Nothing happened today.
It was a strong day on the Canadian preferred share market AGAIN, on good volume AGAIN, with MFC issues featured on the volume table AGAIN. This is getting a little dull. PerpetualDiscounts were up 28bp, while FixedResets gained 8bp, taking the median weighted average yield on the latter class down to 3.06% … creeping slowly towards the magic 3% mark.
PerpetualDiscounts now yield 5.75%, equivalent to 8.05% interest at the standard equivalency factor of 1.4x. Long Corporates now yield about 5.35%, so the pre-tax interest-equivalent spread (also called the Seniority Spread) now stands at 270bp, a significant tightening from the 280bp reported on September 1, as PerpetualDiscount yields and long corporate yields made small moves in opposite directions.
| 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 | 0.2078 % | 2,040.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2078 % | 3,091.4 |
| Floater | 2.72 % | 3.23 % | 61,436 | 19.07 | 3 | 0.2078 % | 2,203.4 |
| OpRet | 4.88 % | 0.87 % | 94,676 | 0.22 | 9 | 0.0943 % | 2,361.4 |
| SplitShare | 5.97 % | -35.61 % | 65,905 | 0.09 | 2 | 0.0824 % | 2,359.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0943 % | 2,159.3 |
| Perpetual-Premium | 5.74 % | 5.54 % | 131,411 | 5.38 | 14 | 0.1156 % | 1,973.7 |
| Perpetual-Discount | 5.66 % | 5.75 % | 189,663 | 14.22 | 63 | 0.2831 % | 1,920.4 |
| FixedReset | 5.25 % | 3.06 % | 268,246 | 3.33 | 47 | 0.0750 % | 2,261.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IAG.PR.C | FixedReset | -1.03 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 27.01 Bid-YTW : 3.58 % |
| GWO.PR.M | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-08 Maturity Price : 24.54 Evaluated at bid price : 24.75 Bid-YTW : 5.87 % |
| POW.PR.C | Perpetual-Discount | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-08 Maturity Price : 24.57 Evaluated at bid price : 24.93 Bid-YTW : 5.90 % |
| BAM.PR.M | Perpetual-Discount | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-08 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.05 % |
| RY.PR.H | Perpetual-Premium | 1.76 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-23 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 5.37 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.A | OpRet | 193,380 | RBC crossed blocks of 50,000 and 46,600, both at 25.00. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 4.12 % |
| MFC.PR.C | Perpetual-Discount | 112,745 | RBC crossed 75,000 at 18.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-08 Maturity Price : 18.33 Evaluated at bid price : 18.33 Bid-YTW : 6.17 % |
| GWL.PR.O | Perpetual-Premium | 82,950 | Called for redemption. TD crossed 79,000 at 25.21. YTW SCENARIO Maturity Type : Call Maturity Date : 2010-11-30 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 3.18 % |
| BNS.PR.Y | FixedReset | 80,175 | RBC bought 11,000 from anonymous at 25.25 and the same number from National at the same price. It then bought another 10,000 from National at the same price again. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-08 Maturity Price : 25.10 Evaluated at bid price : 25.15 Bid-YTW : 3.27 % |
| MFC.PR.D | FixedReset | 69,611 | RBC crossed 48,900 at 26.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 26.73 Bid-YTW : 4.61 % |
| BAM.PR.K | Floater | 64,000 | Nesbitt crossed 60,400 at 15.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-08 Maturity Price : 15.01 Evaluated at bid price : 15.01 Bid-YTW : 3.24 % |
| There were 30 other index-included issues trading in excess of 10,000 shares. | |||
Hi James, I just read on SEDAR that CIBC is issuing 1.5 BUS$ Bonds due 2014 for 1.45%. These rates seem very very low what do you think
Regards.
Mike
The maturity is Sept. 13, 2013, if we’re talking about the same thing. It’s a senior bond yielding 70bp over 3-year treasuries. You could do worse, but it’s really a question of whether a three-year USD corporate fits into your portfolio or not.
[…] PerpetualDiscounts now yield 5.67%, equivalent to 7.94% interest at the standard equivalency actor of 1.4x. Long Corporates now yield 5.4%, so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 255bp, a sharp tightening from the 270bp reported on September 8. […]