January 18, 2012

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
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
Maturity Type : Call
Maturity Date : 2012-02-17
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : -2.05 %

PWF.PR.A Floater Quote: 20.40 – 21.17
Spot Rate : 0.7700
Average : 0.6795

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 %

FTS.PR.H FixedReset Quote: 25.52 – 25.85
Spot Rate : 0.3300
Average : 0.2533

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 %

FTS.PR.C OpRet Quote: 25.90 – 26.47
Spot Rate : 0.5700
Average : 0.5013

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-02-17
Maturity Price : 25.50
Evaluated at bid price : 25.90
Bid-YTW : -5.07 %

HSB.PR.C Deemed-Retractible Quote: 25.60 – 25.80
Spot Rate : 0.2000
Average : 0.1353

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.60
Bid-YTW : 4.25 %

TRP.PR.C FixedReset Quote: 25.58 – 25.82
Spot Rate : 0.2400
Average : 0.1754

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-01-18
Maturity Price : 23.43
Evaluated at bid price : 25.58
Bid-YTW : 2.84 %

One Response to “January 18, 2012”

  1. […] 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. […]

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