No commentary at all today … it’s PrefLetter week! I have been grateful for the response to my request for spreadsheet testers, but the more the merrier! I need comments prior to about 11:59pm Sunday, but the need is there until then.
Volume on the Canadian preferred share market eased off to merely above average levels, but prices took a beating, with PerpetualDiscounts down 25bp and FixedResets losing 20bp.
| 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 | 0.2876 % | 2,274.0 |
| FixedFloater | 4.73 % | 3.21 % | 28,829 | 19.02 | 1 | 0.0000 % | 3,557.5 |
| Floater | 2.62 % | 2.40 % | 54,547 | 21.24 | 4 | 0.2876 % | 2,455.3 |
| OpRet | 4.81 % | 3.47 % | 71,718 | 2.37 | 8 | -0.0529 % | 2,371.2 |
| SplitShare | 5.46 % | 0.72 % | 120,921 | 1.00 | 3 | 0.3017 % | 2,463.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0529 % | 2,168.2 |
| Perpetual-Premium | 5.70 % | 5.53 % | 152,546 | 5.43 | 27 | -0.0329 % | 2,010.4 |
| Perpetual-Discount | 5.38 % | 5.40 % | 280,094 | 14.77 | 51 | -0.2475 % | 2,022.4 |
| FixedReset | 5.25 % | 3.54 % | 367,935 | 3.12 | 52 | -0.2025 % | 2,252.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.J | OpRet | -1.59 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 26.61 Bid-YTW : 4.55 % |
| SLF.PR.A | Perpetual-Discount | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-09 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 5.60 % |
| CM.PR.K | FixedReset | -1.30 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 26.50 Bid-YTW : 3.74 % |
| TRP.PR.C | FixedReset | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-09 Maturity Price : 25.13 Evaluated at bid price : 25.18 Bid-YTW : 4.00 % |
| GWO.PR.H | Perpetual-Discount | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-09 Maturity Price : 22.60 Evaluated at bid price : 22.79 Bid-YTW : 5.32 % |
| IAG.PR.C | FixedReset | -1.08 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 26.45 Bid-YTW : 4.08 % |
| BAM.PR.K | Floater | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-09 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 2.94 % |
| CM.PR.M | FixedReset | 2.16 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 27.89 Bid-YTW : 3.40 % |
| BAM.PR.I | OpRet | 2.34 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2011-01-08 Maturity Price : 25.50 Evaluated at bid price : 25.85 Bid-YTW : 1.13 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.B | Perpetual-Discount | 98,407 | Nesbitt crossed three blocks, each of 25,000 at 20.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-09 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 5.66 % |
| FTS.PR.H | FixedReset | 90,961 | Nesbitt crossed 80,000 at 25.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-09 Maturity Price : 25.30 Evaluated at bid price : 25.35 Bid-YTW : 3.83 % |
| NA.PR.N | FixedReset | 80,990 | Desjadins crossed blocks of 50,000 and 27,900, both at 26.40. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-09-14 Maturity Price : 25.00 Evaluated at bid price : 26.36 Bid-YTW : 3.37 % |
| BNS.PR.P | FixedReset | 57,143 | Nesbitt crossed 38,500 at 26.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.88 Bid-YTW : 3.70 % |
| BNS.PR.K | Perpetual-Discount | 55,840 | Nesbitt bought 10,000 from RBC at 23,50, then crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-09 Maturity Price : 23.15 Evaluated at bid price : 23.39 Bid-YTW : 5.19 % |
| PWF.PR.K | Perpetual-Discount | 55,573 | Nesbitt crossed 50,000 at 23.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-12-09 Maturity Price : 22.80 Evaluated at bid price : 23.00 Bid-YTW : 5.44 % |
| There were 40 other index-included issues trading in excess of 10,000 shares. | |||