TD.PR.A and TD.PR.C were called for redemption yesterday, filling in a blank in the schedule of upcoming Exchange Dates. Of the thirteen Exchange Dates between now and February 24, ten will be resolved by redemption. Next up is BMO.PR.N, (Exchange Date 2014-2-25) but with an Issue Reset Spread of +383bp, there’s not much suspense surrounding the eventual announcement. In fact, the seven following Exchange Dates (going out to June 1) are all for issues with spreads in excess of 400bp, so there’s not a lot of scope for entertaining speculation.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 14bp, FixedResets down 3bp and DeemedRetractibles off 2bp. The Performance Highlights table is surprisingly lengthy. Volume was very low, as might be expected on a half day.
| 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 | 0.1891 % | 2,514.9 |
| FixedFloater | 4.68 % | 3.98 % | 38,363 | 17.43 | 1 | -1.1214 % | 3,583.2 |
| Floater | 2.97 % | 2.97 % | 60,596 | 19.81 | 3 | 0.1891 % | 2,715.4 |
| OpRet | 4.65 % | 2.56 % | 87,938 | 0.43 | 3 | -0.0774 % | 2,658.1 |
| SplitShare | 4.86 % | 4.73 % | 76,857 | 4.48 | 5 | 0.2736 % | 3,013.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0774 % | 2,430.6 |
| Perpetual-Premium | 5.63 % | 5.42 % | 133,184 | 4.17 | 13 | 0.0138 % | 2,307.8 |
| Perpetual-Discount | 5.70 % | 5.70 % | 185,555 | 14.36 | 25 | 0.1413 % | 2,315.1 |
| FixedReset | 5.00 % | 3.55 % | 237,249 | 3.59 | 84 | -0.0300 % | 2,466.1 |
| Deemed-Retractible | 5.16 % | 4.31 % | 199,125 | 1.36 | 42 | -0.0157 % | 2,388.0 |
| FloatingReset | 2.61 % | 2.33 % | 279,022 | 4.38 | 5 | 0.0079 % | 2,462.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.G | FixedFloater | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-24 Maturity Price : 21.24 Evaluated at bid price : 20.28 Bid-YTW : 3.98 % |
| FTS.PR.G | FixedReset | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-24 Maturity Price : 22.69 Evaluated at bid price : 23.76 Bid-YTW : 4.13 % |
| 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 : 22.94 Bid-YTW : 6.27 % |
| FTS.PR.F | Perpetual-Discount | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-24 Maturity Price : 22.07 Evaluated at bid price : 22.35 Bid-YTW : 5.53 % |
| CU.PR.G | Perpetual-Discount | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-24 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 5.41 % |
| CGI.PR.D | SplitShare | 1.38 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 3.78 % |
| CU.PR.F | Perpetual-Discount | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-24 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.42 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.C | FixedReset | 126,309 | Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 2.01 % |
| BAM.PF.C | Perpetual-Discount | 24,819 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-24 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 6.36 % |
| BAM.PF.D | Perpetual-Discount | 23,394 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-24 Maturity Price : 19.38 Evaluated at bid price : 19.38 Bid-YTW : 6.36 % |
| TRP.PR.C | FixedReset | 17,620 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-24 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 4.14 % |
| ENB.PR.Y | FixedReset | 16,337 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-24 Maturity Price : 22.14 Evaluated at bid price : 22.82 Bid-YTW : 4.56 % |
| ENB.PR.F | FixedReset | 15,330 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-24 Maturity Price : 22.61 Evaluated at bid price : 23.55 Bid-YTW : 4.53 % |
| There were 16 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.B | Deemed-Retractible | Quote: 20.64 – 21.07 Spot Rate : 0.4300 Average : 0.2843 YTW SCENARIO |
| BAM.PR.G | FixedFloater | Quote: 20.28 – 20.83 Spot Rate : 0.5500 Average : 0.4240 YTW SCENARIO |
| BAM.PR.C | Floater | Quote: 17.60 – 18.00 Spot Rate : 0.4000 Average : 0.3040 YTW SCENARIO |
| PWF.PR.M | FixedReset | Quote: 25.14 – 25.35 Spot Rate : 0.2100 Average : 0.1240 YTW SCENARIO |
| CIU.PR.A | Perpetual-Discount | Quote: 21.11 – 21.34 Spot Rate : 0.2300 Average : 0.1644 YTW SCENARIO |
| PWF.PR.L | Perpetual-Discount | Quote: 23.06 – 23.39 Spot Rate : 0.3300 Average : 0.2657 YTW SCENARIO |