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 |
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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 | 0.2701 % | 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 |
| BAM.PR.R | FixedReset | Quote: 26.95 – 27.95 Spot Rate : 1.0000 Average : 0.5762 YTW SCENARIO |
| IAG.PR.F | Deemed-Retractible | Quote: 26.90 – 27.47 Spot Rate : 0.5700 Average : 0.3480 YTW SCENARIO |
| BNS.PR.Y | FixedReset | Quote: 25.35 – 25.79 Spot Rate : 0.4400 Average : 0.2621 YTW SCENARIO |
| TD.PR.Y | FixedReset | Quote: 25.47 – 25.76 Spot Rate : 0.2900 Average : 0.1750 YTW SCENARIO |
| GWO.PR.M | Deemed-Retractible | Quote: 26.56 – 26.80 Spot Rate : 0.2400 Average : 0.1550 YTW SCENARIO |
[…] 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. […]