February 22, 2012

A good day for the Canadian preferred share market, with PerpetualPremiums up 10bp, FixedResets winning 22bp and DeemedRetractibles gaining 16bp. PerpetualDiscounts rocketted up 94bp! Good volatility, highly skewed to the upside. Volume was well above average.

PerpetualDiscounts now yield 5.02%, equivalent to 6.53% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.6% (maybe just a hair lower) so the pre-tax interest-equivalent spread (which is in this context the Seniority Spread) is now about 195bp, unchanged from the figure reported February 15.

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 0.1598 % 2,391.1
FixedFloater 4.60 % 3.98 % 38,310 17.36 1 0.4866 % 3,389.5
Floater 2.79 % 3.05 % 59,151 19.55 3 0.1598 % 2,581.8
OpRet 4.89 % -0.69 % 59,191 1.25 6 0.2305 % 2,505.1
SplitShare 5.28 % -0.90 % 83,094 0.80 4 0.3603 % 2,674.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2305 % 2,290.7
Perpetual-Premium 5.39 % 3.32 % 113,755 0.87 26 0.0991 % 2,197.7
Perpetual-Discount 5.13 % 5.02 % 200,048 15.38 4 0.9423 % 2,411.6
FixedReset 5.05 % 2.84 % 212,937 2.33 66 0.2204 % 2,379.8
Deemed-Retractible 4.96 % 3.93 % 241,871 2.96 46 0.1557 % 2,289.2
Performance Highlights
Issue Index Change Notes
FTS.PR.G FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-22
Maturity Price : 23.87
Evaluated at bid price : 25.42
Bid-YTW : 3.52 %
SLF.PR.I FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 4.39 %
GWO.PR.G Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.49 %
MFC.PR.F FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.11
Bid-YTW : 3.89 %
BAM.PR.K Floater 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-22
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.07 %
PWF.PR.P FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-22
Maturity Price : 23.46
Evaluated at bid price : 25.65
Bid-YTW : 3.05 %
BNA.PR.D SplitShare 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-03-23
Maturity Price : 26.00
Evaluated at bid price : 26.56
Bid-YTW : -21.04 %
BAM.PR.T FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-22
Maturity Price : 23.29
Evaluated at bid price : 25.42
Bid-YTW : 3.77 %
MFC.PR.C Deemed-Retractible 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.11
Bid-YTW : 5.48 %
BAM.PR.M Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-22
Maturity Price : 23.65
Evaluated at bid price : 23.93
Bid-YTW : 5.02 %
IGM.PR.B Perpetual-Premium 1.63 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-31
Maturity Price : 26.00
Evaluated at bid price : 26.80
Bid-YTW : 4.67 %
BAM.PR.N Perpetual-Discount 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-22
Maturity Price : 23.59
Evaluated at bid price : 24.07
Bid-YTW : 4.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.H FixedReset 649,139 New issue settled today.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.61 %
GWO.PR.P Deemed-Retractible 648,620 New issue settled today.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 5.43 %
MFC.PR.D FixedReset 263,195 Nesbitt crossed blocks of 148,500 and 100,000, both at 26.69.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.35 %
RY.PR.E Deemed-Retractible 78,998 Desjardins crossed 35,000 at 25.55.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 3.95 %
ENB.PR.F FixedReset 67,121 Desjardins crossed 45,000 at 25.38.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-22
Maturity Price : 23.22
Evaluated at bid price : 25.39
Bid-YTW : 3.79 %
RY.PR.F Deemed-Retractible 57,687 Desjardins crossed 20,000 at 25.55.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.95 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.H Deemed-Retractible Quote: 26.06 – 26.22
Spot Rate : 0.1600
Average : 0.0918

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 1.03 %

BAM.PR.Z FixedReset Quote: 25.62 – 25.90
Spot Rate : 0.2800
Average : 0.2189

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-22
Maturity Price : 23.30
Evaluated at bid price : 25.62
Bid-YTW : 4.32 %

BAM.PR.O OpRet Quote: 25.81 – 26.19
Spot Rate : 0.3800
Average : 0.3218

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 3.10 %

MFC.PR.A OpRet Quote: 25.35 – 25.59
Spot Rate : 0.2400
Average : 0.1866

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2015-12-18
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.64 %

TCA.PR.X Perpetual-Premium Quote: 52.00 – 52.29
Spot Rate : 0.2900
Average : 0.2451

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-15
Maturity Price : 50.00
Evaluated at bid price : 52.00
Bid-YTW : 3.32 %

NA.PR.O FixedReset Quote: 27.35 – 27.57
Spot Rate : 0.2200
Average : 0.1780

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-15
Maturity Price : 25.00
Evaluated at bid price : 27.35
Bid-YTW : 1.83 %

One Response to “February 22, 2012”

  1. […] PerpetualDiscounts (all seven of them!) now yield 5.08%, equivalent to 6.60% interest at the standard 1.3x equivalency factor. Long corporates now yield a little under 4.5% (!) so the pre-tax interest-equivalent spread (which, in this context, is the Seniority Spread) is now about 210bp, a meaningful widening from the 195bp reported on February 22. […]

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