That’s a wrap!
The Canadian preferred share market closed the month on a sour note, with PerpetualDiscounts down 13bp and FixedResets losing 6bp on a well-behaved day with only one entry in the performance highlights – POW.PR.B, oddly enough, which I have used as a gauge of the market impact of the stupid trading in POW.PR.C. Volume was subdued and dominated by FixedResets.
PerpetualDiscounts closed the month yielding 5.81%, equivalent to 8.13% interest at the standard equivalency factor of 1.4x. Long Corporates returned 4.02% on the month to close with a yield of about 5.8%, so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 235bp, a little wider than the 230bp reported on January 27.
| 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 | 0.6556 % | 1,733.6 |
| FixedFloater | 5.63 % | 3.72 % | 36,675 | 19.36 | 1 | -0.9231 % | 2,808.8 |
| Floater | 2.26 % | 2.60 % | 113,138 | 20.75 | 3 | 0.6556 % | 2,165.8 |
| OpRet | 4.84 % | -3.92 % | 110,558 | 0.09 | 13 | -0.0118 % | 2,319.1 |
| SplitShare | 6.34 % | 0.08 % | 148,734 | 0.08 | 2 | 0.3069 % | 2,119.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0118 % | 2,120.6 |
| Perpetual-Premium | 5.82 % | 5.67 % | 151,594 | 13.74 | 12 | -0.0498 % | 1,887.9 |
| Perpetual-Discount | 5.76 % | 5.81 % | 172,362 | 14.17 | 63 | -0.1285 % | 1,826.6 |
| FixedReset | 5.43 % | 3.61 % | 321,361 | 3.81 | 42 | -0.0568 % | 2,177.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| POW.PR.B | Perpetual-Discount | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-29 Maturity Price : 21.93 Evaluated at bid price : 22.26 Bid-YTW : 6.05 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PR.B | Floater | 70,951 | Nesbitt crossed 50,000 at 15.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-29 Maturity Price : 15.20 Evaluated at bid price : 15.20 Bid-YTW : 2.60 % |
| TD.PR.K | FixedReset | 69,750 | RBC crossed 12,000 at 27.80, then three blocks at 27.82: two of 10,000 and one of 30,000 shares. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 27.81 Bid-YTW : 3.61 % |
| RY.PR.T | FixedReset | 49,658 | Desjardins crosse 15,000 at 27.70, then Nesbitt crossed 25,000 at 27.65. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 27.64 Bid-YTW : 3.70 % |
| TD.PR.G | FixedReset | 48,220 | RBC crossed blocks of 10,000 and 30,000 shares, both at 27.85. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.83 Bid-YTW : 3.46 % |
| BNS.PR.T | FixedReset | 37,725 | Nesbitt crossed 20,000 at 27.89. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 27.79 Bid-YTW : 3.49 % |
| RY.PR.X | FixedReset | 37,474 | RBC bought 11,900 from anonymous at 27.80. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 27.75 Bid-YTW : 3.61 % |
| There were 26 other index-included issues trading in excess of 10,000 shares. | |||