I was a bit short of time today, folks!
It was another day of little direction for the Canadian preferred share market, with PerpetualPremiumsu 3bp, FixedResets down 1bp and DeemedRetractibles gaining 3bp. The Performance Table was surprisingly normal in its length, given the small overall moves, and very skewed to the upside, which was comprised entirely of insurance issues. Volume was very low.
| 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 | -0.4202 % | 2,372.3 |
| FixedFloater | 4.57 % | 3.95 % | 39,461 | 17.37 | 1 | -0.8115 % | 3,410.9 |
| Floater | 3.02 % | 3.05 % | 50,621 | 19.54 | 3 | -0.4202 % | 2,561.5 |
| OpRet | 4.87 % | 2.29 % | 53,132 | 1.27 | 6 | 0.0191 % | 2,514.4 |
| SplitShare | 5.29 % | -1.78 % | 87,792 | 0.78 | 4 | -0.2438 % | 2,673.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0191 % | 2,299.2 |
| Perpetual-Premium | 5.39 % | -1.60 % | 112,167 | 0.15 | 25 | 0.0303 % | 2,218.6 |
| Perpetual-Discount | 5.06 % | 5.10 % | 189,832 | 15.25 | 7 | -0.0526 % | 2,434.2 |
| FixedReset | 5.04 % | 2.83 % | 210,212 | 2.25 | 66 | -0.0135 % | 2,388.8 |
| Deemed-Retractible | 4.92 % | 3.76 % | 234,007 | 2.82 | 46 | 0.0275 % | 2,316.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.T | FixedReset | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-05 Maturity Price : 23.23 Evaluated at bid price : 25.21 Bid-YTW : 3.78 % |
| IAG.PR.F | Deemed-Retractible | 1.04 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2015-03-31 Maturity Price : 26.00 Evaluated at bid price : 26.30 Bid-YTW : 5.15 % |
| GWO.PR.I | Deemed-Retractible | 1.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 4.74 % |
| SLF.PR.G | FixedReset | 1.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 3.49 % |
| IAG.PR.A | Deemed-Retractible | 1.67 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 5.24 % |
| SLF.PR.H | FixedReset | 1.93 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.25 Bid-YTW : 4.08 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PR.H | OpRet | 47,360 | Called for redemption. YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2012-04-04 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : 2.47 % |
| BAM.PR.T | FixedReset | 44,107 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-05 Maturity Price : 23.23 Evaluated at bid price : 25.21 Bid-YTW : 3.78 % |
| POW.PR.G | Perpetual-Premium | 37,906 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-15 Maturity Price : 25.00 Evaluated at bid price : 25.83 Bid-YTW : 5.19 % |
| PWF.PR.R | Perpetual-Premium | 34,955 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.76 Bid-YTW : 5.14 % |
| TD.PR.G | FixedReset | 31,980 | RBC crossed 23,200 at 27.05. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 27.05 Bid-YTW : 2.60 % |
| BMO.PR.J | Deemed-Retractible | 28,967 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 3.73 % |
| There were 18 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IGM.PR.B | Perpetual-Premium | Quote: 26.90 – 27.32 Spot Rate : 0.4200 Average : 0.3300 YTW SCENARIO |
| TD.PR.P | Deemed-Retractible | Quote: 26.55 – 26.80 Spot Rate : 0.2500 Average : 0.1707 YTW SCENARIO |
| FTS.PR.G | FixedReset | Quote: 25.63 – 25.94 Spot Rate : 0.3100 Average : 0.2309 YTW SCENARIO |
| MFC.PR.G | FixedReset | Quote: 25.05 – 25.25 Spot Rate : 0.2000 Average : 0.1220 YTW SCENARIO |
| ENB.PR.B | FixedReset | Quote: 25.42 – 25.69 Spot Rate : 0.2700 Average : 0.1921 YTW SCENARIO |
| TD.PR.O | Deemed-Retractible | Quote: 25.85 – 26.05 Spot Rate : 0.2000 Average : 0.1242 YTW SCENARIO |