It was another positive day for the Canadian preferred share market, with PerpetualPremiums up 9bp, FixedResets gaining 9bp and DeemedRetractibles winning 33bp. PerpetualDiscounts – all four of them! – shot up 69bp to decrease the Bozo Spread (Current Yield PerpetualDiscounts less Current Yield FixedResets) to zero again. Not much volatility. Volume was 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 | -0.0176 % | 2,409.8 |
FixedFloater | 4.59 % | 3.97 % | 38,515 | 17.37 | 1 | 0.2421 % | 3,397.7 |
Floater | 2.77 % | 3.03 % | 56,569 | 19.59 | 3 | -0.0176 % | 2,601.9 |
OpRet | 4.89 % | 3.18 % | 58,382 | 1.29 | 6 | -0.2362 % | 2,500.6 |
SplitShare | 5.29 % | -0.91 % | 85,054 | 0.79 | 4 | -0.1991 % | 2,673.2 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2362 % | 2,286.6 |
Perpetual-Premium | 5.38 % | 0.88 % | 111,557 | 0.18 | 27 | 0.0872 % | 2,205.0 |
Perpetual-Discount | 5.05 % | 4.93 % | 199,317 | 15.51 | 4 | 0.6871 % | 2,446.2 |
FixedReset | 5.05 % | 2.85 % | 207,796 | 2.32 | 66 | 0.0945 % | 2,380.8 |
Deemed-Retractible | 4.94 % | 3.82 % | 244,017 | 2.81 | 46 | 0.3297 % | 2,298.7 |
Performance Highlights | |||
Issue | Index | Change | Notes |
POW.PR.D | Perpetual-Premium | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-02-24 Maturity Price : 24.35 Evaluated at bid price : 24.87 Bid-YTW : 5.06 % |
RY.PR.W | Perpetual-Premium | 1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-03-25 Maturity Price : 25.50 Evaluated at bid price : 25.75 Bid-YTW : -6.96 % |
ELF.PR.F | Perpetual-Discount | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-02-24 Maturity Price : 24.62 Evaluated at bid price : 24.86 Bid-YTW : 5.39 % |
GWO.PR.I | Deemed-Retractible | 1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.61 Bid-YTW : 5.35 % |
GWO.PR.H | Deemed-Retractible | 1.43 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 5.10 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
PWF.PR.R | Perpetual-Premium | 212,410 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 5.31 % |
MFC.PR.H | FixedReset | 135,321 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 4.54 % |
MFC.PR.A | OpRet | 105,622 | Desjardins crossed blocks of 50,000 and 34,000, both at 25.40. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 25.43 Bid-YTW : 3.55 % |
GWO.PR.P | Deemed-Retractible | 103,101 | Recent new issue. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 5.20 % |
CM.PR.J | Deemed-Retractible | 59,237 | TD crossed 50,000 at 26.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-04-30 Maturity Price : 25.25 Evaluated at bid price : 26.00 Bid-YTW : 3.57 % |
RY.PR.L | FixedReset | 52,790 | Desjardins bought 38,500 from CIBC at 26.30. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 26.35 Bid-YTW : 2.83 % |
There were 30 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
CIU.PR.A | Perpetual-Premium | Quote: 24.71 – 25.08 Spot Rate : 0.3700 Average : 0.2383 YTW SCENARIO |
GWO.PR.M | Deemed-Retractible | Quote: 26.21 – 26.60 Spot Rate : 0.3900 Average : 0.2852 YTW SCENARIO |
BAM.PR.T | FixedReset | Quote: 25.39 – 25.74 Spot Rate : 0.3500 Average : 0.2540 YTW SCENARIO |
SLF.PR.G | FixedReset | Quote: 23.10 – 23.50 Spot Rate : 0.4000 Average : 0.3057 YTW SCENARIO |
RY.PR.F | Deemed-Retractible | Quote: 25.56 – 25.80 Spot Rate : 0.2400 Average : 0.1614 YTW SCENARIO |
BAM.PR.H | OpRet | Quote: 25.27 – 25.45 Spot Rate : 0.1800 Average : 0.1180 YTW SCENARIO |