October 17, 2012

Nothing happened today.

It was a poor day for the Canadian preferred share market, with PerpetualPremiums losing 10bp, FixedResets off 3bp and DeemedRetractibles down 7bp. Volatility was muted. Volume more than made up in strength what it lacked in breadth – probably related to the TXPR index changes.

PerpetualDiscounts now yield 4.93%, equivalent to 6.41% interest at the standard conversion factor of 1.3x. Long corporates now yield about 4.4%, so the pre-tax interest-equivalent spread is now about 200bp, a sharp narrowing from the 225bp reported October 10.

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 0.1705 % 2,461.2
FixedFloater 4.24 % 3.57 % 32,671 18.24 1 0.0446 % 3,795.7
Floater 2.98 % 3.00 % 67,526 19.74 3 0.1705 % 2,657.4
OpRet 4.62 % 2.80 % 62,253 0.66 4 -0.1998 % 2,569.0
SplitShare 5.40 % 4.84 % 71,603 4.50 3 0.3824 % 2,840.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1998 % 2,349.1
Perpetual-Premium 5.29 % 2.04 % 87,007 0.35 27 -0.1056 % 2,302.9
Perpetual-Discount 5.01 % 4.93 % 45,950 15.48 4 0.2158 % 2,580.8
FixedReset 4.97 % 2.97 % 187,040 3.83 73 -0.0265 % 2,442.1
Deemed-Retractible 4.94 % 3.49 % 124,057 1.01 47 -0.0715 % 2,380.7
Performance Highlights
Issue Index Change Notes
VNR.PR.A FixedReset -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 3.32 %
ELF.PR.H Perpetual-Premium -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 5.18 %
PWF.PR.M FixedReset 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 2.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
ENB.PR.N FixedReset 459,866 Added to TXPR.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.80 %
ENB.PR.P FixedReset 454,663 Added to TXPR.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-10-17
Maturity Price : 23.19
Evaluated at bid price : 25.31
Bid-YTW : 3.72 %
BAM.PR.R FixedReset 335,412 Deleted from TXPR.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-10-17
Maturity Price : 23.52
Evaluated at bid price : 25.78
Bid-YTW : 3.70 %
TD.PR.P Deemed-Retractible 316,447 Deleted from TXPR.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-12-01
Maturity Price : 26.00
Evaluated at bid price : 26.11
Bid-YTW : 0.04 %
BMO.PR.N FixedReset 252,552 Deleted from TXPR.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 2.11 %
RY.PR.G Deemed-Retractible 236,716 Deleted from TXPR.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 3.78 %
GWO.PR.M Deemed-Retractible 214,224 Deleted from TXPR.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-03-31
Maturity Price : 26.00
Evaluated at bid price : 26.40
Bid-YTW : 5.06 %
FTS.PR.H FixedReset 204,934 Added to TXPR.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-10-17
Maturity Price : 23.64
Evaluated at bid price : 25.58
Bid-YTW : 2.75 %
BAM.PF.B FixedReset 179,517 Added to TXPR
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-10-17
Maturity Price : 23.18
Evaluated at bid price : 25.27
Bid-YTW : 3.89 %
TD.PR.Q Deemed-Retractible 169,700 Deleted from TXPR.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-01-31
Maturity Price : 26.00
Evaluated at bid price : 26.42
Bid-YTW : -0.88 %
GWO.PR.G Deemed-Retractible 155,705 Deleted from TXPR.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.58 %
CM.PR.M FixedReset 126,992 Deleted from TXPR.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 2.48 %
BNS.PR.O Deemed-Retractible 116,051 Deleted from TXPR.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-04-26
Maturity Price : 26.00
Evaluated at bid price : 26.70
Bid-YTW : -0.20 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ELF.PR.H Perpetual-Premium Quote: 25.60 – 25.90
Spot Rate : 0.3000
Average : 0.1918

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 5.18 %

BAM.PR.B Floater Quote: 17.72 – 18.00
Spot Rate : 0.2800
Average : 0.1892

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-10-17
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 2.98 %

IGM.PR.B Perpetual-Premium Quote: 27.04 – 27.50
Spot Rate : 0.4600
Average : 0.3751

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-31
Maturity Price : 26.00
Evaluated at bid price : 27.04
Bid-YTW : 3.69 %

POW.PR.D Perpetual-Premium Quote: 25.17 – 25.38
Spot Rate : 0.2100
Average : 0.1321

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 4.69 %

FTS.PR.E OpRet Quote: 26.68 – 26.95
Spot Rate : 0.2700
Average : 0.2071

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-06-01
Maturity Price : 25.75
Evaluated at bid price : 26.68
Bid-YTW : -0.05 %

BAM.PR.P FixedReset Quote: 26.73 – 26.99
Spot Rate : 0.2600
Average : 0.1984

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-30
Maturity Price : 25.00
Evaluated at bid price : 26.73
Bid-YTW : 3.52 %

One Response to “October 17, 2012”

  1. […] PerpetualDiscounts now yield 4.92%, equivalent to 6.40% interest at the standard equivalency factor of 1.3x. Long corporates are at about 4.35% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now at about 205bp, slightly (and perhaps spuriously) wider than the 200bp reported October 17. […]

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