Nothing happened today.
It was a mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 3bp, FixedResets up 6bp and DeemedRetractibles off 1bp. Volatility was minimal. Volume was lousy, albeit with one very bright spot.
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.
| 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 | 0.0992 % | 2,330.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0992 % | 3,486.0 |
| Floater | 3.12 % | 3.17 % | 64,469 | 19.26 | 3 | 0.0992 % | 2,516.1 |
| OpRet | 4.77 % | 2.50 % | 34,292 | 0.85 | 5 | 0.1430 % | 2,542.1 |
| SplitShare | 5.45 % | 5.08 % | 67,322 | 4.62 | 3 | 0.2256 % | 2,778.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1430 % | 2,324.5 |
| Perpetual-Premium | 5.30 % | 3.86 % | 101,213 | 1.12 | 28 | 0.0314 % | 2,276.3 |
| Perpetual-Discount | 4.96 % | 4.97 % | 94,824 | 15.48 | 3 | 0.2650 % | 2,523.7 |
| FixedReset | 4.99 % | 3.03 % | 171,424 | 3.96 | 71 | 0.0556 % | 2,425.0 |
| Deemed-Retractible | 4.95 % | 3.37 % | 128,179 | 0.76 | 46 | -0.0068 % | 2,356.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.G | FixedReset | 1.06 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 3.79 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.L | Deemed-Retractible | 852,055 | Nesbitt crossed blocks of 800,000 and 50,000, both at 25.95. Nice ticket! YTW SCENARIO Maturity Type : Call Maturity Date : 2016-04-27 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 3.52 % |
| BMO.PR.M | FixedReset | 113,293 | Desjardins crossed 70,000 at 25.45; TD crossed 38,100 at 25.32. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 3.04 % |
| HSB.PR.D | Deemed-Retractible | 104,500 | National Bank crossed blocks of 73,900 and 27,000, both at 25.90. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-12-31 Maturity Price : 25.50 Evaluated at bid price : 25.87 Bid-YTW : 2.67 % |
| PWF.PR.L | Perpetual-Premium | 61,559 | TD crossed 25,000 at 25.65; National crossed 28,700 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-31 Maturity Price : 25.25 Evaluated at bid price : 25.50 Bid-YTW : 4.70 % |
| BMO.PR.L | Deemed-Retractible | 50,897 | National crossed 48,100 at 27.05. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-25 Maturity Price : 26.00 Evaluated at bid price : 27.00 Bid-YTW : 0.38 % |
| BMO.PR.K | Deemed-Retractible | 28,672 | TD crossed 25,000 at 26.30. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-11-25 Maturity Price : 26.00 Evaluated at bid price : 26.30 Bid-YTW : 0.42 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TCA.PR.Y | Perpetual-Premium | Quote: 51.20 – 51.60 Spot Rate : 0.4000 Average : 0.2347 YTW SCENARIO |
| CU.PR.C | FixedReset | Quote: 26.46 – 26.85 Spot Rate : 0.3900 Average : 0.2682 YTW SCENARIO |
| TCA.PR.X | Perpetual-Premium | Quote: 50.85 – 51.18 Spot Rate : 0.3300 Average : 0.2239 YTW SCENARIO |
| IAG.PR.G | FixedReset | Quote: 25.65 – 25.95 Spot Rate : 0.3000 Average : 0.2135 YTW SCENARIO |
| BAM.PR.Z | FixedReset | Quote: 25.92 – 26.20 Spot Rate : 0.2800 Average : 0.2062 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 24.02 – 24.24 Spot Rate : 0.2200 Average : 0.1504 YTW SCENARIO |
[…] PerpetualDiscounts (that wonderful three-constituent index) now yield 4.97%, equivalent to 6.46% interest 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 – everything unchanged since August 15! […]