May 29, 2013

Nothing happened today.

PerpetualDiscounts now yield 4.94%, equivalent to 6.42% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.16% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 225bp, a slight increase from the 220bp reported May 15.

A more severe drop for the Canadian preferred share market today, with PerpetualPremiums down 10bp, FixedResets off 6bp and DeemedRetractibles losing 22bp. Volatility was good, skewed to the downside. Volume was very high.

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 -0.4560 % 2,531.8
FixedFloater 3.93 % 3.16 % 37,953 18.74 1 -0.2473 % 4,185.3
Floater 2.75 % 2.99 % 75,607 19.69 4 -0.4560 % 2,733.6
OpRet 4.83 % 0.97 % 69,360 0.09 5 -0.0776 % 2,614.3
SplitShare 4.81 % 4.16 % 100,910 4.07 5 -0.1728 % 2,984.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0776 % 2,390.6
Perpetual-Premium 5.20 % 4.05 % 98,696 0.74 32 -0.0971 % 2,378.3
Perpetual-Discount 4.88 % 4.94 % 197,272 15.52 4 -0.4475 % 2,667.4
FixedReset 4.89 % 2.66 % 246,907 3.14 81 -0.0580 % 2,518.1
Deemed-Retractible 4.90 % 3.57 % 139,179 1.51 44 -0.2175 % 2,458.3
Performance Highlights
Issue Index Change Notes
IAG.PR.A Deemed-Retractible -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.32
Bid-YTW : 4.89 %
BAM.PR.T FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-05-29
Maturity Price : 23.52
Evaluated at bid price : 25.83
Bid-YTW : 3.55 %
BAM.PF.C Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-05-29
Maturity Price : 24.22
Evaluated at bid price : 24.60
Bid-YTW : 4.99 %
BAM.PF.A FixedReset -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-30
Maturity Price : 25.00
Evaluated at bid price : 26.16
Bid-YTW : 3.70 %
GWO.PR.N FixedReset 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 2.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.F FixedReset 257,480 RBC crossed three blocks: 50,400 shares, 99,400 and 75,000, all at 25.89. TD sold 11,000 to anonymous at 25.88.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 2.35 %
BNS.PR.T FixedReset 189,900 Nesbitt crossed blocks of 80,500 and 100,000 at 26.05.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.03
Bid-YTW : 2.19 %
GWO.PR.N FixedReset 68,240 National crossed 47,000 at 24.82.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 2.94 %
ENB.PR.H FixedReset 61,021 Scotia bought 20,000 from National at 25.35.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-05-29
Maturity Price : 23.25
Evaluated at bid price : 25.32
Bid-YTW : 3.38 %
RY.PR.X FixedReset 58,950 TD crossed 50,000 at 26.25.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 2.29 %
MFC.PR.D FixedReset 46,857 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.98
Bid-YTW : 2.49 %
There were 54 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ENB.PR.D FixedReset Quote: 25.46 – 25.90
Spot Rate : 0.4400
Average : 0.2621

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-05-29
Maturity Price : 23.32
Evaluated at bid price : 25.46
Bid-YTW : 3.54 %

PWF.PR.R Perpetual-Premium Quote: 26.64 – 27.00
Spot Rate : 0.3600
Average : 0.2381

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.64
Bid-YTW : 4.60 %

BAM.PF.C Perpetual-Discount Quote: 24.60 – 24.87
Spot Rate : 0.2700
Average : 0.1559

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-05-29
Maturity Price : 24.22
Evaluated at bid price : 24.60
Bid-YTW : 4.99 %

TRP.PR.B FixedReset Quote: 24.50 – 24.78
Spot Rate : 0.2800
Average : 0.1664

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-05-29
Maturity Price : 23.37
Evaluated at bid price : 24.50
Bid-YTW : 2.66 %

IAG.PR.A Deemed-Retractible Quote: 24.32 – 24.74
Spot Rate : 0.4200
Average : 0.3205

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.32
Bid-YTW : 4.89 %

CU.PR.E Perpetual-Premium Quote: 26.09 – 26.45
Spot Rate : 0.3600
Average : 0.2733

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.00
Evaluated at bid price : 26.09
Bid-YTW : 4.29 %

Leave a Reply

You must be logged in to post a comment.