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)
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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 | -0.7702 % | 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 |
FTS.PR.J | Perpetual-Discount | Quote: 23.66 – 24.00 Spot Rate : 0.3400 Average : 0.2494 YTW SCENARIO |
MFC.PR.G | FixedReset | Quote: 25.96 – 26.15 Spot Rate : 0.1900 Average : 0.1101 YTW SCENARIO |
W.PR.J | Perpetual-Discount | Quote: 24.88 – 25.14 Spot Rate : 0.2600 Average : 0.1816 YTW SCENARIO |
GWO.PR.I | Deemed-Retractible | Quote: 21.90 – 22.15 Spot Rate : 0.2500 Average : 0.1760 YTW SCENARIO |
CU.PR.E | Perpetual-Discount | Quote: 23.79 – 24.07 Spot Rate : 0.2800 Average : 0.2071 YTW SCENARIO |