July 21, 2010

Nothing happened today. How dull.

Continued good volume in the Canadian preferred share market, a PerpetualDiscounts squeaked out a win of 1bp, while FixedResets were up 9bp, edging their median weighted average yield a little closer to 3.50%.

PerpetualDiscounts now yield 5.90%, equivalent to 8.26% interest at the standard equivalency factor of 1.4x. Long corporates now yield 5.6%, so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 265bp, a significant tightening from the 280bp reported on July 14.

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 2.82 % 2.90 % 23,397 20.26 1 0.0000 % 2,078.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2200 % 3,154.6
Floater 2.51 % 2.15 % 42,290 21.97 4 0.2200 % 2,248.4
OpRet 4.89 % -0.38 % 102,180 0.08 11 -0.2754 % 2,338.7
SplitShare 6.27 % 5.02 % 75,410 0.08 2 0.1732 % 2,213.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2754 % 2,138.5
Perpetual-Premium 5.90 % 5.28 % 106,544 1.81 4 0.0491 % 1,941.2
Perpetual-Discount 5.83 % 5.90 % 182,356 14.04 73 0.0106 % 1,852.6
FixedReset 5.31 % 3.53 % 333,251 3.46 47 0.0940 % 2,221.9
Performance Highlights
Issue Index Change Notes
RY.PR.B Perpetual-Discount -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-07-21
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 5.71 %
BAM.PR.I OpRet -1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2010-08-20
Maturity Price : 25.50
Evaluated at bid price : 25.70
Bid-YTW : -0.38 %
PWF.PR.K Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-07-21
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.01 %
TRP.PR.A FixedReset 1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-01-30
Maturity Price : 25.00
Evaluated at bid price : 25.91
Bid-YTW : 3.80 %
SLF.PR.G FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-07-21
Maturity Price : 25.55
Evaluated at bid price : 25.60
Bid-YTW : 3.90 %
ELF.PR.G Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-07-21
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.K FixedReset 111,472 RBC crossed 22,500 at 26.96. Desjardins crossed blocks of 49,800 and 25,000, both at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-30
Maturity Price : 25.00
Evaluated at bid price : 26.89
Bid-YTW : 3.30 %
MFC.PR.D FixedReset 84,422 RBC crossed 20,000 at 27.68; National crossed 25,000 at 27.74.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-19
Maturity Price : 25.00
Evaluated at bid price : 27.69
Bid-YTW : 3.88 %
TRP.PR.C FixedReset 71,120 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-07-21
Maturity Price : 23.14
Evaluated at bid price : 25.05
Bid-YTW : 3.96 %
IAG.PR.A Perpetual-Discount 63,320 TD crossed three blocks, 25,000 shares, 14,100 and 18,500, all at 19.35.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-07-21
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.01 %
TD.PR.A FixedReset 62,370 RBC crossed blocks of 25,000 and 36,000, both at 26.20.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-02
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.61 %
MFC.PR.E FixedReset 53,444 National crossed 25,000 at 26.89, then bought 11,000 from anonymous at 26.90.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-10-19
Maturity Price : 25.00
Evaluated at bid price : 26.87
Bid-YTW : 3.83 %
There were 45 other index-included issues trading in excess of 10,000 shares.

One Response to “July 21, 2010”

  1. […] Update, 2010-7-29: PerpetualDiscounts now yield 5.90%, equivalent to 8.26% interest at the standard equivalency factor of 1.4x. Long Corporates yield 5.6%, so the pre-tax interest-equivalent spread is now about 265bp, unchanged from the figure reported on July 21. […]

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