Nothing happened today.
It was a poor day for the Canadian preferred share market, with PerpetualDiscounts down 20bp, FixedResets gaining 6bp and DeemedRetractibles off 19bp; the FixedReset figure is affected by a reversal of yesterday’s nonsense with FTS.PR.K; the ridiculous gain computed from Toronto Stock Exchange data was worth a little in excess of 20bp to the FixedReset subindex – account for that and relative figures are more reasonable. Volatility was fairly high with BAM issues notable amongst the losers. Volume was high.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| 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 | -0.8268 % | 2,533.0 |
| FixedFloater | 4.29 % | 3.60 % | 31,436 | 18.09 | 1 | -4.0693 % | 3,873.4 |
| Floater | 2.67 % | 2.87 % | 64,312 | 20.04 | 5 | -0.8268 % | 2,734.9 |
| OpRet | 4.62 % | 1.63 % | 67,809 | 0.50 | 3 | -0.1794 % | 2,640.5 |
| SplitShare | 4.75 % | 4.63 % | 59,894 | 4.05 | 6 | 0.0890 % | 2,953.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1794 % | 2,414.5 |
| Perpetual-Premium | 5.89 % | -0.13 % | 109,647 | 0.08 | 2 | 0.1770 % | 2,268.6 |
| Perpetual-Discount | 5.55 % | 5.53 % | 146,108 | 14.27 | 36 | -0.2003 % | 2,351.8 |
| FixedReset | 4.93 % | 3.71 % | 243,057 | 3.66 | 85 | 0.0634 % | 2,456.0 |
| Deemed-Retractible | 5.11 % | 4.47 % | 197,947 | 3.03 | 43 | -0.1887 % | 2,381.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.G | FixedFloater | -4.07 % | Not real – just more bullshit from Bullshit Central. This issue traded 800 shares today in two trades, both at 23.10, which happens to be yesterday’s last bid. The last quote was 22.16-00, 1×5. Since the last offer is below the trades, one may infer that there is some real weakness, but it’s hard to tell how much. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-09-26 Maturity Price : 22.53 Evaluated at bid price : 22.16 Bid-YTW : 3.60 % |
| BNS.PR.Y | FixedReset | -1.53 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 3.91 % |
| SLF.PR.G | FixedReset | -1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.11 Bid-YTW : 4.42 % |
| BAM.PR.M | Perpetual-Discount | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-09-26 Maturity Price : 20.06 Evaluated at bid price : 20.06 Bid-YTW : 5.96 % |
| BAM.PR.N | Perpetual-Discount | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-09-26 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 5.96 % |
| CIU.PR.A | Perpetual-Discount | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-09-26 Maturity Price : 21.52 Evaluated at bid price : 21.52 Bid-YTW : 5.40 % |
| BAM.PR.K | Floater | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-09-26 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 2.91 % |
| BNS.PR.Z | FixedReset | -1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.78 Bid-YTW : 4.24 % |
| HSE.PR.A | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-09-26 Maturity Price : 22.65 Evaluated at bid price : 23.25 Bid-YTW : 4.08 % |
| PWF.PR.A | Floater | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-09-26 Maturity Price : 22.78 Evaluated at bid price : 23.06 Bid-YTW : 2.26 % |
| FTS.PR.J | Perpetual-Discount | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-09-26 Maturity Price : 22.63 Evaluated at bid price : 23.00 Bid-YTW : 5.20 % |
| TCA.PR.X | Perpetual-Discount | 1.39 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-11-14 Maturity Price : 50.00 Evaluated at bid price : 50.53 Bid-YTW : -6.05 % |
| FTS.PR.K | FixedReset | 19.39 % | Not real. Just a reversal of yesterday’s nonsense. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-09-26 Maturity Price : 22.84 Evaluated at bid price : 24.20 Bid-YTW : 4.10 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.S | Perpetual-Discount | 105,876 | TD crossed 10,000 at 22.71; Desjardins crossed 78,000 at 22.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-09-26 Maturity Price : 22.26 Evaluated at bid price : 22.55 Bid-YTW : 5.39 % |
| BNS.PR.Q | FixedReset | 94,084 | To be extended or converted. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 3.74 % |
| BAM.PR.T | FixedReset | 57,144 | TD crossed 55,000 at 24.22. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-09-26 Maturity Price : 22.97 Evaluated at bid price : 24.13 Bid-YTW : 4.43 % |
| GWO.PR.J | FixedReset | 55,800 | Nesbitt crossed 50,000 at 25.12. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.11 Bid-YTW : 4.10 % |
| SLF.PR.A | Deemed-Retractible | 54,942 | Scotia crossed blocks of 25,000 and 24,700, both at 22.65. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.52 Bid-YTW : 6.00 % |
| MFC.PR.A | OpRet | 52,578 | TD crossed 50,000 at 25.55. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-19 Maturity Price : 25.25 Evaluated at bid price : 25.51 Bid-YTW : 2.77 % |
| There were 51 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.G | FixedFloater | Quote: 22.16 – 23.00 Spot Rate : 0.8400 Average : 0.6017 YTW SCENARIO |
| PWF.PR.A | Floater | Quote: 23.06 – 23.97 Spot Rate : 0.9100 Average : 0.6735 YTW SCENARIO |
| RY.PR.F | Deemed-Retractible | Quote: 25.10 – 25.46 Spot Rate : 0.3600 Average : 0.2200 YTW SCENARIO |
| VNR.PR.A | FixedReset | Quote: 25.15 – 25.56 Spot Rate : 0.4100 Average : 0.2788 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 22.19 – 22.74 Spot Rate : 0.5500 Average : 0.4253 YTW SCENARIO |
| BNS.PR.Y | FixedReset | Quote: 23.85 – 24.15 Spot Rate : 0.3000 Average : 0.1982 YTW SCENARIO |