Nothing happened today.
PerpetualDiscounts now yield 4.94%, equivalent to 6.42% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.16% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 225bp, a slight increase from the 220bp reported May 15.
A more severe drop for the Canadian preferred share market today, with PerpetualPremiums down 10bp, FixedResets off 6bp and DeemedRetractibles losing 22bp. Volatility was good, skewed to the downside. Volume was very high.
| 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 | -0.4560 % | 2,531.8 |
| FixedFloater | 3.93 % | 3.16 % | 37,953 | 18.74 | 1 | -0.2473 % | 4,185.3 |
| Floater | 2.75 % | 2.99 % | 75,607 | 19.69 | 4 | -0.4560 % | 2,733.6 |
| OpRet | 4.83 % | 0.97 % | 69,360 | 0.09 | 5 | -0.0776 % | 2,614.3 |
| SplitShare | 4.81 % | 4.16 % | 100,910 | 4.07 | 5 | -0.1728 % | 2,984.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0776 % | 2,390.6 |
| Perpetual-Premium | 5.20 % | 4.05 % | 98,696 | 0.74 | 32 | -0.0971 % | 2,378.3 |
| Perpetual-Discount | 4.88 % | 4.94 % | 197,272 | 15.52 | 4 | -0.4475 % | 2,667.4 |
| FixedReset | 4.89 % | 2.66 % | 246,907 | 3.14 | 81 | -0.0580 % | 2,518.1 |
| Deemed-Retractible | 4.90 % | 3.57 % | 139,179 | 1.51 | 44 | -0.2175 % | 2,458.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IAG.PR.A | Deemed-Retractible | -1.37 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.32 Bid-YTW : 4.89 % |
| BAM.PR.T | FixedReset | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-05-29 Maturity Price : 23.52 Evaluated at bid price : 25.83 Bid-YTW : 3.55 % |
| BAM.PF.C | Perpetual-Discount | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-05-29 Maturity Price : 24.22 Evaluated at bid price : 24.60 Bid-YTW : 4.99 % |
| BAM.PF.A | FixedReset | -1.10 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-09-30 Maturity Price : 25.00 Evaluated at bid price : 26.16 Bid-YTW : 3.70 % |
| GWO.PR.N | FixedReset | 1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.79 Bid-YTW : 2.94 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| SLF.PR.F | FixedReset | 257,480 | RBC crossed three blocks: 50,400 shares, 99,400 and 75,000, all at 25.89. TD sold 11,000 to anonymous at 25.88. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 2.35 % |
| BNS.PR.T | FixedReset | 189,900 | Nesbitt crossed blocks of 80,500 and 100,000 at 26.05. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-25 Maturity Price : 25.00 Evaluated at bid price : 26.03 Bid-YTW : 2.19 % |
| GWO.PR.N | FixedReset | 68,240 | National crossed 47,000 at 24.82. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.79 Bid-YTW : 2.94 % |
| ENB.PR.H | FixedReset | 61,021 | Scotia bought 20,000 from National at 25.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-05-29 Maturity Price : 23.25 Evaluated at bid price : 25.32 Bid-YTW : 3.38 % |
| RY.PR.X | FixedReset | 58,950 | TD crossed 50,000 at 26.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.23 Bid-YTW : 2.29 % |
| MFC.PR.D | FixedReset | 46,857 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.98 Bid-YTW : 2.49 % |
| There were 54 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| ENB.PR.D | FixedReset | Quote: 25.46 – 25.90 Spot Rate : 0.4400 Average : 0.2621 YTW SCENARIO |
| PWF.PR.R | Perpetual-Premium | Quote: 26.64 – 27.00 Spot Rate : 0.3600 Average : 0.2381 YTW SCENARIO |
| BAM.PF.C | Perpetual-Discount | Quote: 24.60 – 24.87 Spot Rate : 0.2700 Average : 0.1559 YTW SCENARIO |
| TRP.PR.B | FixedReset | Quote: 24.50 – 24.78 Spot Rate : 0.2800 Average : 0.1664 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 24.32 – 24.74 Spot Rate : 0.4200 Average : 0.3205 YTW SCENARIO |
| CU.PR.E | Perpetual-Premium | Quote: 26.09 – 26.45 Spot Rate : 0.3600 Average : 0.2733 YTW SCENARIO |