Nothing happened today.
Another hot day for the Canadian preferred share market, with PerpetualDiscounts winning 53bp, while both FixedResets and DeemedRetractibles were up 25bp. Volume was abysmally low.
| 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 | 1.1029 % | 2,523.5 |
| FixedFloater | 4.57 % | 3.86 % | 36,865 | 17.61 | 1 | 0.7752 % | 3,675.1 |
| Floater | 2.96 % | 2.95 % | 61,291 | 19.83 | 3 | 1.1029 % | 2,724.7 |
| OpRet | 4.64 % | 2.16 % | 80,170 | 0.41 | 3 | 0.0129 % | 2,660.9 |
| SplitShare | 4.85 % | 4.65 % | 72,756 | 4.46 | 5 | 0.0803 % | 3,021.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0129 % | 2,433.1 |
| Perpetual-Premium | 5.63 % | 5.42 % | 130,024 | 4.15 | 13 | 0.0966 % | 2,312.4 |
| Perpetual-Discount | 5.66 % | 5.68 % | 182,724 | 14.41 | 25 | 0.5325 % | 2,339.8 |
| FixedReset | 4.97 % | 3.51 % | 222,883 | 3.42 | 84 | 0.2523 % | 2,473.1 |
| Deemed-Retractible | 5.14 % | 4.24 % | 184,609 | 1.34 | 42 | 0.2464 % | 2,397.6 |
| FloatingReset | 2.61 % | 2.35 % | 254,860 | 4.36 | 5 | 0.0316 % | 2,468.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.P | Deemed-Retractible | -1.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.71 Bid-YTW : 6.09 % |
| HSB.PR.D | Deemed-Retractible | 1.00 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 3.99 % |
| IAG.PR.A | Deemed-Retractible | 1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.74 Bid-YTW : 6.29 % |
| GWO.PR.H | Deemed-Retractible | 1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.10 Bid-YTW : 6.36 % |
| BNS.PR.K | Deemed-Retractible | 1.15 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-28 Maturity Price : 25.00 Evaluated at bid price : 25.42 Bid-YTW : 2.00 % |
| BAM.PR.B | Floater | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-31 Maturity Price : 17.78 Evaluated at bid price : 17.78 Bid-YTW : 2.95 % |
| BAM.PR.T | FixedReset | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-31 Maturity Price : 22.99 Evaluated at bid price : 24.10 Bid-YTW : 4.41 % |
| BAM.PR.K | Floater | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-31 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 2.95 % |
| CU.PR.F | Perpetual-Discount | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-31 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 5.40 % |
| BAM.PF.D | Perpetual-Discount | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-31 Maturity Price : 19.79 Evaluated at bid price : 19.79 Bid-YTW : 6.24 % |
| FTS.PR.F | Perpetual-Discount | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-31 Maturity Price : 22.12 Evaluated at bid price : 22.40 Bid-YTW : 5.52 % |
| GWO.PR.J | FixedReset | 2.04 % | Rather a silly entry. It’s been called for redemption and no shares traded today. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : -17.33 % |
| BAM.PR.X | FixedReset | 2.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-31 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 4.68 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.T | FixedReset | 81,695 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.39 Bid-YTW : 3.93 % |
| TD.PR.T | FloatingReset | 17,200 | Nesbitt crossed 16,000 at 25.17. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 2.35 % |
| CU.PR.G | Perpetual-Discount | 14,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-31 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 5.42 % |
| ENB.PR.Y | FixedReset | 11,350 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-31 Maturity Price : 22.21 Evaluated at bid price : 22.94 Bid-YTW : 4.61 % |
| GWO.PR.F | Deemed-Retractible | 11,156 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.08 Bid-YTW : 2.01 % |
| BNS.PR.R | FixedReset | 10,819 | has been extended. Will reset at 3.83%. Yield to Deemed Maturity is 3.78%. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.33 Bid-YTW : -0.22 % |
| There were 0 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.A | FixedReset | Quote: 25.20 – 25.67 Spot Rate : 0.4700 Average : 0.3009 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 21.03 – 21.49 Spot Rate : 0.4600 Average : 0.3190 YTW SCENARIO |
| GWO.PR.P | Deemed-Retractible | Quote: 23.71 – 24.13 Spot Rate : 0.4200 Average : 0.2908 YTW SCENARIO |
| SLF.PR.I | FixedReset | Quote: 25.81 – 26.15 Spot Rate : 0.3400 Average : 0.2211 YTW SCENARIO |
| TD.PR.G | FixedReset | Quote: 25.61 – 25.95 Spot Rate : 0.3400 Average : 0.2436 YTW SCENARIO |
| TRP.PR.B | FixedReset | Quote: 20.38 – 20.62 Spot Rate : 0.2400 Average : 0.1516 YTW SCENARIO |
Hi James:
Thank you for working so hard on our behalf late New Year’s Eve. I really appreciate your long term commitment to maintaining your fount of very useful information and opinion about Pref shares.
While you are considering annual returns for 2013, it also strikes me as a great time to do a 10-year returns from the various Pref share sub-indices (if you have all the data for some of the types like perpetuals and fixed/floaters).
The reason why this is a good year to do this is that the 10-year cycle covers a nice sweep through one (very big) economic cycle. With equities having huge gains this year (e.g. S&P-500 up 41.5% in C$ terms) and Discount Prefs down 11.4%, it would be nice to know how things look from a longer term perspective. Can you help us bear criticism from friends and colleagues for loving Pref shares through 2013?
Keep up the fine work and all the best in 2014!