Sorry, folks! The June 30 closing price data is not yet available from the TSX, so I can’t close off the day.
When I have the data, you’ll get the data!
Update: Continued heavy trading and positive performance closed the month. Preliminary index figures indicate a gain for PerpetualDiscounts of 1.66% on the month, while FixedResets returned +2.70%.
PerpetualDiscounts closed the month yielding 6.36%, equivalent to 8.90% at the standard 1.4x equivalency factor. This compares to Long Corporates at about 6.4%, so the pre-tax interest-equivalent spread is near-as-dammit to 250bp, as declines in PerpetualDiscount yields did not keep pace with the extraordinary strength of the long corporate bonds … they returned +6.14% for the month and are now +17.55% YTD, which ain’t bad!
| 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 | -0.1628 % | 1,186.7 |
| FixedFloater | 7.08 % | 5.49 % | 35,110 | 16.33 | 1 | 0.1305 % | 2,129.4 |
| Floater | 3.21 % | 3.63 % | 83,213 | 18.22 | 3 | -0.1628 % | 1,482.6 |
| OpRet | 4.95 % | 3.53 % | 120,027 | 0.89 | 14 | -0.0758 % | 2,208.6 |
| SplitShare | 5.74 % | 6.24 % | 69,944 | 4.20 | 3 | 0.0151 % | 1,900.9 |
| Interest-Bearing | 5.98 % | -0.66 % | 23,573 | 0.08 | 1 | 0.0998 % | 2,023.1 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2313 % | 1,748.9 |
| Perpetual-Discount | 6.31 % | 6.36 % | 161,926 | 13.44 | 71 | 0.2313 % | 1,610.8 |
| FixedReset | 5.62 % | 4.61 % | 484,161 | 4.35 | 40 | 0.1825 % | 2,032.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TD.PR.Q | Perpetual-Discount | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-30 Maturity Price : 22.96 Evaluated at bid price : 23.11 Bid-YTW : 6.17 % |
| W.PR.J | Perpetual-Discount | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-30 Maturity Price : 21.52 Evaluated at bid price : 21.78 Bid-YTW : 6.45 % |
| CU.PR.A | Perpetual-Discount | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-30 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 6.11 % |
| IAG.PR.C | FixedReset | 1.34 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 26.51 Bid-YTW : 4.75 % |
| BMO.PR.H | Perpetual-Discount | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-30 Maturity Price : 21.74 Evaluated at bid price : 22.05 Bid-YTW : 6.08 % |
| HSB.PR.D | Perpetual-Discount | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-30 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 6.36 % |
| TD.PR.P | Perpetual-Discount | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-30 Maturity Price : 22.02 Evaluated at bid price : 22.12 Bid-YTW : 6.04 % |
| BAM.PR.M | Perpetual-Discount | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-30 Maturity Price : 15.86 Evaluated at bid price : 15.86 Bid-YTW : 7.56 % |
| RY.PR.H | Perpetual-Discount | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-30 Maturity Price : 23.91 Evaluated at bid price : 24.11 Bid-YTW : 5.94 % |
| GWO.PR.I | Perpetual-Discount | 2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-30 Maturity Price : 17.99 Evaluated at bid price : 17.99 Bid-YTW : 6.30 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.O | Perpetual-Discount | 191,794 | TD bought 25,000 from anonymous at 20.09; then National Bank crossed 122,700 at 20.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-30 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 6.14 % |
| GWO.PR.X | OpRet | 118,532 | Nesbitt crossed 10,000 at 26.00; RBC crossed 100,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2010-10-30 Maturity Price : 25.67 Evaluated at bid price : 26.00 Bid-YTW : 3.70 % |
| TD.PR.M | OpRet | 102,170 | RBC crossed 100,000 at 26.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2010-05-30 Maturity Price : 25.75 Evaluated at bid price : 26.17 Bid-YTW : 3.60 % |
| MFC.PR.E | FixedReset | 85,935 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 5.29 % |
| TD.PR.S | FixedReset | 65,322 | RBC bought 10,000 from anonymous at 25.00; then another 14,000 at the same price; then bought 10,200 from National at the same price again. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-30 Maturity Price : 24.90 Evaluated at bid price : 24.95 Bid-YTW : 4.35 % |
| BMO.PR.P | FixedReset | 65,257 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-06-30 Maturity Price : 23.22 Evaluated at bid price : 25.30 Bid-YTW : 4.90 % |
| There were 58 other index-included issues trading in excess of 10,000 shares. | |||
[…] shown in the June 30 Portfolio Composition analysis (which is in excess of the 6.36% index yield on June 30). Given such reinvestment, the sustainable yield would be 10.9846 * 0.0658 = $0.7228, an increase […]
[…] shown in the July 31 Portfolio Composition analysis (which is in excess of the 6.36% index yield on June 30). Given such reinvestment, the sustainable yield would be 11.8181 * 0.0614 = $0.7256, an increase […]