 1.59 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 5.66 %
Volume Highlights
Issue Index Shares
Traded
Notes
CIU.PR.B FixedReset 204,442 Nesbitt crossed 200,000 at 27.65.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-01
Maturity Price : 25.00
Evaluated at bid price : 27.61
Bid-YTW : 3.59 %
BMO.PR.O FixedReset 76,782 TD crossed blocks of 20,000 shares, 25,000 and 10,000, all at 27.66.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-24
Maturity Price : 25.00
Evaluated at bid price : 27.69
Bid-YTW : 3.31 %
RY.PR.A Deemed-Retractible 54,670 Desjardins crossed 25,600 at 23.70.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.17 %
BNS.PR.Z FixedReset 52,031 Desjardins crossed 30,000 at 24.47, then bought 12,000 from Nesbit at 24.45.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.39
Bid-YTW : 4.08 %
TD.PR.Q Deemed-Retractible 40,122 TD bought 14,500 from RBC at 25.60, then crossed 15,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-02
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 5.15 %
RY.PR.Y FixedReset 34,275 RBC crossed 15,000 at 27.44.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-24
Maturity Price : 25.00
Evaluated at bid price : 27.44
Bid-YTW : 3.58 %
There were 45 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.G FixedReset Quote: 26.21 – 26.71
Spot Rate : 0.5000
Average : 0.3734

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-01
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 3.43 %

ELF.PR.F Deemed-Retractible Quote: 22.55 – 22.94
Spot Rate : 0.3900
Average : 0.2853

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.55
Bid-YTW : 6.63 %

GWO.PR.H Deemed-Retractible Quote: 22.23 – 22.60
Spot Rate : 0.3700
Average : 0.2662

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.23
Bid-YTW : 6.35 %

TD.PR.C FixedReset Quote: 26.44 – 26.76
Spot Rate : 0.3200
Average : 0.2256

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-02
Maturity Price : 25.00
Evaluated at bid price : 26.44
Bid-YTW : 3.43 %

PWF.PR.E Perpetual-Discount Quote: 24.30 – 24.69
Spot Rate : 0.3900
Average : 0.3078

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-04-20
Maturity Price : 23.99
Evaluated at bid price : 24.30
Bid-YTW : 5.67 %

CIU.PR.A Perpetual-Discount Quote: 22.50 – 22.85
Spot Rate : 0.3500
Average : 0.2729

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-04-20
Maturity Price : 22.35
Evaluated at bid price : 22.50
Bid-YTW : 5.18 %

One Response to “April 20, 2011”

  1. […] spread (also called the Seniority Spread) is now about 175bp, with all numbers unchanged from the April 20 […]

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