First day of Spring! I was too busy planning the sacred rites that will help my garden grow to pay much attention to the news. Sorry!
The Canadian preferred share market got knocked down today, with PerpetualPremiums down 13bp, FixedResets losing 32bp and DeemedRetractibls off 19bp. The Performance Highlights table was appropriately long and uniformly negative, with BAM and SLF issues conspicuous amongst the losers. Volume leapt upwards, to above average levels.
| 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 | -2.2334 % | 2,408.0 |
| FixedFloater | 4.56 % | 3.95 % | 38,350 | 17.35 | 1 | -0.4304 % | 3,417.4 |
| Floater | 3.00 % | 2.98 % | 47,664 | 19.77 | 3 | -2.2334 % | 2,600.0 |
| OpRet | 4.95 % | 3.44 % | 51,875 | 1.93 | 6 | -0.6044 % | 2,489.3 |
| SplitShare | 5.28 % | -3.80 % | 84,501 | 0.74 | 4 | -0.1940 % | 2,675.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6044 % | 2,276.2 |
| Perpetual-Premium | 5.41 % | 0.38 % | 99,801 | 0.12 | 25 | -0.1293 % | 2,212.2 |
| Perpetual-Discount | 5.12 % | 5.10 % | 188,892 | 15.24 | 7 | -0.3011 % | 2,413.7 |
| FixedReset | 5.06 % | 3.14 % | 193,208 | 2.21 | 67 | -0.3151 % | 2,377.7 |
| Deemed-Retractible | 4.96 % | 3.98 % | 212,798 | 3.09 | 46 | -0.1853 % | 2,297.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.C | Floater | -2.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-20 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 3.01 % |
| BAM.PR.B | Floater | -2.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-20 Maturity Price : 17.57 Evaluated at bid price : 17.57 Bid-YTW : 2.98 % |
| BAM.PR.K | Floater | -1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-20 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 2.98 % |
| SLF.PR.E | Deemed-Retractible | -1.56 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.69 Bid-YTW : 5.75 % |
| SLF.PR.C | Deemed-Retractible | -1.53 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 5.81 % |
| BAM.PR.M | Perpetual-Discount | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-20 Maturity Price : 22.84 Evaluated at bid price : 23.28 Bid-YTW : 5.10 % |
| BAM.PR.P | FixedReset | -1.48 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-30 Maturity Price : 25.00 Evaluated at bid price : 26.55 Bid-YTW : 4.33 % |
| FTS.PR.E | OpRet | -1.40 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2016-08-31 Maturity Price : 25.00 Evaluated at bid price : 26.03 Bid-YTW : 3.97 % |
| NA.PR.P | FixedReset | -1.29 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-15 Maturity Price : 25.00 Evaluated at bid price : 26.81 Bid-YTW : 3.03 % |
| SLF.PR.D | Deemed-Retractible | -1.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.58 Bid-YTW : 5.76 % |
| BMO.PR.Q | FixedReset | -1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 3.08 % |
| BNA.PR.E | SplitShare | -1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 5.41 % |
| HSB.PR.D | Deemed-Retractible | -1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 4.89 % |
| BAM.PR.Z | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.42 Bid-YTW : 4.46 % |
| BNS.PR.R | FixedReset | -1.03 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-26 Maturity Price : 25.00 Evaluated at bid price : 25.97 Bid-YTW : 3.22 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.F | FixedReset | 191,679 | Desjardins crossed 38,600 at 25.45. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 3.93 % |
| BAM.PF.A | FixedReset | 172,710 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-20 Maturity Price : 23.07 Evaluated at bid price : 24.93 Bid-YTW : 4.46 % |
| TD.PR.S | FixedReset | 91,983 | Desjardins crossed blocks of 45,000 and 44,900 shares, both at 26.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.91 Bid-YTW : 2.79 % |
| FTS.PR.F | Perpetual-Premium | 90,150 | Desjardins crossed blocks of 21,900 at 25.40 and 57,000 at 25.43. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-01 Maturity Price : 25.25 Evaluated at bid price : 25.36 Bid-YTW : 4.80 % |
| NA.PR.K | Deemed-Retractible | 57,723 | RBC crossed 23,400 at 25.57; Desjardins crossed 20,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-05-15 Maturity Price : 25.00 Evaluated at bid price : 25.52 Bid-YTW : -4.05 % |
| CM.PR.J | Deemed-Retractible | 48,582 | CIBC crossed 12,000 at 26.23. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-04-30 Maturity Price : 26.00 Evaluated at bid price : 26.23 Bid-YTW : 1.71 % |
| There were 42 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| FTS.PR.E | OpRet | Quote: 26.03 – 26.74 Spot Rate : 0.7100 Average : 0.4565 YTW SCENARIO |
| SLF.PR.H | FixedReset | Quote: 24.00 – 24.32 Spot Rate : 0.3200 Average : 0.2199 YTW SCENARIO |
| RY.PR.C | Deemed-Retractible | Quote: 25.56 – 25.85 Spot Rate : 0.2900 Average : 0.1998 YTW SCENARIO |
| BAM.PR.C | Floater | Quote: 17.40 – 17.70 Spot Rate : 0.3000 Average : 0.2276 YTW SCENARIO |
| NA.PR.O | FixedReset | Quote: 26.91 – 27.14 Spot Rate : 0.2300 Average : 0.1659 YTW SCENARIO |
| RY.PR.B | Deemed-Retractible | Quote: 25.70 – 25.89 Spot Rate : 0.1900 Average : 0.1275 YTW SCENARIO |