It was an extremely slow and boring day on the Canadian preferred share market to end the year, with PerpetualDiscounts up about half a beep and FixedResets losing 6bp.
PerpetualDiscounts now yield 5.48%, equivalent to 7.67% interest at the standard equivalency factor of 1.4x. Long Corporates now yield about 5.4%, so the pre-tax interest-equivalent spread is now about 225bp, a slight (and perhaps spurious) widening from the 220bp reported December 29
Malachite Aggressive Preferred Fund has had another good year – I’ll put a little cinnamon in my coffee tonight, to celebrate – but I’ll have the final report out on that in the near future.
| 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 | -0.1726 % | 2,306.1 |
| FixedFloater | 4.83 % | 3.55 % | 30,055 | 18.92 | 1 | -0.2656 % | 3,484.8 |
| Floater | 2.59 % | 2.39 % | 49,815 | 21.23 | 4 | -0.1726 % | 2,490.0 |
| OpRet | 4.78 % | 3.31 % | 61,323 | 2.35 | 8 | -0.0287 % | 2,397.8 |
| SplitShare | 5.34 % | 1.28 % | 749,483 | 0.94 | 4 | 0.0807 % | 2,446.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0287 % | 2,192.5 |
| Perpetual-Premium | 5.69 % | 5.48 % | 147,666 | 5.40 | 27 | 0.0198 % | 2,019.4 |
| Perpetual-Discount | 5.40 % | 5.46 % | 263,803 | 14.74 | 51 | 0.0052 % | 2,029.3 |
| FixedReset | 5.22 % | 3.33 % | 320,324 | 3.10 | 52 | -0.0625 % | 2,271.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.E | Perpetual-Discount | -2.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-31 Maturity Price : 19.91 Evaluated at bid price : 19.91 Bid-YTW : 5.69 % |
| SLF.PR.F | FixedReset | -1.85 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-30 Maturity Price : 25.00 Evaluated at bid price : 27.00 Bid-YTW : 3.63 % |
| NA.PR.N | FixedReset | -1.15 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-09-14 Maturity Price : 25.00 Evaluated at bid price : 26.70 Bid-YTW : 2.94 % |
| CM.PR.P | Perpetual-Premium | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-31 Maturity Price : 23.54 Evaluated at bid price : 24.82 Bid-YTW : 5.48 % |
| NA.PR.L | Perpetual-Discount | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-31 Maturity Price : 23.31 Evaluated at bid price : 23.57 Bid-YTW : 5.20 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNA.PR.D | SplitShare | 15,500 | YTW SCENARIO Maturity Type : Call Maturity Date : 2011-01-30 Maturity Price : 26.00 Evaluated at bid price : 26.87 Bid-YTW : -25.77 % |
| RY.PR.E | Perpetual-Discount | 15,250 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-31 Maturity Price : 21.59 Evaluated at bid price : 21.94 Bid-YTW : 5.17 % |
| TD.PR.O | Perpetual-Discount | 13,353 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-31 Maturity Price : 23.75 Evaluated at bid price : 24.01 Bid-YTW : 5.12 % |
| There were 0 other index-included issues trading in excess of 10,000 shares. | |||
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