It was a very uneventful day for the Canadian preferred share markets, with PerpetualPremiums gaining 1bp, FixedResets flat and DeemedRetractibles off 1bp. Volatility was almost non-existant. Volume was average.
PerpetualDiscounts now yield 4.93%, equivalent to 6.41% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.2% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now 220bp, continued very slow widening from the 215bp reported July 18.
| 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 | -0.1414 % | 2,283.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1414 % | 3,416.2 |
| Floater | 3.19 % | 3.21 % | 70,554 | 19.20 | 3 | -0.1414 % | 2,465.8 |
| OpRet | 4.77 % | 2.78 % | 38,498 | 0.91 | 5 | 0.0461 % | 2,527.6 |
| SplitShare | 5.49 % | 4.91 % | 67,576 | 4.68 | 3 | 0.0400 % | 2,758.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0461 % | 2,311.2 |
| Perpetual-Premium | 5.34 % | 2.21 % | 98,091 | 0.47 | 27 | -0.0094 % | 2,263.0 |
| Perpetual-Discount | 4.98 % | 4.93 % | 98,153 | 15.59 | 6 | -0.1843 % | 2,502.7 |
| FixedReset | 4.99 % | 2.96 % | 187,669 | 4.38 | 71 | 0.0043 % | 2,417.9 |
| Deemed-Retractible | 4.97 % | 3.60 % | 140,747 | 1.37 | 46 | 0.0111 % | 2,343.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IAG.PR.E | Deemed-Retractible | 1.30 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-31 Maturity Price : 26.00 Evaluated at bid price : 26.44 Bid-YTW : 5.23 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.N | FixedReset | 311,058 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-25 Maturity Price : 23.12 Evaluated at bid price : 25.08 Bid-YTW : 3.70 % |
| ENB.PR.F | FixedReset | 108,753 | RBC crossed 57,000 at 25.72. TD crossed blocks of 20,000 and 15,000, both at 25.71. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-25 Maturity Price : 23.30 Evaluated at bid price : 25.60 Bid-YTW : 3.51 % |
| BNS.PR.N | Deemed-Retractible | 104,006 | RBC crossed 103,900 at 26.30. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-29 Maturity Price : 26.00 Evaluated at bid price : 26.33 Bid-YTW : 2.39 % |
| BNS.PR.M | Deemed-Retractible | 90,797 | Nesbitt crossed 68,600 at 25.85. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-07-27 Maturity Price : 25.00 Evaluated at bid price : 25.77 Bid-YTW : 3.68 % |
| MFC.PR.H | FixedReset | 80,575 | RBC crossed blocks of 54,800 and 20,000, both at 25.76. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.71 Bid-YTW : 4.05 % |
| NA.PR.L | Deemed-Retractible | 75,922 | RBC crossed 73,000 at 25.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-08-24 Maturity Price : 25.50 Evaluated at bid price : 25.60 Bid-YTW : -3.31 % |
| There were 31 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| W.PR.H | Perpetual-Premium | Quote: 25.52 – 26.25 Spot Rate : 0.7300 Average : 0.5553 YTW SCENARIO |
| IAG.PR.F | Deemed-Retractible | Quote: 26.20 – 26.60 Spot Rate : 0.4000 Average : 0.2710 YTW SCENARIO |
| GWO.PR.M | Deemed-Retractible | Quote: 26.69 – 26.98 Spot Rate : 0.2900 Average : 0.1831 YTW SCENARIO |
| PWF.PR.O | Perpetual-Premium | Quote: 26.26 – 26.60 Spot Rate : 0.3400 Average : 0.2496 YTW SCENARIO |
| ELF.PR.H | Perpetual-Premium | Quote: 25.65 – 25.88 Spot Rate : 0.2300 Average : 0.1453 YTW SCENARIO |
| NA.PR.P | FixedReset | Quote: 26.65 – 26.94 Spot Rate : 0.2900 Average : 0.2185 YTW SCENARIO |
[…] PerpetualDiscounts, all three of them, now yield 4.96%, equivalent to 6.45% interest at the standard equivalency factor of 1.3x. Long Corporates now yield about 4.25% (maybe a little more) so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 220bp, unchanged from July 25. […]