The Canadian preferred share market closed the month on a gloomy note.
TXPR closed at 612.80, down 0.53% on the day. Volume was 1.95-million, below average in the context of the past thirty days, especially if you don’t consider trading days with holiday-related slowness. That makes the price index down 0.45% on the month, while the total return version managed to eke out a 0.06% gain.
CPD closed at 12.27, down 0.20% on the day. Volume of 66,531 was a little above the median of the past 30 days.
ZPR closed at 9.81, down 0.30% on the day. Volume of 367,859 was third-highest of the past 30 days, behind only January 27 and January 24.
Five-year Canada yields were down 8bp to 1.28% today, a far cry from the December 31 figure of 1.69%. What a difference a month – and a dovish Bank of Canada statement – makes!
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 | -0.5970 % | 2,062.7 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5970 % | 3,785.0 |
Floater | 5.93 % | 6.08 % | 46,997 | 13.75 | 4 | -0.5970 % | 2,181.3 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 3,462.3 |
SplitShare | 4.75 % | 4.19 % | 34,575 | 3.71 | 6 | 0.0000 % | 4,134.7 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 3,226.1 |
Perpetual-Premium | 5.58 % | 0.93 % | 59,773 | 0.09 | 11 | 0.0108 % | 3,064.1 |
Perpetual-Discount | 5.23 % | 5.32 % | 71,460 | 14.91 | 24 | 0.0415 % | 3,326.9 |
FixedReset Disc | 5.51 % | 5.38 % | 194,956 | 14.84 | 64 | -0.4255 % | 2,170.0 |
Deemed-Retractible | 5.13 % | 5.24 % | 70,123 | 14.86 | 27 | -0.1270 % | 3,258.1 |
FloatingReset | 6.01 % | 5.93 % | 68,974 | 13.99 | 3 | 0.1222 % | 2,537.6 |
FixedReset Prem | 5.09 % | 3.66 % | 129,794 | 1.48 | 22 | -0.0740 % | 2,651.3 |
FixedReset Bank Non | 1.93 % | 3.54 % | 75,402 | 1.95 | 3 | 0.0446 % | 2,745.0 |
FixedReset Ins Non | 5.35 % | 5.34 % | 122,192 | 14.75 | 22 | -0.2414 % | 2,194.0 |
Performance Highlights | |||
Issue | Index | Change | Notes |
IFC.PR.C | FixedReset Ins Non | -2.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 5.65 % |
RY.PR.H | FixedReset Disc | -2.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 17.59 Evaluated at bid price : 17.59 Bid-YTW : 5.14 % |
PWF.PR.P | FixedReset Disc | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 13.22 Evaluated at bid price : 13.22 Bid-YTW : 5.52 % |
BIP.PR.A | FixedReset Disc | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.07 % |
EMA.PR.C | FixedReset Disc | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 5.75 % |
GWO.PR.G | Deemed-Retractible | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 24.23 Evaluated at bid price : 24.52 Bid-YTW : 5.35 % |
TD.PF.D | FixedReset Disc | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 5.33 % |
BAM.PR.K | Floater | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 11.43 Evaluated at bid price : 11.43 Bid-YTW : 6.13 % |
NA.PR.S | FixedReset Disc | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 5.44 % |
BMO.PR.S | FixedReset Disc | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 5.24 % |
BAM.PR.X | FixedReset Disc | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 13.46 Evaluated at bid price : 13.46 Bid-YTW : 5.78 % |
MFC.PR.H | FixedReset Ins Non | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.42 % |
TD.PF.C | FixedReset Disc | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 5.16 % |
BMO.PR.D | FixedReset Disc | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.23 % |
BMO.PR.Y | FixedReset Disc | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 5.38 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
TD.PF.A | FixedReset Disc | 184,963 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 17.24 Evaluated at bid price : 17.24 Bid-YTW : 5.25 % |
RY.PR.H | FixedReset Disc | 85,023 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 17.59 Evaluated at bid price : 17.59 Bid-YTW : 5.14 % |
TRP.PR.J | FixedReset Prem | 48,869 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.76 Bid-YTW : 3.88 % |
BNS.PR.Z | FixedReset Bank Non | 45,440 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.44 Bid-YTW : 3.55 % |
TD.PF.B | FixedReset Disc | 36,330 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 17.27 Evaluated at bid price : 17.27 Bid-YTW : 5.28 % |
CM.PR.Q | FixedReset Disc | 34,248 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-31 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 5.54 % |
There were 21 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
IFC.PR.C | FixedReset Ins Non | Quote: 17.60 – 18.44 Spot Rate : 0.8400 Average : 0.5641 YTW SCENARIO |
GWO.PR.G | Deemed-Retractible | Quote: 24.52 – 24.90 Spot Rate : 0.3800 Average : 0.2412 YTW SCENARIO |
RY.PR.F | Deemed-Retractible | Quote: 25.25 – 25.51 Spot Rate : 0.2600 Average : 0.1532 YTW SCENARIO |
PVS.PR.F | SplitShare | Quote: 25.70 – 25.99 Spot Rate : 0.2900 Average : 0.1856 YTW SCENARIO |
BAM.PR.X | FixedReset Disc | Quote: 13.46 – 13.85 Spot Rate : 0.3900 Average : 0.2887 YTW SCENARIO |
BAM.PR.C | Floater | Quote: 11.51 – 11.79 Spot Rate : 0.2800 Average : 0.1863 YTW SCENARIO |