OSFI honcho Jeremy Rudin spoke to a Senate committee today but didn’t actually say anything.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 26bp, FixedResets gaining 10bp and DeemedRetractibles off 1bp. Volatility was average. Volume was low.
PerpetualDiscounts now yield 5.02%, equivalent to 6.53% interest at the standard equivalency factor of 1.3x. Long Corporates now yield about 4.2%, so the pre-tax, interest-equivalent spread (in this context, the Seniority Spread) is now about 235bp, a slight (and perhaps spurious) narrowing from the 240bp reported October 29.
| 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 | 0.5830 % | 2,539.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5830 % | 4,019.7 |
| Floater | 2.97 % | 3.06 % | 65,533 | 19.55 | 4 | 0.5830 % | 2,699.1 |
| OpRet | 4.02 % | -2.09 % | 100,348 | 0.08 | 1 | 0.0392 % | 2,749.7 |
| SplitShare | 4.24 % | 3.89 % | 63,864 | 3.78 | 5 | 0.1285 % | 3,190.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0392 % | 2,514.3 |
| Perpetual-Premium | 5.45 % | -5.88 % | 70,296 | 0.09 | 19 | 0.1194 % | 2,480.2 |
| Perpetual-Discount | 5.13 % | 5.02 % | 104,990 | 15.41 | 16 | 0.2604 % | 2,664.5 |
| FixedReset | 4.17 % | 3.61 % | 167,815 | 4.54 | 74 | 0.0953 % | 2,583.6 |
| Deemed-Retractible | 4.97 % | 0.72 % | 100,567 | 0.15 | 41 | -0.0145 % | 2,595.2 |
| FloatingReset | 2.55 % | -2.37 % | 63,251 | 0.08 | 6 | 0.0718 % | 2,555.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.H | Deemed-Retractible | -1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.31 Bid-YTW : 5.30 % |
| MFC.PR.B | Deemed-Retractible | -1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.60 Bid-YTW : 5.48 % |
| FTS.PR.G | FixedReset | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-05 Maturity Price : 23.34 Evaluated at bid price : 25.23 Bid-YTW : 3.59 % |
| BAM.PR.B | Floater | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-05 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 3.06 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CU.PR.D | Perpetual-Discount | 243,658 | Desjardins crossed 237,200 at 24.63. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-05 Maturity Price : 24.21 Evaluated at bid price : 24.63 Bid-YTW : 4.96 % |
| NA.PR.W | FixedReset | 79,770 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-05 Maturity Price : 23.16 Evaluated at bid price : 25.06 Bid-YTW : 3.70 % |
| CM.PR.O | FixedReset | 54,250 | TD crossed 50,000 at 25.45. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.43 Bid-YTW : 3.54 % |
| HSE.PR.A | FixedReset | 51,511 | Desjardins crossed 44,600 at 22.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-05 Maturity Price : 22.32 Evaluated at bid price : 22.72 Bid-YTW : 3.71 % |
| CU.PR.E | Perpetual-Discount | 44,028 | Nesbitt crossed 40,000 at 24.63. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-05 Maturity Price : 24.17 Evaluated at bid price : 24.59 Bid-YTW : 4.97 % |
| TRP.PR.B | FixedReset | 33,269 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-05 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 3.81 % |
| There were 19 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| FTS.PR.K | FixedReset | Quote: 25.01 – 25.35 Spot Rate : 0.3400 Average : 0.1984 YTW SCENARIO |
| GWO.PR.H | Deemed-Retractible | Quote: 24.31 – 24.70 Spot Rate : 0.3900 Average : 0.2695 YTW SCENARIO |
| MFC.PR.B | Deemed-Retractible | Quote: 23.60 – 23.96 Spot Rate : 0.3600 Average : 0.2417 YTW SCENARIO |
| BAM.PR.R | FixedReset | Quote: 25.80 – 26.10 Spot Rate : 0.3000 Average : 0.1837 YTW SCENARIO |
| PVS.PR.C | SplitShare | Quote: 25.91 – 26.80 Spot Rate : 0.8900 Average : 0.7809 YTW SCENARIO |
| TRP.PR.C | FixedReset | Quote: 21.84 – 22.13 Spot Rate : 0.2900 Average : 0.1842 YTW SCENARIO |