August 9, 2012

Nothing happened today.

It was a positive day for the Canadian preferred share market, with PerpetualPremiums up 2bp, FixedResets gaining 7bp and DeemedRetractibles winning 11bp. Volatility was almost non-existant. Volume was very low.

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 4.35%, so the pre-tax interest equivalent spread (in this context, the “Seniority Spread”) is now about 210bp, a decent-enough narrowing from the 220bp reported August 1.

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 0.1601 % 2,312.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1601 % 3,459.0
Floater 3.15 % 3.19 % 67,437 19.24 3 0.1601 % 2,496.7
OpRet 4.76 % 2.32 % 32,094 0.87 5 -0.0459 % 2,537.7
SplitShare 5.47 % 5.04 % 67,014 4.63 3 0.1731 % 2,767.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0459 % 2,320.5
Perpetual-Premium 5.30 % 3.99 % 104,880 1.14 28 0.0230 % 2,272.5
Perpetual-Discount 4.97 % 4.96 % 97,949 15.50 3 0.2518 % 2,515.6
FixedReset 4.99 % 3.09 % 177,576 3.78 71 0.0734 % 2,422.4
Deemed-Retractible 4.95 % 3.18 % 136,455 0.78 46 0.1124 % 2,354.8
Performance Highlights
Issue Index Change Notes
ELF.PR.H Perpetual-Premium -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.54
Bid-YTW : 5.27 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.G FixedReset 82,125 Nesbitt crossed 75,000 at 26.62.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.56
Bid-YTW : 2.61 %
TRP.PR.C FixedReset 73,035 Scotia bought 25,000 from CIBC at 25.80; Desjardins bought 18,500 from Nesbitt at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-08-09
Maturity Price : 23.55
Evaluated at bid price : 25.76
Bid-YTW : 2.91 %
BMO.PR.Q FixedReset 69,101 RBC crossed 49,900 at 25.57.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 2.94 %
BMO.PR.P FixedReset 52,210 RBC crossed 48,500 at 26.75.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.76
Bid-YTW : 2.45 %
BNS.PR.P FixedReset 31,417 Nesbitt crossed 30,000 at 25.31.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.43 %
MFC.PR.D FixedReset 23,041 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 3.79 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSB.PR.C Deemed-Retractible Quote: 25.75 – 26.49
Spot Rate : 0.7400
Average : 0.5071

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-09-08
Maturity Price : 25.50
Evaluated at bid price : 25.75
Bid-YTW : -0.27 %

ELF.PR.H Perpetual-Premium Quote: 25.54 – 26.00
Spot Rate : 0.4600
Average : 0.3108

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.54
Bid-YTW : 5.27 %

PWF.PR.F Perpetual-Premium Quote: 25.23 – 25.60
Spot Rate : 0.3700
Average : 0.2675

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-09-08
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : -4.30 %

RY.PR.N FixedReset Quote: 26.22 – 26.53
Spot Rate : 0.3100
Average : 0.2137

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.22
Bid-YTW : 2.84 %

IGM.PR.B Perpetual-Premium Quote: 26.50 – 26.80
Spot Rate : 0.3000
Average : 0.2190

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-31
Maturity Price : 25.50
Evaluated at bid price : 26.50
Bid-YTW : 4.85 %

BAM.PR.O OpRet Quote: 25.73 – 26.09
Spot Rate : 0.3600
Average : 0.2904

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 2.32 %

One Response to “August 9, 2012”

  1. […] PerpetualDiscounts (all three of them!) now yield 4.97%, equivalent to 6.46% at the standard equivalency factor of 1.3x. Long corporates now yield about 4.4%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 205bp, a slight (and quite possibly spurious) narrowing from the the 210bp reported August 9. […]

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