Nothing happened today.
Another crushing day for the Canadian preferred share market, with PerpetualDiscounts losing 77bp, FixedResets off 8bp and DeemedRetractibles down 23bp. There is a suitably lengthy Performance Highlights table, suitably featuring PerpetualDiscount losers, but with an impressive number of FixedReset losers and a few winners to provide some variety. Volume was quite high.
PerpetualDiscounts now yield 5.64%, equivalent to 7.33% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.7%, so the pre-tax interest-equivalent spread is now about 265bp, an extremely sharp widening from the 240bp reported July 31.
| 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 | 0.2143 % | 2,635.1 |
| FixedFloater | 4.14 % | 3.43 % | 32,324 | 18.49 | 1 | 0.0000 % | 4,011.5 |
| Floater | 2.55 % | 2.84 % | 75,208 | 20.11 | 5 | 0.2143 % | 2,845.2 |
| OpRet | 4.60 % | 2.97 % | 77,587 | 0.63 | 3 | -0.3568 % | 2,620.4 |
| SplitShare | 4.67 % | 4.67 % | 57,911 | 4.14 | 6 | 0.4295 % | 2,966.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3568 % | 2,396.1 |
| Perpetual-Premium | 5.69 % | 5.43 % | 90,282 | 3.86 | 12 | -0.1738 % | 2,276.4 |
| Perpetual-Discount | 5.51 % | 5.64 % | 154,772 | 14.43 | 25 | -0.7676 % | 2,335.6 |
| FixedReset | 5.00 % | 3.90 % | 234,219 | 4.66 | 85 | -0.0834 % | 2,441.3 |
| Deemed-Retractible | 5.17 % | 5.05 % | 183,953 | 6.99 | 43 | -0.2312 % | 2,338.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.K | Perpetual-Discount | -3.46 % | Pretty real. 100 shares changed hands at 22.03 fifteen minutes before the close and the “last” quote was 22.03-26, 10×1. However, the VWAP (volume weighted average price) was 22.39 on 14,493 shares, so we’ll find out tomorrow if it was real or just a little last minute weariness. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-07 Maturity Price : 21.68 Evaluated at bid price : 22.03 Bid-YTW : 5.64 % |
| PWF.PR.S | Perpetual-Discount | -3.38 % | Real! All board lots after 2:30pm were under 22.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-07 Maturity Price : 21.38 Evaluated at bid price : 21.70 Bid-YTW : 5.56 % |
| CU.PR.C | FixedReset | -2.55 % | Real! Lots of action below par, and the low for the day was 24.22. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-07 Maturity Price : 23.22 Evaluated at bid price : 24.85 Bid-YTW : 4.13 % |
| SLF.PR.G | FixedReset | -2.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 3.97 % |
| BAM.PR.M | Perpetual-Discount | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-07 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 5.73 % |
| BAM.PF.D | Perpetual-Discount | -1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-07 Maturity Price : 21.48 Evaluated at bid price : 21.76 Bid-YTW : 5.71 % |
| ENB.PR.N | FixedReset | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-07 Maturity Price : 22.89 Evaluated at bid price : 24.32 Bid-YTW : 4.41 % |
| TRP.PR.C | FixedReset | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-07 Maturity Price : 22.18 Evaluated at bid price : 22.51 Bid-YTW : 3.84 % |
| CU.PR.G | Perpetual-Discount | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-07 Maturity Price : 21.30 Evaluated at bid price : 21.58 Bid-YTW : 5.31 % |
| FTS.PR.G | FixedReset | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-07 Maturity Price : 22.36 Evaluated at bid price : 23.15 Bid-YTW : 4.25 % |
| FTS.PR.F | Perpetual-Discount | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-07 Maturity Price : 22.77 Evaluated at bid price : 23.02 Bid-YTW : 5.41 % |
| BAM.PR.N | Perpetual-Discount | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-07 Maturity Price : 20.83 Evaluated at bid price : 20.83 Bid-YTW : 5.78 % |
| POW.PR.B | Perpetual-Discount | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-07 Maturity Price : 23.15 Evaluated at bid price : 23.45 Bid-YTW : 5.75 % |
| GWO.PR.R | Deemed-Retractible | -1.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.40 Bid-YTW : 5.66 % |
| ELF.PR.H | Perpetual-Discount | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-07 Maturity Price : 23.72 Evaluated at bid price : 24.09 Bid-YTW : 5.75 % |
| GWO.PR.H | Deemed-Retractible | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.76 Bid-YTW : 6.04 % |
| BNS.PR.N | Deemed-Retractible | -1.03 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-01-27 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 5.18 % |
| MFC.PR.I | FixedReset | -1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 4.31 % |
| SLF.PR.H | FixedReset | -1.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 4.16 % |
| GCS.PR.A | SplitShare | 1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.87 Bid-YTW : 4.17 % |
| TRP.PR.A | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-07 Maturity Price : 22.90 Evaluated at bid price : 23.35 Bid-YTW : 4.06 % |
| RY.PR.B | Deemed-Retractible | 1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.69 Bid-YTW : 4.88 % |
| BNA.PR.E | SplitShare | 1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 4.67 % |
| BAM.PF.B | FixedReset | 11.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-07 Maturity Price : 22.67 Evaluated at bid price : 23.84 Bid-YTW : 4.54 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWO.PR.G | Deemed-Retractible | 110,820 | Desjardins crossed 100,000 at 24.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.95 Bid-YTW : 5.81 % |
| ENB.PR.Y | FixedReset | 94,382 | Scotia crossed blocks of 10,000 and 30,000, both at 24.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-07 Maturity Price : 22.71 Evaluated at bid price : 23.97 Bid-YTW : 4.27 % |
| RY.PR.D | Deemed-Retractible | 90,974 | RBC crossed 78,800 at 24.35. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.26 Bid-YTW : 4.93 % |
| RY.PR.Y | FixedReset | 59,390 | Nesbitt crossed 50,000 at 26.01. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-11-24 Maturity Price : 25.00 Evaluated at bid price : 25.99 Bid-YTW : 2.77 % |
| RY.PR.X | FixedReset | 57,363 | Nesbitt crossed 50,000 at 25.87. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.87 Bid-YTW : 2.61 % |
| CM.PR.M | FixedReset | 53,505 | Scotia crossed 40,000 at 25.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 3.33 % |
| There were 56 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BNS.PR.Y | FixedReset | Quote: 23.30 – 23.86 Spot Rate : 0.5600 Average : 0.3400 YTW SCENARIO |
| PWF.PR.S | Perpetual-Discount | Quote: 21.70 – 22.14 Spot Rate : 0.4400 Average : 0.2869 YTW SCENARIO |
| TCA.PR.X | Perpetual-Discount | Quote: 50.00 – 50.39 Spot Rate : 0.3900 Average : 0.2478 YTW SCENARIO |
| RY.PR.C | Deemed-Retractible | Quote: 24.45 – 24.92 Spot Rate : 0.4700 Average : 0.3386 YTW SCENARIO |
| POW.PR.B | Perpetual-Discount | Quote: 23.45 – 23.83 Spot Rate : 0.3800 Average : 0.2558 YTW SCENARIO |
| HSE.PR.A | FixedReset | Quote: 23.14 – 23.48 Spot Rate : 0.3400 Average : 0.2227 YTW SCENARIO |
[…] spread is now about 270bp, a slight (and perhaps spurious) increase from the 265bp recorded August 7 but well above the post-Crunch, pre-Tapering average of around […]