Nothing happened today.
I have an engagement tomorrow evening, so tomorrow’s report will be very, very late, by which I mean “maybe Friday”.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts winning 33bp, FixedResets up 1bp and DeemedRetractibles down 4bp. Volatility was muted. Volume was above average.
PerpetualDiscounts now yield 4.91% (lower than the Current Yield because some of the issues are now actually Premiums … with so few issues left in this class, special cases are a problem) equivalent to 6.38% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.55%, so the pre-tax interest-equivalent spread (in this context also referred to as the Seniority Spread) is now about 185bp, an increase from the 170bp reported January 11.
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 | 1.1498 % | 2,343.7 |
FixedFloater | 4.70 % | 4.07 % | 42,114 | 17.28 | 1 | 0.4975 % | 3,315.7 |
Floater | 2.84 % | 3.01 % | 68,109 | 19.71 | 3 | 1.1498 % | 2,530.5 |
OpRet | 4.95 % | 1.49 % | 65,204 | 1.32 | 7 | 0.0989 % | 2,494.6 |
SplitShare | 5.36 % | 0.69 % | 67,709 | 0.89 | 4 | 0.0607 % | 2,612.2 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0989 % | 2,281.1 |
Perpetual-Premium | 5.41 % | -7.28 % | 90,350 | 0.09 | 23 | -0.0228 % | 2,209.9 |
Perpetual-Discount | 5.04 % | 4.91 % | 150,423 | 15.56 | 7 | 0.3321 % | 2,404.3 |
FixedReset | 5.03 % | 2.77 % | 203,819 | 2.36 | 65 | 0.0053 % | 2,379.4 |
Deemed-Retractible | 4.91 % | 3.53 % | 189,012 | 1.71 | 46 | -0.0373 % | 2,295.4 |
Performance Highlights | |||
Issue | Index | Change | Notes |
FTS.PR.H | FixedReset | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-18 Maturity Price : 23.49 Evaluated at bid price : 25.52 Bid-YTW : 2.73 % |
BAM.PR.K | Floater | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-18 Maturity Price : 17.49 Evaluated at bid price : 17.49 Bid-YTW : 3.02 % |
SLF.PR.G | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 3.80 % |
PWF.PR.A | Floater | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-18 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 2.59 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
ENB.PR.F | FixedReset | 1,146,325 | New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-18 Maturity Price : 23.14 Evaluated at bid price : 25.12 Bid-YTW : 3.69 % |
CM.PR.I | Deemed-Retractible | 139,353 | Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-31 Maturity Price : 25.75 Evaluated at bid price : 25.98 Bid-YTW : 3.53 % |
ENB.PR.D | FixedReset | 136,770 | Scotia sold three blocks, of 12,000 shares, 12,800 and 14,500, to Nesbitt, all at 25.37. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-18 Maturity Price : 23.22 Evaluated at bid price : 25.35 Bid-YTW : 3.57 % |
IFC.PR.C | FixedReset | 111,593 | RBC crossed 103,000 at 25.79. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 3.57 % |
BMO.PR.P | FixedReset | 108,068 | RBC crossed 100,500 at 27.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-02-25 Maturity Price : 25.00 Evaluated at bid price : 27.04 Bid-YTW : 2.92 % |
PWF.PR.P | FixedReset | 106,439 | RBC crossed blocks of 54,400 and 40.700, both at 25.99. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-18 Maturity Price : 23.49 Evaluated at bid price : 25.80 Bid-YTW : 2.85 % |
There were 35 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
PWF.PR.F | Perpetual-Premium | Quote: 25.10 – 25.40 Spot Rate : 0.3000 Average : 0.1849 YTW SCENARIO |
PWF.PR.A | Floater | Quote: 20.40 – 21.17 Spot Rate : 0.7700 Average : 0.6795 YTW SCENARIO |
FTS.PR.H | FixedReset | Quote: 25.52 – 25.85 Spot Rate : 0.3300 Average : 0.2533 YTW SCENARIO |
FTS.PR.C | OpRet | Quote: 25.90 – 26.47 Spot Rate : 0.5700 Average : 0.5013 YTW SCENARIO |
HSB.PR.C | Deemed-Retractible | Quote: 25.60 – 25.80 Spot Rate : 0.2000 Average : 0.1353 YTW SCENARIO |
TRP.PR.C | FixedReset | Quote: 25.58 – 25.82 Spot Rate : 0.2400 Average : 0.1754 YTW SCENARIO |
[…] PerpetualDiscounts now yield 4.90%, equivalent to 6.37% interest at the standard equivalency factor of 1.3x; note that this measure is plagued by the fact that there are only seven PerpetualDiscounts left in the index and that after the month-end index rebalacing there will only be four! The figures should be taken with a grain of salt – or perhaps a truckload. Long corporates now yield about 4.55%, so the pre-tax interest-equivalent spread (in this context it is referred to as the Seniority Spread) is now aout 180bp, slightly narrower than the 185bp reported on January 18. […]