No commentary today! I’m learning all about SMTP as part of the PrefLetter server migration!
The Canadian preferred share market took a pasting today, perhaps due to investors worrying over the weekend about the US jobs number and risk of tapering, but oddly the very lengthy Performance Highlights table is led downwards by low-coupon FixedResets, that one might think would fare relatively better given a general rise in interest rates. Volume was extremely high.
| 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 | 0.4692 % | 2,522.0 |
| FixedFloater | 4.37 % | 3.66 % | 39,710 | 18.03 | 1 | -3.0735 % | 3,844.7 |
| Floater | 2.94 % | 2.98 % | 63,572 | 19.71 | 3 | 0.4692 % | 2,723.0 |
| OpRet | 4.62 % | -2.46 % | 77,309 | 0.08 | 3 | -0.0128 % | 2,660.3 |
| SplitShare | 4.91 % | 4.76 % | 75,944 | 4.52 | 5 | 0.2198 % | 2,977.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0128 % | 2,432.6 |
| Perpetual-Premium | 5.61 % | 5.52 % | 134,550 | 4.21 | 13 | -0.0351 % | 2,302.4 |
| Perpetual-Discount | 5.66 % | 5.67 % | 164,512 | 14.32 | 25 | -0.5324 % | 2,322.8 |
| FixedReset | 5.01 % | 3.66 % | 233,335 | 3.30 | 82 | -0.4897 % | 2,467.2 |
| Deemed-Retractible | 5.12 % | 4.23 % | 195,183 | 1.40 | 42 | -0.2460 % | 2,406.5 |
| FloatingReset | 2.63 % | 2.33 % | 332,080 | 4.42 | 5 | -0.0316 % | 2,463.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.N | FixedReset | -3.63 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.95 Bid-YTW : 5.15 % |
| SLF.PR.G | FixedReset | -3.48 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.62 Bid-YTW : 4.98 % |
| BAM.PR.G | FixedFloater | -3.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 22.23 Evaluated at bid price : 21.76 Bid-YTW : 3.66 % |
| TRP.PR.A | FixedReset | -2.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 22.98 Evaluated at bid price : 23.52 Bid-YTW : 3.97 % |
| BAM.PF.A | FixedReset | -2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 23.19 Evaluated at bid price : 25.04 Bid-YTW : 4.61 % |
| PWF.PR.P | FixedReset | -2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 22.75 Evaluated at bid price : 23.06 Bid-YTW : 3.83 % |
| GWO.PR.H | Deemed-Retractible | -2.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 6.21 % |
| ELF.PR.H | Perpetual-Discount | -1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 23.00 Evaluated at bid price : 23.31 Bid-YTW : 5.99 % |
| MFC.PR.I | FixedReset | -1.86 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : 4.02 % |
| ENB.PR.B | FixedReset | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 22.87 Evaluated at bid price : 23.91 Bid-YTW : 4.32 % |
| ENB.PR.D | FixedReset | -1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 22.66 Evaluated at bid price : 23.62 Bid-YTW : 4.35 % |
| ELF.PR.G | Perpetual-Discount | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.78 % |
| GWO.PR.R | Deemed-Retractible | -1.73 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 6.24 % |
| GWO.PR.I | Deemed-Retractible | -1.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.75 Bid-YTW : 6.13 % |
| ELF.PR.F | Perpetual-Discount | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 22.41 Evaluated at bid price : 22.67 Bid-YTW : 5.93 % |
| BAM.PR.R | FixedReset | -1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 23.63 Evaluated at bid price : 25.52 Bid-YTW : 4.15 % |
| ENB.PR.F | FixedReset | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 22.66 Evaluated at bid price : 23.66 Bid-YTW : 4.45 % |
| PWF.PR.K | Perpetual-Discount | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 22.10 Evaluated at bid price : 22.44 Bid-YTW : 5.57 % |
| BAM.PR.X | FixedReset | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 21.48 Evaluated at bid price : 21.84 Bid-YTW : 4.40 % |
| MFC.PR.H | FixedReset | -1.42 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.62 Bid-YTW : 3.77 % |
| IFC.PR.C | FixedReset | -1.40 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.31 Bid-YTW : 4.05 % |
| FTS.PR.J | Perpetual-Discount | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 21.91 Evaluated at bid price : 22.26 Bid-YTW : 5.36 % |
| MFC.PR.F | FixedReset | -1.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.78 Bid-YTW : 5.00 % |
| GWO.PR.Q | Deemed-Retractible | -1.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 6.02 % |
| PWF.PR.S | Perpetual-Discount | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 21.47 Evaluated at bid price : 21.75 Bid-YTW : 5.58 % |
| NA.PR.Q | FixedReset | -1.13 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.46 Bid-YTW : 3.38 % |
| RY.PR.T | FixedReset | -1.09 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.37 Bid-YTW : 4.54 % |
| GWO.PR.G | Deemed-Retractible | -1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 6.07 % |
| BAM.PF.D | Perpetual-Discount | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 6.47 % |
| BNA.PR.C | SplitShare | 1.87 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 23.95 Bid-YTW : 5.34 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.Y | FixedReset | 119,810 | Desjardines crossed 100,000 at 23.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 22.46 Evaluated at bid price : 23.40 Bid-YTW : 4.38 % |
| TD.PR.G | FixedReset | 116,375 | Scotia crossed blocks of 75,000 and 25,000, both at 25.48. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.48 Bid-YTW : 2.93 % |
| FTS.PR.F | Perpetual-Discount | 108,475 | TD crossed 100,000 at 23.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 23.06 Evaluated at bid price : 23.35 Bid-YTW : 5.27 % |
| TRP.PR.B | FixedReset | 78,770 | Nesbitt crossed 40,000 at 20.34. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 3.89 % |
| FTS.PR.H | FixedReset | 67,630 | Nesbitt crossed 35,000 at 21.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 21.06 Evaluated at bid price : 21.06 Bid-YTW : 3.98 % |
| ENB.PR.T | FixedReset | 59,959 | Nesbitt crossed 12,400 at 24.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-09 Maturity Price : 22.68 Evaluated at bid price : 23.85 Bid-YTW : 4.38 % |
| There were 71 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.N | FixedReset | Quote: 20.95 – 21.76 Spot Rate : 0.8100 Average : 0.4904 YTW SCENARIO |
| SLF.PR.G | FixedReset | Quote: 21.62 – 22.30 Spot Rate : 0.6800 Average : 0.4005 YTW SCENARIO |
| TRP.PR.A | FixedReset | Quote: 23.52 – 24.17 Spot Rate : 0.6500 Average : 0.4215 YTW SCENARIO |
| BAM.PR.X | FixedReset | Quote: 21.84 – 22.54 Spot Rate : 0.7000 Average : 0.4716 YTW SCENARIO |
| BAM.PF.A | FixedReset | Quote: 25.04 – 25.63 Spot Rate : 0.5900 Average : 0.3708 YTW SCENARIO |
| ENB.PR.D | FixedReset | Quote: 23.62 – 24.03 Spot Rate : 0.4100 Average : 0.2570 YTW SCENARIO |