March 27, 2013

Nothing happened today.

It was another positive day for the Canadian preferred share market, with PerpetualPremiums gaining 3bp, FixedResets roaring ahead by 17bp and DeemedRetractibles up 4bp. Volatility was average, but comprised entirely of FixeReset winners. Volume was well above average.

PerpetualDiscounts now yield 4.82%, equivalent to 6.27% interest at the standard conversion factor of 1.3x. Long Corporates now yield about 4.2%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 205bp, unchanged from the figure reported March 20.

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 0.2701 % 2,645.0
FixedFloater 4.12 % 3.47 % 28,964 18.32 1 -0.6466 % 3,946.0
Floater 2.53 % 2.82 % 81,385 20.18 5 0.2701 % 2,855.9
OpRet 4.81 % 1.80 % 57,983 0.23 5 -0.1007 % 2,602.2
SplitShare 4.27 % 3.98 % 613,342 4.18 4 0.4046 % 2,947.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1007 % 2,379.4
Perpetual-Premium 5.21 % -3.10 % 92,638 0.10 31 0.0321 % 2,370.7
Perpetual-Discount 4.75 % 4.82 % 163,708 15.76 5 0.1023 % 2,677.7
FixedReset 4.88 % 2.53 % 288,169 2.66 80 0.1669 % 2,522.2
Deemed-Retractible 4.85 % 2.50 % 126,076 0.33 44 0.0422 % 2,455.5
Performance Highlights
Issue Index Change Notes
BNS.PR.Z FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.64
Bid-YTW : 2.72 %
BAM.PR.X FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-03-27
Maturity Price : 23.61
Evaluated at bid price : 26.36
Bid-YTW : 2.95 %
IFC.PR.C FixedReset 1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-30
Maturity Price : 25.00
Evaluated at bid price : 26.64
Bid-YTW : 2.24 %
IFC.PR.A FixedReset 1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.54
Bid-YTW : 2.81 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.F Perpetual-Discount 157,198 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-03-27
Maturity Price : 24.69
Evaluated at bid price : 25.09
Bid-YTW : 4.49 %
ENB.PR.P FixedReset 147,765 Nesbitt crossed 40,000 at 25.80. Scotia crossed blocks of 46,500 and 50,000, both at 25.77.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 3.42 %
TRP.PR.D FixedReset 90,570 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.99
Bid-YTW : 3.34 %
FTS.PR.J Perpetual-Premium 79,360 RBC crossed 74,600 at 25.90.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.97
Bid-YTW : 4.28 %
RY.PR.N FixedReset 44,646 TD crossed 40,000 at 26.16.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.12
Bid-YTW : 1.90 %
TD.PR.A FixedReset 43,950 TD crossed 40,000 at 25.75.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 1.85 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.J OpRet Quote: 26.86 – 27.86
Spot Rate : 1.0000
Average : 0.5721

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-31
Maturity Price : 26.00
Evaluated at bid price : 26.86
Bid-YTW : 1.80 %

BAM.PR.R FixedReset Quote: 26.95 – 27.95
Spot Rate : 1.0000
Average : 0.5762

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-06-30
Maturity Price : 25.00
Evaluated at bid price : 26.95
Bid-YTW : 2.87 %

IAG.PR.F Deemed-Retractible Quote: 26.90 – 27.47
Spot Rate : 0.5700
Average : 0.3480

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-03-31
Maturity Price : 26.00
Evaluated at bid price : 26.90
Bid-YTW : 3.85 %

BNS.PR.Y FixedReset Quote: 25.35 – 25.79
Spot Rate : 0.4400
Average : 0.2621

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 2.50 %

TD.PR.Y FixedReset Quote: 25.47 – 25.76
Spot Rate : 0.2900
Average : 0.1750

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : 2.93 %

GWO.PR.M Deemed-Retractible Quote: 26.56 – 26.80
Spot Rate : 0.2400
Average : 0.1550

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-03-31
Maturity Price : 26.00
Evaluated at bid price : 26.56
Bid-YTW : 4.43 %

One Response to “March 27, 2013”

  1. […] PerpetualDiscounts now yield 4.86%, equivalent to 6.32% interest at the standard equivalency factor of 1.3x. Long Corporates now yield a bit below 4.2%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 210bp, a slight (and perhaps spurious) increase from the 205bp reported March 27. […]

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