Nothing happened today.
It was a poor day for the Canadian preferred share market, with PerpetualPremiums losing 10bp, FixedResets off 3bp and DeemedRetractibles down 7bp. Volatility was muted. Volume more than made up in strength what it lacked in breadth – probably related to the TXPR index changes.
PerpetualDiscounts now yield 4.93%, equivalent to 6.41% interest at the standard conversion factor of 1.3x. Long corporates now yield about 4.4%, so the pre-tax interest-equivalent spread is now about 200bp, a sharp narrowing from the 225bp reported October 10.
| 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 | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1705 % | 2,461.2 |
| FixedFloater | 4.24 % | 3.57 % | 32,671 | 18.24 | 1 | 0.0446 % | 3,795.7 |
| Floater | 2.98 % | 3.00 % | 67,526 | 19.74 | 3 | 0.1705 % | 2,657.4 |
| OpRet | 4.62 % | 2.80 % | 62,253 | 0.66 | 4 | -0.1998 % | 2,569.0 |
| SplitShare | 5.40 % | 4.84 % | 71,603 | 4.50 | 3 | 0.3824 % | 2,840.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1998 % | 2,349.1 |
| Perpetual-Premium | 5.29 % | 2.04 % | 87,007 | 0.35 | 27 | -0.1056 % | 2,302.9 |
| Perpetual-Discount | 5.01 % | 4.93 % | 45,950 | 15.48 | 4 | 0.2158 % | 2,580.8 |
| FixedReset | 4.97 % | 2.97 % | 187,040 | 3.83 | 73 | -0.0265 % | 2,442.1 |
| Deemed-Retractible | 4.94 % | 3.49 % | 124,057 | 1.01 | 47 | -0.0715 % | 2,380.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| VNR.PR.A | FixedReset | -1.17 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-10-15 Maturity Price : 25.00 Evaluated at bid price : 26.21 Bid-YTW : 3.32 % |
| ELF.PR.H | Perpetual-Premium | -1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 5.18 % |
| PWF.PR.M | FixedReset | 1.05 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-31 Maturity Price : 25.00 Evaluated at bid price : 26.10 Bid-YTW : 2.34 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.N | FixedReset | 459,866 | Added to TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : 3.80 % |
| ENB.PR.P | FixedReset | 454,663 | Added to TXPR. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-10-17 Maturity Price : 23.19 Evaluated at bid price : 25.31 Bid-YTW : 3.72 % |
| BAM.PR.R | FixedReset | 335,412 | Deleted from TXPR. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-10-17 Maturity Price : 23.52 Evaluated at bid price : 25.78 Bid-YTW : 3.70 % |
| TD.PR.P | Deemed-Retractible | 316,447 | Deleted from TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-12-01 Maturity Price : 26.00 Evaluated at bid price : 26.11 Bid-YTW : 0.04 % |
| BMO.PR.N | FixedReset | 252,552 | Deleted from TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.70 Bid-YTW : 2.11 % |
| RY.PR.G | Deemed-Retractible | 236,716 | Deleted from TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.78 Bid-YTW : 3.78 % |
| GWO.PR.M | Deemed-Retractible | 214,224 | Deleted from TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-03-31 Maturity Price : 26.00 Evaluated at bid price : 26.40 Bid-YTW : 5.06 % |
| FTS.PR.H | FixedReset | 204,934 | Added to TXPR. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-10-17 Maturity Price : 23.64 Evaluated at bid price : 25.58 Bid-YTW : 2.75 % |
| BAM.PF.B | FixedReset | 179,517 | Added to TXPR YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-10-17 Maturity Price : 23.18 Evaluated at bid price : 25.27 Bid-YTW : 3.89 % |
| TD.PR.Q | Deemed-Retractible | 169,700 | Deleted from TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-31 Maturity Price : 26.00 Evaluated at bid price : 26.42 Bid-YTW : -0.88 % |
| GWO.PR.G | Deemed-Retractible | 155,705 | Deleted from TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 4.58 % |
| CM.PR.M | FixedReset | 126,992 | Deleted from TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.70 Bid-YTW : 2.48 % |
| BNS.PR.O | Deemed-Retractible | 116,051 | Deleted from TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-04-26 Maturity Price : 26.00 Evaluated at bid price : 26.70 Bid-YTW : -0.20 % |
| There were 25 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| ELF.PR.H | Perpetual-Premium | Quote: 25.60 – 25.90 Spot Rate : 0.3000 Average : 0.1918 YTW SCENARIO |
| BAM.PR.B | Floater | Quote: 17.72 – 18.00 Spot Rate : 0.2800 Average : 0.1892 YTW SCENARIO |
| IGM.PR.B | Perpetual-Premium | Quote: 27.04 – 27.50 Spot Rate : 0.4600 Average : 0.3751 YTW SCENARIO |
| POW.PR.D | Perpetual-Premium | Quote: 25.17 – 25.38 Spot Rate : 0.2100 Average : 0.1321 YTW SCENARIO |
| FTS.PR.E | OpRet | Quote: 26.68 – 26.95 Spot Rate : 0.2700 Average : 0.2071 YTW SCENARIO |
| BAM.PR.P | FixedReset | Quote: 26.73 – 26.99 Spot Rate : 0.2600 Average : 0.1984 YTW SCENARIO |
[…] PerpetualDiscounts now yield 4.92%, equivalent to 6.40% interest at the standard equivalency factor of 1.3x. Long corporates are at about 4.35% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now at about 205bp, slightly (and perhaps spuriously) wider than the 200bp reported October 17. […]