February 26, 2014

Nothing happened today, either.

It was another good day for the Canadian preferred share market, with PerpetualDiscounts gaining 16bp, FixedResets up 17bp and DeemedRetractibles winning 19bp. The Performance Highlights table was longer than usual, all winners, with one lonely DeemedRetractible listed among the dominating FixedResets. Volume was heavy.

PerpetualDiscounts now yield 5.59%, equivalent to 7.27% interest at the standard 1.3x equivalency factor. Long corporates now yield about 4.55%, so the pre-tax interest-equivalent spread is now about 270bp, unchanged from the February 19 report.

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 -0.2270 % 2,423.4
FixedFloater 4.76 % 4.35 % 29,491 17.70 1 -0.1001 % 3,565.6
Floater 2.99 % 3.10 % 53,967 19.41 4 -0.2270 % 2,616.6
OpRet 4.61 % -4.92 % 71,503 0.09 3 0.2440 % 2,696.3
SplitShare 4.86 % 4.41 % 59,464 4.36 5 0.2046 % 3,044.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2440 % 2,465.5
Perpetual-Premium 5.65 % 1.77 % 109,342 0.08 12 0.0132 % 2,341.8
Perpetual-Discount 5.52 % 5.59 % 144,998 14.46 26 0.1621 % 2,404.4
FixedReset 4.71 % 3.56 % 224,509 4.50 77 0.1732 % 2,503.9
Deemed-Retractible 5.10 % 3.67 % 164,768 1.13 42 0.1925 % 2,442.2
FloatingReset 2.64 % 2.59 % 153,350 7.13 6 0.0604 % 2,439.1
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 3.15 %
BAM.PR.R FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 23.67
Evaluated at bid price : 25.50
Bid-YTW : 4.04 %
CIU.PR.C FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 3.75 %
IFC.PR.A FixedReset 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 4.19 %
FTS.PR.H FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 3.77 %
BAM.PR.X FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 4.39 %
GWO.PR.F Deemed-Retractible 1.68 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-28
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : -24.67 %
Volume Highlights
Issue Index Shares
Traded
Notes
FTS.PR.H FixedReset 652,380 RBC crossed two blocks of 74,800 each, both at 21.39; Nesbitt crossed 10,000 at the same price. RBC then crossed two blocks of 244,400 each, both at 21.48. Nice tickets!
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 3.77 %
TRP.PR.E FixedReset 141,490 Nesbitt crossed 40,000 at 25.06; TD crossed blocks of 60,100 and 24,400 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 23.13
Evaluated at bid price : 25.01
Bid-YTW : 4.03 %
TRP.PR.D FixedReset 126,417 Nesbitt crossed 40,000 at 24.99; TD crossed blocks of 40,000 and 24,200 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 23.10
Evaluated at bid price : 24.86
Bid-YTW : 4.00 %
SLF.PR.D Deemed-Retractible 112,961 Desjardins crossed blocks of 80,000 and 25,000, both at 21.01.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.03
Bid-YTW : 6.48 %
NA.PR.S FixedReset 97,242 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 23.20
Evaluated at bid price : 25.16
Bid-YTW : 3.98 %
BNS.PR.L Deemed-Retractible 90,642 TD crossed two blocks of 40,000 each, both at 25.58.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-04-28
Maturity Price : 25.25
Evaluated at bid price : 25.58
Bid-YTW : 3.59 %
There were 61 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.Z FixedReset Quote: 26.05 – 26.44
Spot Rate : 0.3900
Average : 0.2525

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.85 %

FTS.PR.J Perpetual-Discount Quote: 22.33 – 22.65
Spot Rate : 0.3200
Average : 0.1970

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 22.05
Evaluated at bid price : 22.33
Bid-YTW : 5.33 %

RY.PR.T FixedReset Quote: 25.50 – 25.80
Spot Rate : 0.3000
Average : 0.1887

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.29 %

PWF.PR.H Perpetual-Premium Quote: 25.18 – 25.48
Spot Rate : 0.3000
Average : 0.1949

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-28
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 1.77 %

ENB.PR.F FixedReset Quote: 24.50 – 24.74
Spot Rate : 0.2400
Average : 0.1413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-26
Maturity Price : 23.04
Evaluated at bid price : 24.50
Bid-YTW : 4.18 %

MFC.PR.J FixedReset Quote: 25.37 – 25.64
Spot Rate : 0.2700
Average : 0.1726

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 3.56 %

Leave a Reply

You must be logged in to post a comment.