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 |
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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 | -0.0279 % | 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 |
| IGM.PR.B | Perpetual-Premium | Quote: 26.17 – 26.51 Spot Rate : 0.3400 Average : 0.2043 YTW SCENARIO |
| GWO.PR.N | FixedReset | Quote: 21.50 – 21.95 Spot Rate : 0.4500 Average : 0.3440 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 22.20 – 22.54 Spot Rate : 0.3400 Average : 0.2437 YTW SCENARIO |
| RY.PR.F | Deemed-Retractible | Quote: 25.59 – 25.99 Spot Rate : 0.4000 Average : 0.3193 YTW SCENARIO |
| CU.PR.F | Perpetual-Discount | Quote: 22.41 – 22.63 Spot Rate : 0.2200 Average : 0.1484 YTW SCENARIO |