Sorry about the lateness, folks, but the Shaw Festival was calling my name this weekend.
It was a rotten day for the Canadian preferred share market, with PerpetualDiscounts down 17bp, FixedResets off 16bp and DeemedRetractibles losing 36bp. Volatility reflected the market move; volume was average.
| 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 | 0.7143 % | 2,095.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7143 % | 3,151.0 |
| Floater | 3.10 % | 3.42 % | 53,494 | 18.71 | 3 | 0.7143 % | 2,262.1 |
| OpRet | 4.84 % | 3.13 % | 60,530 | 1.62 | 8 | -0.2276 % | 2,447.1 |
| SplitShare | 5.39 % | 1.66 % | 51,528 | 0.43 | 4 | -0.2848 % | 2,488.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2276 % | 2,237.6 |
| Perpetual-Premium | 5.63 % | 4.34 % | 115,373 | 1.06 | 16 | 0.0616 % | 2,116.1 |
| Perpetual-Discount | 5.32 % | 5.37 % | 111,466 | 14.84 | 14 | -0.1653 % | 2,240.9 |
| FixedReset | 5.15 % | 3.29 % | 207,607 | 2.63 | 60 | -0.1607 % | 2,320.8 |
| Deemed-Retractible | 5.07 % | 4.67 % | 237,729 | 7.97 | 46 | -0.3565 % | 2,186.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| NA.PR.O | FixedReset | -2.20 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-15 Maturity Price : 25.00 Evaluated at bid price : 27.10 Bid-YTW : 3.26 % |
| SLF.PR.E | Deemed-Retractible | -1.79 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.36 Bid-YTW : 6.48 % |
| SLF.PR.F | FixedReset | -1.78 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-30 Maturity Price : 25.00 Evaluated at bid price : 26.47 Bid-YTW : 3.73 % |
| SLF.PR.D | Deemed-Retractible | -1.77 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.06 Bid-YTW : 6.60 % |
| MFC.PR.E | FixedReset | -1.65 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.67 Bid-YTW : 4.68 % |
| FTS.PR.F | Perpetual-Discount | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-09-23 Maturity Price : 24.06 Evaluated at bid price : 24.35 Bid-YTW : 5.06 % |
| IAG.PR.C | FixedReset | -1.47 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.21 Bid-YTW : 3.93 % |
| BAM.PR.J | OpRet | -1.38 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 26.43 Bid-YTW : 4.39 % |
| MFC.PR.D | FixedReset | -1.34 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.53 Bid-YTW : 4.28 % |
| SLF.PR.B | Deemed-Retractible | -1.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 6.09 % |
| GWO.PR.J | FixedReset | -1.28 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.20 Bid-YTW : 3.75 % |
| HSB.PR.D | Deemed-Retractible | -1.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 5.27 % |
| SLF.PR.A | Deemed-Retractible | -1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 6.09 % |
| RY.PR.B | Deemed-Retractible | -1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 4.72 % |
| SLF.PR.H | FixedReset | 1.44 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.60 Bid-YTW : 4.03 % |
| SLF.PR.G | FixedReset | 1.50 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 3.42 % |
| PWF.PR.A | Floater | 2.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-09-23 Maturity Price : 20.11 Evaluated at bid price : 20.11 Bid-YTW : 2.63 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.N | OpRet | 122,250 | Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2011-10-23 Maturity Price : 25.50 Evaluated at bid price : 25.72 Bid-YTW : 2.11 % |
| TD.PR.M | OpRet | 104,296 | Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2011-10-23 Maturity Price : 25.50 Evaluated at bid price : 25.72 Bid-YTW : 2.39 % |
| BNS.PR.O | Deemed-Retractible | 93,520 | Desjardins crossed 84,300 at 26.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-04-26 Maturity Price : 26.00 Evaluated at bid price : 26.75 Bid-YTW : 4.05 % |
| MFC.PR.A | OpRet | 92,760 | RBC crossed 19,000 at 25.00 and 20,500 at 25.03. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 25.14 Bid-YTW : 3.99 % |
| TRP.PR.A | FixedReset | 80,693 | Scotia crossed 50,000 at 25.90; RBC crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-09-23 Maturity Price : 23.60 Evaluated at bid price : 25.85 Bid-YTW : 3.30 % |
| TD.PR.A | FixedReset | 52,000 | Desjardins crossed 50,000 at 26.16. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-31 Maturity Price : 25.00 Evaluated at bid price : 26.11 Bid-YTW : 3.36 % |
| There were 32 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| NA.PR.O | FixedReset | Quote: 27.10 – 27.85 Spot Rate : 0.7500 Average : 0.4848 YTW SCENARIO |
| BAM.PR.J | OpRet | Quote: 26.43 – 27.10 Spot Rate : 0.6700 Average : 0.4220 YTW SCENARIO |
| MFC.PR.C | Deemed-Retractible | Quote: 21.53 – 22.08 Spot Rate : 0.5500 Average : 0.3384 YTW SCENARIO |
| MFC.PR.D | FixedReset | Quote: 26.53 – 26.97 Spot Rate : 0.4400 Average : 0.2562 YTW SCENARIO |
| IAG.PR.C | FixedReset | Quote: 26.21 – 26.90 Spot Rate : 0.6900 Average : 0.5078 YTW SCENARIO |
| GWO.PR.J | FixedReset | Quote: 26.20 – 26.74 Spot Rate : 0.5400 Average : 0.3731 YTW SCENARIO |