The preferred share market continued to ease off in an orderly fashion today, with PerpetualDiscounts down 17bp and FixedResets losing 9bp. All the volume action was in FixedResets but unfortunately I cannot provide any details of the blocks since the Financial Post is reporting last Thursday’s news (as of 8:24pm, anyway).
The DC FixedReset 6.75%+410 new issue closes tomorrow – it will be most interesting to see what happens to the price.
| 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 | -0.2369 % | 1,455.9 |
| FixedFloater | 5.75 % | 4.01 % | 57,041 | 18.57 | 1 | 0.0000 % | 2,669.0 |
| Floater | 2.52 % | 2.10 % | 31,066 | 22.18 | 4 | -0.2369 % | 1,818.8 |
| OpRet | 4.87 % | -12.14 % | 135,910 | 0.09 | 15 | -0.0026 % | 2,284.8 |
| SplitShare | 6.40 % | 6.47 % | 999,214 | 4.05 | 2 | 1.1389 % | 2,065.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0026 % | 2,089.2 |
| Perpetual-Premium | 5.77 % | 5.51 % | 149,002 | 2.56 | 12 | 0.0396 % | 1,879.1 |
| Perpetual-Discount | 5.72 % | 5.76 % | 197,689 | 14.21 | 59 | -0.1725 % | 1,796.8 |
| FixedReset | 5.49 % | 4.04 % | 463,933 | 4.08 | 40 | -0.0913 % | 2,108.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| ELF.PR.G | Perpetual-Discount | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-14 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.37 % |
| ELF.PR.F | Perpetual-Discount | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-14 Maturity Price : 20.92 Evaluated at bid price : 20.92 Bid-YTW : 6.46 % |
| W.PR.J | Perpetual-Discount | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-14 Maturity Price : 23.49 Evaluated at bid price : 23.76 Bid-YTW : 5.99 % |
| SLF.PR.B | Perpetual-Discount | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-14 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 5.93 % |
| MFC.PR.C | Perpetual-Discount | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-14 Maturity Price : 19.68 Evaluated at bid price : 19.68 Bid-YTW : 5.75 % |
| RY.PR.G | Perpetual-Discount | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-14 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 5.54 % |
| PWF.PR.E | Perpetual-Discount | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-14 Maturity Price : 22.91 Evaluated at bid price : 23.99 Bid-YTW : 5.76 % |
| NA.PR.K | Perpetual-Premium | 1.09 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 5.85 % |
| TCA.PR.Y | Perpetual-Discount | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-14 Maturity Price : 46.11 Evaluated at bid price : 49.20 Bid-YTW : 5.70 % |
| BNA.PR.D | SplitShare | 1.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-07-09 Maturity Price : 25.00 Evaluated at bid price : 25.89 Bid-YTW : 6.47 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CIU.PR.B | FixedReset | 205,500 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-01 Maturity Price : 25.00 Evaluated at bid price : 27.91 Bid-YTW : 4.12 % |
| TRI.PR.B | Floater | 67,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-14 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 2.10 % |
| RY.PR.N | FixedReset | 42,890 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.72 Bid-YTW : 3.73 % |
| MFC.PR.E | FixedReset | 34,620 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 26.57 Bid-YTW : 4.23 % |
| RY.PR.Y | FixedReset | 32,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-24 Maturity Price : 25.00 Evaluated at bid price : 27.61 Bid-YTW : 4.01 % |
| BNS.PR.T | FixedReset | 31,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 27.81 Bid-YTW : 3.84 % |
| There were 42 other index-included issues trading in excess of 10,000 shares. | |||