DBRS confirmed Transcontinental at Pfd-3(high); the ticker is TCL.PR.D.
The Canadian preferred share market had mixed returns today as, in a reversal of recent form, PerpetualDiscounts lost 7bp, FixedResets were essentially flat and DeemedRetractibles gained 13bp. Volatility remained subdued. Volume was high.
PerpetualDiscounts now yield 5.58%, equivalent to 7.25% interest at the standard equivalency factor of 1.3x. Long Corporates now yield about 5.5%, so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 175bp, a slight (and perhaps spurious) increase from the 170bp reported April 13.
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 | 0.0833 % | 2,414.1 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0833 % | 3,630.8 |
Floater | 2.50 % | 2.26 % | 36,155 | 21.64 | 4 | 0.0833 % | 2,606.6 |
OpRet | 4.92 % | 3.49 % | 59,371 | 2.07 | 8 | -0.1636 % | 2,411.7 |
SplitShare | 5.19 % | -1.55 % | 89,901 | 0.65 | 6 | 0.3035 % | 2,500.8 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1636 % | 2,205.3 |
Perpetual-Premium | 5.80 % | 5.72 % | 118,141 | 6.13 | 8 | -0.0249 % | 2,047.0 |
Perpetual-Discount | 5.58 % | 5.58 % | 128,367 | 14.40 | 16 | -0.0678 % | 2,121.6 |
FixedReset | 5.16 % | 3.46 % | 205,036 | 2.92 | 57 | -0.0027 % | 2,292.3 |
Deemed-Retractible | 5.28 % | 5.29 % | 303,850 | 8.13 | 53 | 0.1294 % | 2,073.6 |
Performance Highlights | |||
Issue | Index | Change | Notes |
IAG.PR.C | FixedReset | 1.19 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 27.17 Bid-YTW : 3.03 % |
IAG.PR.F | Deemed-Retractible | 1.59 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.52 Bid-YTW : 5.66 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
CIU.PR.B | FixedReset | 204,442 | Nesbitt crossed 200,000 at 27.65. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-01 Maturity Price : 25.00 Evaluated at bid price : 27.61 Bid-YTW : 3.59 % |
BMO.PR.O | FixedReset | 76,782 | TD crossed blocks of 20,000 shares, 25,000 and 10,000, all at 27.66. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-24 Maturity Price : 25.00 Evaluated at bid price : 27.69 Bid-YTW : 3.31 % |
RY.PR.A | Deemed-Retractible | 54,670 | Desjardins crossed 25,600 at 23.70. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 5.17 % |
BNS.PR.Z | FixedReset | 52,031 | Desjardins crossed 30,000 at 24.47, then bought 12,000 from Nesbit at 24.45. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.39 Bid-YTW : 4.08 % |
TD.PR.Q | Deemed-Retractible | 40,122 | TD bought 14,500 from RBC at 25.60, then crossed 15,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-02 Maturity Price : 25.00 Evaluated at bid price : 25.56 Bid-YTW : 5.15 % |
RY.PR.Y | FixedReset | 34,275 | RBC crossed 15,000 at 27.44. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-24 Maturity Price : 25.00 Evaluated at bid price : 27.44 Bid-YTW : 3.58 % |
There were 45 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
FTS.PR.G | FixedReset | Quote: 26.21 – 26.71 Spot Rate : 0.5000 Average : 0.3734 YTW SCENARIO |
ELF.PR.F | Deemed-Retractible | Quote: 22.55 – 22.94 Spot Rate : 0.3900 Average : 0.2853 YTW SCENARIO |
GWO.PR.H | Deemed-Retractible | Quote: 22.23 – 22.60 Spot Rate : 0.3700 Average : 0.2662 YTW SCENARIO |
TD.PR.C | FixedReset | Quote: 26.44 – 26.76 Spot Rate : 0.3200 Average : 0.2256 YTW SCENARIO |
PWF.PR.E | Perpetual-Discount | Quote: 24.30 – 24.69 Spot Rate : 0.3900 Average : 0.3078 YTW SCENARIO |
CIU.PR.A | Perpetual-Discount | Quote: 22.50 – 22.85 Spot Rate : 0.3500 Average : 0.2729 YTW SCENARIO |
[…] spread (also called the Seniority Spread) is now about 175bp, with all numbers unchanged from the April 20 […]