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 |
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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 | 0.1601 % | 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 |
| ELF.PR.H | Perpetual-Premium | Quote: 25.54 – 26.00 Spot Rate : 0.4600 Average : 0.3108 YTW SCENARIO |
| PWF.PR.F | Perpetual-Premium | Quote: 25.23 – 25.60 Spot Rate : 0.3700 Average : 0.2675 YTW SCENARIO |
| RY.PR.N | FixedReset | Quote: 26.22 – 26.53 Spot Rate : 0.3100 Average : 0.2137 YTW SCENARIO |
| IGM.PR.B | Perpetual-Premium | Quote: 26.50 – 26.80 Spot Rate : 0.3000 Average : 0.2190 YTW SCENARIO |
| BAM.PR.O | OpRet | Quote: 25.73 – 26.09 Spot Rate : 0.3600 Average : 0.2904 YTW SCENARIO |
[…] 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. […]