October 31, 2013

Nothing happened today.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 37bp, FixedResets gaining 11bp and DeemedRetractibles off 3bp. The Performance Highlights table is notable on the downside for domination by BAM Floating Rate issues, while the upside has a surprisingly large population of FixedResets. Volume was high.

PerpetualDiscounts now yield 5.49%, equivalent to 7.14% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.7%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 245bp, unchanged from October 23.

And that’s it for another month!

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 -0.9452 % 2,459.3
FixedFloater 4.19 % 3.47 % 28,099 18.46 1 2.0702 % 4,007.2
Floater 2.75 % 3.03 % 63,356 19.65 5 -0.9452 % 2,655.4
OpRet 4.62 % 3.16 % 68,248 0.57 3 0.0900 % 2,640.2
SplitShare 4.75 % 4.90 % 63,647 3.68 6 0.1314 % 2,956.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0900 % 2,414.2
Perpetual-Premium 5.78 % 0.13 % 105,812 0.08 7 0.1586 % 2,299.4
Perpetual-Discount 5.49 % 5.49 % 186,112 14.46 30 0.3678 % 2,375.3
FixedReset 5.01 % 3.65 % 227,423 3.37 82 0.1110 % 2,454.8
Deemed-Retractible 5.08 % 4.15 % 195,475 1.51 43 -0.0330 % 2,413.8
FloatingReset 0.00 % 0.00 % 0 0.00 5 0.1110 % 2,454.8
Performance Highlights
Issue Index Change Notes
MFC.PR.B Deemed-Retractible -2.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.71
Bid-YTW : 6.41 %
BAM.PR.C Floater -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.04 %
BAM.PR.K Floater -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 3.05 %
BAM.PR.B Floater -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 3.03 %
BAM.PR.R FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 23.46
Evaluated at bid price : 25.07
Bid-YTW : 4.13 %
TRP.PR.A FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 23.63
Evaluated at bid price : 24.11
Bid-YTW : 3.84 %
PWF.PR.S Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 22.60
Evaluated at bid price : 22.96
Bid-YTW : 5.24 %
GWO.PR.H Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.27
Bid-YTW : 5.78 %
PWF.PR.F Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 23.70
Evaluated at bid price : 23.97
Bid-YTW : 5.50 %
VNR.PR.A FixedReset 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.98 %
POW.PR.D Perpetual-Discount 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 22.87
Evaluated at bid price : 23.16
Bid-YTW : 5.43 %
CIU.PR.C FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 3.91 %
BAM.PR.X FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 21.96
Evaluated at bid price : 22.36
Bid-YTW : 4.18 %
ENB.PR.D FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 22.89
Evaluated at bid price : 24.14
Bid-YTW : 4.19 %
FTS.PR.H FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 3.72 %
ENB.PR.Y FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 22.45
Evaluated at bid price : 23.40
Bid-YTW : 4.35 %
FTS.PR.J Perpetual-Discount 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 22.75
Evaluated at bid price : 23.15
Bid-YTW : 5.19 %
ENB.PR.H FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 22.46
Evaluated at bid price : 23.32
Bid-YTW : 4.16 %
BAM.PR.G FixedFloater 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 22.89
Evaluated at bid price : 22.68
Bid-YTW : 3.47 %
POW.PR.B Perpetual-Discount 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.61 %
PWF.PR.K Perpetual-Discount 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 23.04
Evaluated at bid price : 23.33
Bid-YTW : 5.32 %
TD.PR.Y FixedReset Not Calc! YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.86
Bid-YTW : 3.60 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.A Deemed-Retractible 99,266 RBC crossed 80,200 at 22.75.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.71
Bid-YTW : 5.96 %
SLF.PR.E Deemed-Retractible 97,747 RBC crossed 82,000 at 22.36.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.13
Bid-YTW : 6.00 %
CU.PR.G Perpetual-Discount 53,571 RBC crossed 24,900 at 21.39.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.38 %
GWO.PR.H Deemed-Retractible 49,176 TD crossed 30,000 at 23.38.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.27
Bid-YTW : 5.78 %
CU.PR.F Perpetual-Discount 34,460 RBC crossed 25,000 at 21.39.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.38 %
BAM.PR.M Perpetual-Discount 31,638 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.97 %
There were 51 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.B Deemed-Retractible Quote: 21.71 – 22.20
Spot Rate : 0.4900
Average : 0.3070

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.71
Bid-YTW : 6.41 %

PWF.PR.L Perpetual-Discount Quote: 23.46 – 23.90
Spot Rate : 0.4400
Average : 0.3165

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 23.17
Evaluated at bid price : 23.46
Bid-YTW : 5.45 %

CGI.PR.D SplitShare Quote: 23.81 – 24.26
Spot Rate : 0.4500
Average : 0.3354

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 4.45 %

FTS.PR.F Perpetual-Discount Quote: 23.50 – 23.89
Spot Rate : 0.3900
Average : 0.2887

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 23.21
Evaluated at bid price : 23.50
Bid-YTW : 5.29 %

GWO.PR.P Deemed-Retractible Quote: 24.90 – 25.24
Spot Rate : 0.3400
Average : 0.2476

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.54 %

BAM.PR.K Floater Quote: 17.34 – 17.75
Spot Rate : 0.4100
Average : 0.3222

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-10-31
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 3.05 %

One Response to “October 31, 2013”

  1. […] PerpetualDiscounts now yield 5.54%, equivalent to 7.20% interest at the standard equivalency factor of 1.3x. Long Corporates now yield about 4.7%, so the pre-tax, interest-equivalent spread between the two is now about 250bp, a slight (and perhaps spurious, particularly given the index rebalancing as of October 31) increase from the 245bp reported October 31. […]

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