April 9, 2014

Nothing happened today.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 3bp, FixedResets up 12bp and DeemedRetractibles gaining 11bp. Volatility was only technically existent. Volume was a little below average.

PerpetualDiscounts now yield 5.42%, equivalent to 7.05% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.5%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 255bp, a slight (and perhaps spurious) decline from the 260bp reported April 2)
.

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 -0.7702 % 2,455.9
FixedFloater 4.67 % 3.96 % 36,158 17.46 1 0.1477 % 3,633.5
Floater 2.96 % 3.06 % 49,489 19.61 4 -0.7702 % 2,651.7
OpRet 4.36 % -5.54 % 32,957 0.15 2 -0.1740 % 2,694.7
SplitShare 4.80 % 4.39 % 62,588 4.26 5 0.0795 % 3,089.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1740 % 2,464.1
Perpetual-Premium 5.54 % -7.55 % 100,552 0.09 13 0.0877 % 2,386.1
Perpetual-Discount 5.44 % 5.42 % 120,199 14.60 23 -0.0281 % 2,479.2
FixedReset 4.68 % 3.63 % 203,952 4.20 79 0.1169 % 2,531.3
Deemed-Retractible 5.03 % -0.18 % 147,695 0.14 42 0.1091 % 2,490.6
FloatingReset 2.63 % 2.36 % 197,698 4.28 5 0.3112 % 2,480.4
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-04-09
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 2.73 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.C FixedReset 690,077 RBC crossed two blocks of 342,200 each, both at 22.34. Nice tickets!
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-04-09
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 3.77 %
BNS.PR.L Deemed-Retractible 102,235 Scotia crossed blocks of 51,100 and 48,000, both at 25.70.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-26
Maturity Price : 25.50
Evaluated at bid price : 25.66
Bid-YTW : -2.41 %
BNS.PR.R FixedReset 85,850 RBC crossed blocks of 25,000 and 60,000, both at 25.75.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.21 %
BMO.PR.J Deemed-Retractible 78,598 RBC crossed 70,000 at 25.75.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-09
Maturity Price : 25.50
Evaluated at bid price : 25.78
Bid-YTW : -2.59 %
TD.PR.T FloatingReset 54,788 Scotia crossed 50,000 at 24.96.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 2.52 %
GWO.PR.N FixedReset 51,967 RBC crossed 50,000 at 22.40.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.38
Bid-YTW : 4.39 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.A Floater Quote: 19.36 – 20.00
Spot Rate : 0.6400
Average : 0.4104

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-04-09
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 2.73 %

FTS.PR.J Perpetual-Discount Quote: 23.66 – 24.00
Spot Rate : 0.3400
Average : 0.2494

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-04-09
Maturity Price : 23.33
Evaluated at bid price : 23.66
Bid-YTW : 5.06 %

MFC.PR.G FixedReset Quote: 25.96 – 26.15
Spot Rate : 0.1900
Average : 0.1101

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 3.01 %

W.PR.J Perpetual-Discount Quote: 24.88 – 25.14
Spot Rate : 0.2600
Average : 0.1816

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-04-09
Maturity Price : 24.62
Evaluated at bid price : 24.88
Bid-YTW : 5.65 %

GWO.PR.I Deemed-Retractible Quote: 21.90 – 22.15
Spot Rate : 0.2500
Average : 0.1760

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 6.13 %

CU.PR.E Perpetual-Discount Quote: 23.79 – 24.07
Spot Rate : 0.2800
Average : 0.2071

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-04-09
Maturity Price : 23.44
Evaluated at bid price : 23.79
Bid-YTW : 5.20 %

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