Still doing some catching up … there’s a lot of catching up to do! I don’t think there will be much commentary for a little while yet!
It was a negative day for the Canadian preferred share market, with PerpetualDiscounts off 13bp, FixedResets losing 24bp and DeemedRetractibles down 15bp. This compares favourably again with the TXPR and TXPL indices which were down 33bp and 45bp, respectively. Something peculiar is going on indeed! Volatility was high, with FixedResets prominent among the losers, led downward by ENB issues, which may have been affected by today’s new issue announcement, or their superb performance in the last two days of November … or both, since the two phenomena probably have a least some relationship! Volume was 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 | -0.4885 % | 2,495.1 |
| FixedFloater | 4.31 % | 3.60 % | 36,499 | 18.14 | 1 | -1.1670 % | 3,890.6 |
| Floater | 2.97 % | 3.00 % | 64,796 | 19.66 | 3 | -0.4885 % | 2,694.1 |
| OpRet | 4.61 % | -3.34 % | 78,550 | 0.08 | 3 | -0.0384 % | 2,665.4 |
| SplitShare | 4.89 % | 4.78 % | 70,529 | 4.54 | 5 | 0.0728 % | 2,994.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0384 % | 2,437.2 |
| Perpetual-Premium | 5.60 % | 4.50 % | 136,532 | 0.25 | 13 | -0.1839 % | 2,309.3 |
| Perpetual-Discount | 5.59 % | 5.59 % | 153,688 | 14.46 | 25 | -0.1259 % | 2,349.3 |
| FixedReset | 4.97 % | 3.40 % | 233,952 | 3.32 | 82 | -0.2402 % | 2,485.9 |
| Deemed-Retractible | 5.08 % | 4.09 % | 190,189 | 1.42 | 42 | -0.1507 % | 2,425.8 |
| FloatingReset | 2.64 % | 2.33 % | 329,848 | 4.44 | 5 | -0.0474 % | 2,465.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| ENB.PR.Y | FixedReset | -2.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-03 Maturity Price : 22.51 Evaluated at bid price : 23.50 Bid-YTW : 4.32 % |
| ENB.PR.H | FixedReset | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-03 Maturity Price : 22.57 Evaluated at bid price : 23.53 Bid-YTW : 4.11 % |
| TRP.PR.C | FixedReset | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-03 Maturity Price : 22.07 Evaluated at bid price : 22.32 Bid-YTW : 3.85 % |
| ENB.PR.D | FixedReset | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-03 Maturity Price : 22.94 Evaluated at bid price : 24.25 Bid-YTW : 4.16 % |
| HSE.PR.A | FixedReset | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-03 Maturity Price : 22.84 Evaluated at bid price : 23.52 Bid-YTW : 3.77 % |
| ENB.PR.B | FixedReset | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-03 Maturity Price : 23.12 Evaluated at bid price : 24.50 Bid-YTW : 4.14 % |
| ENB.PR.N | FixedReset | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-03 Maturity Price : 23.02 Evaluated at bid price : 24.61 Bid-YTW : 4.29 % |
| IGM.PR.B | Perpetual-Premium | -1.21 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.34 Bid-YTW : 5.75 % |
| PWF.PR.S | Perpetual-Discount | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-03 Maturity Price : 21.90 Evaluated at bid price : 22.25 Bid-YTW : 5.44 % |
| ENB.PR.F | FixedReset | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-03 Maturity Price : 22.96 Evaluated at bid price : 24.35 Bid-YTW : 4.25 % |
| BAM.PR.G | FixedFloater | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-03 Maturity Price : 22.41 Evaluated at bid price : 22.02 Bid-YTW : 3.60 % |
| ENB.PR.T | FixedReset | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-03 Maturity Price : 22.81 Evaluated at bid price : 24.14 Bid-YTW : 4.27 % |
| SLF.PR.E | Deemed-Retractible | -1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.61 Bid-YTW : 6.19 % |
| GWO.PR.R | Deemed-Retractible | -1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.63 Bid-YTW : 5.97 % |
| BAM.PF.C | Perpetual-Discount | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-03 Maturity Price : 19.67 Evaluated at bid price : 19.67 Bid-YTW : 6.29 % |
| TD.PR.O | Deemed-Retractible | 1.14 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-02 Maturity Price : 25.25 Evaluated at bid price : 25.65 Bid-YTW : -8.89 % |
| FTS.PR.K | FixedReset | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-03 Maturity Price : 22.98 Evaluated at bid price : 24.53 Bid-YTW : 3.84 % |
| RY.PR.T | FixedReset | 1.74 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.68 Bid-YTW : 2.70 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.I | FixedReset | 156,650 | Scotia crossed blocks of 40,000 and 110,000, both at 25.85. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 3.40 % |
| BMO.PR.N | FixedReset | 108,083 | Scotia crossed 74,100 at 25.27; Nesbitt crossed 29,300 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 2.58 % |
| RY.PR.L | FixedReset | 84,900 | Desjardins crossed 74,900 at 25.21. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.22 Bid-YTW : 2.32 % |
| TRP.PR.B | FixedReset | 76,719 | RBC crossed 35,000 at 20.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-03 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 3.83 % |
| PWF.PR.O | Perpetual-Premium | 55,361 | Scotia crossed 40,000 at 25.52. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : 5.66 % |
| ENB.PR.Y | FixedReset | 50,310 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-03 Maturity Price : 22.51 Evaluated at bid price : 23.50 Bid-YTW : 4.32 % |
| There were 56 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.C | Floater | Quote: 17.62 – 17.95 Spot Rate : 0.3300 Average : 0.2322 YTW SCENARIO |
| HSE.PR.A | FixedReset | Quote: 23.52 – 23.81 Spot Rate : 0.2900 Average : 0.1963 YTW SCENARIO |
| IAG.PR.F | Deemed-Retractible | Quote: 25.66 – 25.93 Spot Rate : 0.2700 Average : 0.1803 YTW SCENARIO |
| CIU.PR.A | Perpetual-Discount | Quote: 20.97 – 21.82 Spot Rate : 0.8500 Average : 0.7707 YTW SCENARIO |
| IGM.PR.B | Perpetual-Premium | Quote: 25.34 – 25.59 Spot Rate : 0.2500 Average : 0.1714 YTW SCENARIO |
| CU.PR.F | Perpetual-Discount | Quote: 20.70 – 21.00 Spot Rate : 0.3000 Average : 0.2277 YTW SCENARIO |