Nothing happened today.
It was another good solid day for the Canadian preferred share market, with PerpetualDiscounts up 4bp, FixedResets gaining 13bp and DeemedRetractibles ahead 11bp.
PerpetualDiscounts now yield 5.55%, equivalent to 7.22% interest at the standard equivalency factor of 1.3x. Volatility was muted and volume was average. Long Corporates now yield 5.4%, so the pre-tax interest-equivalent spread is now 180bp, a little wider than the April 27 figure of 175bp.
| 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 | 0.3765 % | 2,448.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3765 % | 3,681.7 |
| Floater | 2.46 % | 2.26 % | 38,207 | 21.61 | 4 | 0.3765 % | 2,643.1 |
| OpRet | 4.86 % | 2.57 % | 62,713 | 1.17 | 9 | 0.0799 % | 2,422.6 |
| SplitShare | 5.21 % | 0.11 % | 65,257 | 0.59 | 6 | 0.0300 % | 2,501.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0799 % | 2,215.3 |
| Perpetual-Premium | 5.74 % | 5.11 % | 134,007 | 0.87 | 9 | 0.1316 % | 2,064.7 |
| Perpetual-Discount | 5.53 % | 5.55 % | 118,393 | 14.52 | 15 | 0.0441 % | 2,149.7 |
| FixedReset | 5.14 % | 3.22 % | 207,660 | 2.87 | 57 | 0.1279 % | 2,309.8 |
| Deemed-Retractible | 5.18 % | 4.94 % | 300,198 | 8.08 | 53 | 0.1108 % | 2,118.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.F | FixedReset | -1.08 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-30 Maturity Price : 25.00 Evaluated at bid price : 27.35 Bid-YTW : 3.16 % |
| RY.PR.F | Deemed-Retractible | 1.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.22 Bid-YTW : 4.83 % |
| GWO.PR.H | Deemed-Retractible | 1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.03 Bid-YTW : 5.96 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.Q | FixedReset | 90,820 | Desjardins crossed 85,000 at 26.22. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-11-24 Maturity Price : 25.00 Evaluated at bid price : 26.30 Bid-YTW : 2.87 % |
| TRP.PR.C | FixedReset | 62,940 | TD crossed 50,000 at 25.68. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-02-29 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 3.83 % |
| PWF.PR.F | Perpetual-Discount | 47,499 | Scotia crossed 40,000 at 24.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-05-11 Maturity Price : 23.62 Evaluated at bid price : 23.89 Bid-YTW : 5.53 % |
| RY.PR.Y | FixedReset | 42,990 | Desjardins crossed 25,000 at 27.30. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-24 Maturity Price : 25.00 Evaluated at bid price : 27.29 Bid-YTW : 3.38 % |
| CM.PR.J | Deemed-Retractible | 39,566 | Desjardins crossed 30,000 at 24.35. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.31 Bid-YTW : 4.88 % |
| CM.PR.L | FixedReset | 38,920 | TD crossed 31,000 at 27.83. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.63 Bid-YTW : 2.99 % |
| There were 34 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BNS.PR.Z | FixedReset | Quote: 24.76 – 25.45 Spot Rate : 0.6900 Average : 0.4254 YTW SCENARIO |
| FTS.PR.G | FixedReset | Quote: 26.09 – 26.99 Spot Rate : 0.9000 Average : 0.7104 YTW SCENARIO |
| SLF.PR.F | FixedReset | Quote: 27.35 – 27.72 Spot Rate : 0.3700 Average : 0.2808 YTW SCENARIO |
| CM.PR.M | FixedReset | Quote: 27.73 – 28.05 Spot Rate : 0.3200 Average : 0.2320 YTW SCENARIO |
| ELF.PR.F | Deemed-Retractible | Quote: 22.50 – 22.74 Spot Rate : 0.2400 Average : 0.1624 YTW SCENARIO |
| BMO.PR.J | Deemed-Retractible | Quote: 24.41 – 24.66 Spot Rate : 0.2500 Average : 0.1739 YTW SCENARIO |
[…] PerpetualDiscounts now yield 5.51%, equivalent to 7.16% interest at the standard equivalency factor of 1.3x. Long Corporates now yield a little under 5.4% (maybe I should say, a little over 5.35%), so the pre-tax interest-equivalent spread is now about 180bp, about the same as reported on May 11. […]