August 27, 2014

Nothing happened today.

It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 10bp, FixedResets off 10bp and DeemedRetractibles up 15bp. Volatility was muted. Volume was above average, with the highlights comprised entirely of FixedResets.

PerpetualDiscounts now yield 5.13%, equivalent to 6.67% interest at the standard conversion factor of 1.3x. Long corporates now yield about 4.15%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 250bp, a slight (and perhaps spurious) decline from the 255bp reported August 13.

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 -0.0279 % 2,621.0
FixedFloater 4.17 % 3.41 % 28,158 18.56 1 0.1318 % 4,162.0
Floater 2.93 % 3.08 % 52,521 19.48 4 -0.0279 % 2,710.3
OpRet 4.05 % -2.88 % 96,433 0.08 1 0.0395 % 2,729.3
SplitShare 4.23 % 3.74 % 61,857 3.97 6 0.1394 % 3,157.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0395 % 2,495.6
Perpetual-Premium 5.49 % -4.12 % 83,568 0.08 19 0.0372 % 2,437.7
Perpetual-Discount 5.21 % 5.13 % 111,170 15.20 17 0.0979 % 2,606.1
FixedReset 4.23 % 3.67 % 185,692 6.57 74 -0.0855 % 2,569.8
Deemed-Retractible 4.98 % 1.03 % 105,276 0.24 42 0.1537 % 2,564.3
FloatingReset 2.63 % 1.92 % 81,550 0.16 6 0.0131 % 2,527.7
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-27
Maturity Price : 22.46
Evaluated at bid price : 22.87
Bid-YTW : 3.53 %
GWO.PR.N FixedReset -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 4.79 %
PWF.PR.A Floater 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-27
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 2.59 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.W FixedReset 86,146 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-27
Maturity Price : 23.18
Evaluated at bid price : 25.10
Bid-YTW : 3.65 %
TD.PF.B FixedReset 84,500 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-27
Maturity Price : 23.22
Evaluated at bid price : 25.16
Bid-YTW : 3.68 %
BMO.PR.S FixedReset 82,570 RBC crossed 75,000 at 25.45.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 3.63 %
MFC.PR.M FixedReset 73,437 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 3.84 %
TRP.PR.E FixedReset 64,287 RBC crossed 43,100 at 25.65.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-10-30
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.73 %
RY.PR.H FixedReset 46,355 RBC crossed 18,800 at 25.25.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-27
Maturity Price : 23.23
Evaluated at bid price : 25.20
Bid-YTW : 3.67 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.F Deemed-Retractible Quote: 25.88 – 26.29
Spot Rate : 0.4100
Average : 0.2594

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-31
Maturity Price : 25.25
Evaluated at bid price : 25.88
Bid-YTW : 4.95 %

IGM.PR.B Perpetual-Premium Quote: 26.17 – 26.51
Spot Rate : 0.3400
Average : 0.2043

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-31
Maturity Price : 25.50
Evaluated at bid price : 26.17
Bid-YTW : 4.80 %

GWO.PR.N FixedReset Quote: 21.50 – 21.95
Spot Rate : 0.4500
Average : 0.3440

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 4.79 %

CU.PR.G Perpetual-Discount Quote: 22.20 – 22.54
Spot Rate : 0.3400
Average : 0.2437

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-27
Maturity Price : 21.87
Evaluated at bid price : 22.20
Bid-YTW : 5.07 %

RY.PR.F Deemed-Retractible Quote: 25.59 – 25.99
Spot Rate : 0.4000
Average : 0.3193

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-26
Maturity Price : 25.50
Evaluated at bid price : 25.59
Bid-YTW : 0.50 %

CU.PR.F Perpetual-Discount Quote: 22.41 – 22.63
Spot Rate : 0.2200
Average : 0.1484

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-27
Maturity Price : 22.11
Evaluated at bid price : 22.41
Bid-YTW : 5.03 %

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