January 8, 2014

Nothing happened today.

It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 1bp, FixedResets up 11bp and DeemedRetractibles down 12bp. The Performance Highlights table is short by standards of the past year. Volume was on the low side of average.

PerpetualDiscounts now yield 5.66%, equivalent to 7.36% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.8%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread” is now about 255bp, a slight (and perhaps spurious) narrowing from the 260bp reported December 27.

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 0.6714 % 2,561.9
FixedFloater 4.47 % 3.77 % 33,922 17.76 1 -0.0470 % 3,754.6
Floater 2.92 % 2.93 % 67,895 19.94 3 0.6714 % 2,766.2
OpRet 4.63 % 1.82 % 76,431 0.39 3 0.1159 % 2,667.0
SplitShare 4.86 % 4.72 % 69,561 4.44 5 0.1125 % 3,019.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1159 % 2,438.7
Perpetual-Premium 5.64 % 3.62 % 129,165 0.15 13 0.1440 % 2,319.8
Perpetual-Discount 5.64 % 5.66 % 169,313 14.44 25 0.0149 % 2,355.2
FixedReset 4.96 % 3.50 % 211,261 3.40 82 0.1104 % 2,483.9
Deemed-Retractible 5.14 % 4.36 % 167,352 2.01 42 -0.1224 % 2,405.7
FloatingReset 2.60 % 2.35 % 231,811 4.34 5 0.0793 % 2,473.3
Performance Highlights
Issue Index Change Notes
SLF.PR.E Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.26
Bid-YTW : 6.46 %
BAM.PF.D Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-08
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.12 %
BAM.PF.C Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-08
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.15 %
CIU.PR.C FixedReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-08
Maturity Price : 20.39
Evaluated at bid price : 20.39
Bid-YTW : 4.17 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.I Deemed-Retractible 323,182 TD crossed 100,000 at 21.50; Nesbitt crossed two blocks of 100,000 each at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.45
Bid-YTW : 6.35 %
RY.PR.C Deemed-Retractible 68,395 RBC crossed blocks of 30,000 and 25,000, both at 25.40.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.16 %
BNS.PR.R FixedReset 62,926 Will reset at 3.83%. Yield to Deemed Maturity 2022-1-31 at 25.00 is 3.74%.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : -2.35 %
BNS.PR.Q FixedReset 55,200 Nesbitt crossed 50,000 at 25.05.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-25
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 3.50 %
CIU.PR.B FixedReset 50,100 Scotia crossed 50,000 at 25.60.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 2.72 %
BAM.PF.A FixedReset 50,036 RBC crossed 38,400 at 25.35.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.02 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
VNR.PR.A FixedReset Quote: 25.13 – 25.44
Spot Rate : 0.3100
Average : 0.2137

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 4.20 %

CU.PR.D Perpetual-Discount Quote: 22.51 – 22.85
Spot Rate : 0.3400
Average : 0.2516

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-08
Maturity Price : 22.19
Evaluated at bid price : 22.51
Bid-YTW : 5.50 %

W.PR.J Perpetual-Discount Quote: 24.39 – 24.71
Spot Rate : 0.3200
Average : 0.2366

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-08
Maturity Price : 24.14
Evaluated at bid price : 24.39
Bid-YTW : 5.76 %

TCA.PR.Y Perpetual-Premium Quote: 49.97 – 50.37
Spot Rate : 0.4000
Average : 0.3193

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-05
Maturity Price : 50.00
Evaluated at bid price : 49.97
Bid-YTW : 3.62 %

GWO.PR.N FixedReset Quote: 21.85 – 22.09
Spot Rate : 0.2400
Average : 0.1664

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 4.83 %

GWO.PR.L Deemed-Retractible Quote: 24.80 – 25.00
Spot Rate : 0.2000
Average : 0.1269

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 5.80 %

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