Nothing happened today, folks!
It was a good day for the Canadian preferred share market, with PerpetualDiscounts winning 27bp, FixedResets gaining 13bp and DeemedRetractibles up 8bp. Volatility was high, with SLF issues getting whacked – again. SLF Straights are down between 1.3% and 2.75% on the month to date, while the FixedResetDiscounts have been hammered, down between 4.9% and 6.2%. Only SLF.PR.G SLF.PR.F, a FixedResetPremium, has done well, up 1.91%. Floating Rate issues did well, probably on inflation fears. Volume was on the light side of average.
| 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 | 1.7729 % | 2,039.2 |
| FixedFloater | 4.86 % | 4.61 % | 37,558 | 17.08 | 1 | 1.4545 % | 3,168.1 |
| Floater | 3.27 % | 3.60 % | 69,539 | 18.30 | 3 | 1.7729 % | 2,201.8 |
| OpRet | 4.95 % | 2.16 % | 65,187 | 1.40 | 6 | -0.1162 % | 2,468.6 |
| SplitShare | 5.52 % | 2.65 % | 73,668 | 0.96 | 4 | -0.0676 % | 2,535.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1162 % | 2,257.3 |
| Perpetual-Premium | 5.48 % | 2.73 % | 92,204 | 0.09 | 18 | 0.2076 % | 2,175.8 |
| Perpetual-Discount | 5.21 % | 5.19 % | 107,690 | 15.06 | 12 | 0.2686 % | 2,324.4 |
| FixedReset | 5.11 % | 2.95 % | 222,696 | 2.54 | 64 | 0.1312 % | 2,340.7 |
| Deemed-Retractible | 5.03 % | 3.83 % | 194,091 | 2.71 | 46 | 0.0766 % | 2,229.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.A | Deemed-Retractible | -1.48 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.31 Bid-YTW : 6.81 % |
| SLF.PR.E | Deemed-Retractible | -1.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 7.04 % |
| SLF.PR.B | Deemed-Retractible | -1.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.65 Bid-YTW : 6.66 % |
| BNA.PR.E | SplitShare | -1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 7.05 % |
| FTS.PR.E | OpRet | -1.04 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-06-01 Maturity Price : 25.75 Evaluated at bid price : 26.77 Bid-YTW : 2.16 % |
| SLF.PR.C | Deemed-Retractible | -1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.35 Bid-YTW : 7.07 % |
| BAM.PR.T | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-20 Maturity Price : 23.16 Evaluated at bid price : 25.06 Bid-YTW : 3.61 % |
| BAM.PR.X | FixedReset | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-20 Maturity Price : 23.01 Evaluated at bid price : 24.65 Bid-YTW : 3.33 % |
| TCA.PR.X | Perpetual-Premium | 1.20 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-10-15 Maturity Price : 50.00 Evaluated at bid price : 52.93 Bid-YTW : 2.73 % |
| MFC.PR.C | Deemed-Retractible | 1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.48 Bid-YTW : 7.07 % |
| PWF.PR.A | Floater | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-20 Maturity Price : 19.29 Evaluated at bid price : 19.29 Bid-YTW : 2.74 % |
| BAM.PR.G | FixedFloater | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-20 Maturity Price : 25.00 Evaluated at bid price : 19.53 Bid-YTW : 4.61 % |
| BAM.PR.K | Floater | 1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-20 Maturity Price : 14.37 Evaluated at bid price : 14.37 Bid-YTW : 3.65 % |
| BAM.PR.B | Floater | 2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-20 Maturity Price : 14.56 Evaluated at bid price : 14.56 Bid-YTW : 3.60 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.D | FixedReset | 143,950 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-20 Maturity Price : 23.18 Evaluated at bid price : 25.25 Bid-YTW : 3.53 % |
| MFC.PR.G | FixedReset | 80,900 | Recent pre-Christmas special. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 4.94 % |
| BNS.PR.Z | FixedReset | 74,153 | Nesbitt bought three blocks from RBC, of 14,900 shares, 10,100 and 34,600, all at 25.05. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 3.11 % |
| RY.PR.P | FixedReset | 55,368 | TD Crossed 50,000 at 26.99. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 26.90 Bid-YTW : 2.86 % |
| CM.PR.I | Deemed-Retractible | 51,826 | Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-01-31 Maturity Price : 26.00 Evaluated at bid price : 26.20 Bid-YTW : 3.20 % |
| HSE.PR.A | FixedReset | 33,077 | RBC crossed 20,000 at 25.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-20 Maturity Price : 23.36 Evaluated at bid price : 25.44 Bid-YTW : 3.00 % |
| There were 29 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| HSB.PR.C | Deemed-Retractible | Quote: 25.13 – 25.75 Spot Rate : 0.6200 Average : 0.4061 YTW SCENARIO |
| FTS.PR.E | OpRet | Quote: 26.77 – 27.25 Spot Rate : 0.4800 Average : 0.3378 YTW SCENARIO |
| CIU.PR.B | FixedReset | Quote: 27.26 – 27.80 Spot Rate : 0.5400 Average : 0.4453 YTW SCENARIO |
| MFC.PR.B | Deemed-Retractible | Quote: 20.43 – 20.77 Spot Rate : 0.3400 Average : 0.2542 YTW SCENARIO |
| BAM.PR.G | FixedFloater | Quote: 19.53 – 19.89 Spot Rate : 0.3600 Average : 0.2753 YTW SCENARIO |
| MFC.PR.F | FixedReset | Quote: 23.15 – 23.46 Spot Rate : 0.3100 Average : 0.2340 YTW SCENARIO |
Hi James, I think you must mean the SLF.PR.F is the outlier in performance for the month not SLF.PR.G. The entire group of SLF issues looks over-sold and cheap to me, especially if the equity market can hold the recent gains…
I think you must mean the SLF.PR.F is the outlier
Quite right, I’ve fixed it.
Does this mean I now get two pref letters?