A good day for the Canadian preferred share market, with PerpetualPremiums up 10bp, FixedResets winning 22bp and DeemedRetractibles gaining 16bp. PerpetualDiscounts rocketted up 94bp! Good volatility, highly skewed to the upside. Volume was well above average.
PerpetualDiscounts now yield 5.02%, equivalent to 6.53% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.6% (maybe just a hair lower) so the pre-tax interest-equivalent spread (which is in this context the Seniority Spread) is now about 195bp, unchanged from the figure reported February 15.
| 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 | 0.1598 % | 2,391.1 |
| FixedFloater | 4.60 % | 3.98 % | 38,310 | 17.36 | 1 | 0.4866 % | 3,389.5 |
| Floater | 2.79 % | 3.05 % | 59,151 | 19.55 | 3 | 0.1598 % | 2,581.8 |
| OpRet | 4.89 % | -0.69 % | 59,191 | 1.25 | 6 | 0.2305 % | 2,505.1 |
| SplitShare | 5.28 % | -0.90 % | 83,094 | 0.80 | 4 | 0.3603 % | 2,674.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2305 % | 2,290.7 |
| Perpetual-Premium | 5.39 % | 3.32 % | 113,755 | 0.87 | 26 | 0.0991 % | 2,197.7 |
| Perpetual-Discount | 5.13 % | 5.02 % | 200,048 | 15.38 | 4 | 0.9423 % | 2,411.6 |
| FixedReset | 5.05 % | 2.84 % | 212,937 | 2.33 | 66 | 0.2204 % | 2,379.8 |
| Deemed-Retractible | 4.96 % | 3.93 % | 241,871 | 2.96 | 46 | 0.1557 % | 2,289.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| FTS.PR.G | FixedReset | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-02-22 Maturity Price : 23.87 Evaluated at bid price : 25.42 Bid-YTW : 3.52 % |
| SLF.PR.I | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.96 Bid-YTW : 4.39 % |
| GWO.PR.G | Deemed-Retractible | 1.03 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 4.49 % |
| MFC.PR.F | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.11 Bid-YTW : 3.89 % |
| BAM.PR.K | Floater | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-02-22 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 3.07 % |
| PWF.PR.P | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-02-22 Maturity Price : 23.46 Evaluated at bid price : 25.65 Bid-YTW : 3.05 % |
| BNA.PR.D | SplitShare | 1.18 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-03-23 Maturity Price : 26.00 Evaluated at bid price : 26.56 Bid-YTW : -21.04 % |
| BAM.PR.T | FixedReset | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-02-22 Maturity Price : 23.29 Evaluated at bid price : 25.42 Bid-YTW : 3.77 % |
| MFC.PR.C | Deemed-Retractible | 1.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.11 Bid-YTW : 5.48 % |
| BAM.PR.M | Perpetual-Discount | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-02-22 Maturity Price : 23.65 Evaluated at bid price : 23.93 Bid-YTW : 5.02 % |
| IGM.PR.B | Perpetual-Premium | 1.63 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-31 Maturity Price : 26.00 Evaluated at bid price : 26.80 Bid-YTW : 4.67 % |
| BAM.PR.N | Perpetual-Discount | 2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-02-22 Maturity Price : 23.59 Evaluated at bid price : 24.07 Bid-YTW : 4.98 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.H | FixedReset | 649,139 | New issue settled today. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 4.61 % |
| GWO.PR.P | Deemed-Retractible | 648,620 | New issue settled today. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 5.43 % |
| MFC.PR.D | FixedReset | 263,195 | Nesbitt crossed blocks of 148,500 and 100,000, both at 26.69. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.70 Bid-YTW : 3.35 % |
| RY.PR.E | Deemed-Retractible | 78,998 | Desjardins crossed 35,000 at 25.55. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.52 Bid-YTW : 3.95 % |
| ENB.PR.F | FixedReset | 67,121 | Desjardins crossed 45,000 at 25.38. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-02-22 Maturity Price : 23.22 Evaluated at bid price : 25.39 Bid-YTW : 3.79 % |
| RY.PR.F | Deemed-Retractible | 57,687 | Desjardins crossed 20,000 at 25.55. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 3.95 % |
| There were 39 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BMO.PR.H | Deemed-Retractible | Quote: 26.06 – 26.22 Spot Rate : 0.1600 Average : 0.0918 YTW SCENARIO |
| BAM.PR.Z | FixedReset | Quote: 25.62 – 25.90 Spot Rate : 0.2800 Average : 0.2189 YTW SCENARIO |
| BAM.PR.O | OpRet | Quote: 25.81 – 26.19 Spot Rate : 0.3800 Average : 0.3218 YTW SCENARIO |
| MFC.PR.A | OpRet | Quote: 25.35 – 25.59 Spot Rate : 0.2400 Average : 0.1866 YTW SCENARIO |
| TCA.PR.X | Perpetual-Premium | Quote: 52.00 – 52.29 Spot Rate : 0.2900 Average : 0.2451 YTW SCENARIO |
| NA.PR.O | FixedReset | Quote: 27.35 – 27.57 Spot Rate : 0.2200 Average : 0.1780 YTW SCENARIO |
[…] PerpetualDiscounts (all seven of them!) now yield 5.08%, equivalent to 6.60% interest at the standard 1.3x equivalency factor. Long corporates now yield a little under 4.5% (!) so the pre-tax interest-equivalent spread (which, in this context, is the Seniority Spread) is now about 210bp, a meaningful widening from the 195bp reported on February 22. […]