It was another good day for the Canadian preferred share market, with PerpetualDiscounts gaining 33bp and FixedResets up 3bp. Volume eased off, but only slightly.
Deeply discounted Straight Perpetuals were the star performers … again.
| 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 | 0.2574 % | 2,329.5 |
| FixedFloater | 4.77 % | 3.45 % | 26,174 | 19.22 | 1 | 0.8846 % | 3,570.3 |
| Floater | 2.57 % | 2.35 % | 40,114 | 21.34 | 4 | 0.2574 % | 2,515.2 |
| OpRet | 4.81 % | 3.38 % | 65,033 | 2.29 | 8 | 0.0337 % | 2,391.1 |
| SplitShare | 5.31 % | 1.24 % | 527,696 | 0.89 | 4 | 0.3365 % | 2,463.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0337 % | 2,186.4 |
| Perpetual-Premium | 5.64 % | 5.23 % | 137,580 | 5.32 | 20 | 0.0609 % | 2,030.5 |
| Perpetual-Discount | 5.30 % | 5.24 % | 262,762 | 14.87 | 57 | 0.3312 % | 2,084.4 |
| FixedReset | 5.22 % | 3.36 % | 284,906 | 3.06 | 52 | 0.0338 % | 2,277.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.P | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-03-01 Maturity Price : 25.00 Evaluated at bid price : 25.56 Bid-YTW : 3.89 % |
| CM.PR.I | Perpetual-Discount | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-17 Maturity Price : 23.01 Evaluated at bid price : 23.20 Bid-YTW : 5.07 % |
| RY.PR.G | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-17 Maturity Price : 22.82 Evaluated at bid price : 23.00 Bid-YTW : 4.96 % |
| RY.PR.D | Perpetual-Discount | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-17 Maturity Price : 22.82 Evaluated at bid price : 23.00 Bid-YTW : 4.96 % |
| GWO.PR.I | Perpetual-Discount | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-17 Maturity Price : 22.68 Evaluated at bid price : 22.86 Bid-YTW : 4.95 % |
| POW.PR.D | Perpetual-Discount | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-17 Maturity Price : 22.92 Evaluated at bid price : 23.14 Bid-YTW : 5.43 % |
| RY.PR.N | FixedReset | 1.57 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.83 Bid-YTW : 2.82 % |
| BAM.PR.R | FixedReset | 1.58 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-07-30 Maturity Price : 25.00 Evaluated at bid price : 26.36 Bid-YTW : 4.34 % |
| SLF.PR.E | Perpetual-Discount | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-17 Maturity Price : 21.36 Evaluated at bid price : 21.63 Bid-YTW : 5.23 % |
| CM.PR.J | Perpetual-Discount | 1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-17 Maturity Price : 22.77 Evaluated at bid price : 22.95 Bid-YTW : 4.91 % |
| SLF.PR.A | Perpetual-Discount | 1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-17 Maturity Price : 22.56 Evaluated at bid price : 22.76 Bid-YTW : 5.26 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.K | Perpetual-Discount | 208,521 | Nesbitt crossed 12,400 at 22.81; RBC crossed 33,800 at 22.95. Nesbitt crossed blocks of 100,000 and 50,000, both at 22.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-17 Maturity Price : 22.56 Evaluated at bid price : 22.75 Bid-YTW : 5.45 % |
| SLF.PR.A | Perpetual-Discount | 137,510 | TD crossed 37,400 at 22.95; RBC crossed 77,700 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-17 Maturity Price : 22.56 Evaluated at bid price : 22.76 Bid-YTW : 5.26 % |
| GWO.PR.N | FixedReset | 132,318 | Nesbitt crossed 125,000 at 24.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-17 Maturity Price : 24.70 Evaluated at bid price : 24.75 Bid-YTW : 3.87 % |
| FTS.PR.E | OpRet | 130,935 | Nesbitt crossed 125,000 at 26.85. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-07-01 Maturity Price : 25.75 Evaluated at bid price : 26.75 Bid-YTW : 3.38 % |
| PWF.PR.O | Perpetual-Premium | 120,805 | RBC crossed 65,700 at 25.01; Nesbitt crossed 50,000 at 25.03. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-11-30 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 5.80 % |
| TD.PR.Q | Perpetual-Premium | 108,295 | Desjardins crossed 100,000 at 25.65. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-02 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 5.09 % |
| There were 37 other index-included issues trading in excess of 10,000 shares. | |||