Today’s excuse for the lack of commentary is month-end. Good enough?
It is interesting to note that TXPR and TXPL were down 38bp and 40bp, respectively, according to the Toronto exchange. These large moves are not consistent with what I am seeing in my bid-based, investment-grade indices. I will be fascinated to learn if the apparent ZPR tracking error, discussed in my review of November’s MAPF performance, is confirmed; my nickel is on the scenario that it will be, that their tracking error for early December is normal, and that TXPR and TXPL reverse their late November blip. But only a nickel!
It was a negative day for the Canadian preferred share market, with PerpetualDiscounts losing 24bp, FixedResets down 7bp and DeemedRetractibles off 6bp. Volatility was average, skewed to the downside. Volume was above average.
| 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 | -0.9308 % | 2,507.4 |
| FixedFloater | 4.26 % | 3.55 % | 36,259 | 18.24 | 1 | 0.0898 % | 3,936.6 |
| Floater | 2.96 % | 2.98 % | 64,869 | 19.71 | 3 | -0.9308 % | 2,707.3 |
| OpRet | 4.61 % | -3.47 % | 79,014 | 0.08 | 3 | 0.0641 % | 2,666.4 |
| SplitShare | 4.89 % | 4.81 % | 71,019 | 4.54 | 5 | 0.0728 % | 2,992.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0641 % | 2,438.2 |
| Perpetual-Premium | 5.59 % | 0.81 % | 128,894 | 0.09 | 13 | 0.0091 % | 2,313.5 |
| Perpetual-Discount | 5.59 % | 5.55 % | 154,947 | 14.52 | 25 | -0.2406 % | 2,352.2 |
| FixedReset | 4.96 % | 3.34 % | 232,199 | 3.26 | 82 | -0.0745 % | 2,491.9 |
| Deemed-Retractible | 5.07 % | 3.84 % | 187,776 | 1.42 | 42 | -0.0579 % | 2,429.5 |
| FloatingReset | 2.64 % | 2.32 % | 342,020 | 4.44 | 5 | 0.1028 % | 2,466.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| RY.PR.T | FixedReset | -2.06 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : 5.16 % |
| TRP.PR.B | FixedReset | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-02 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 3.82 % |
| FTS.PR.K | FixedReset | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-02 Maturity Price : 22.83 Evaluated at bid price : 24.15 Bid-YTW : 3.92 % |
| BAM.PR.B | Floater | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-02 Maturity Price : 17.76 Evaluated at bid price : 17.76 Bid-YTW : 2.98 % |
| HSE.PR.A | FixedReset | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-02 Maturity Price : 23.02 Evaluated at bid price : 23.86 Bid-YTW : 3.70 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.M | FixedReset | 180,933 | Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.31 Bid-YTW : 1.64 % |
| TRP.PR.D | FixedReset | 74,862 | Scotia crossed 57,600 at 25.17. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 3.89 % |
| RY.PR.R | FixedReset | 66,771 | Scotia crossed 60,000 at 25.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 2.48 % |
| ENB.PR.H | FixedReset | 65,421 | Scotia crossed 49,200 at 23.95. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-02 Maturity Price : 22.79 Evaluated at bid price : 24.00 Bid-YTW : 4.00 % |
| BMO.PR.P | FixedReset | 60,957 | Scotia crossed 58,000 at 26.15. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.21 Bid-YTW : 1.52 % |
| FTS.PR.J | Perpetual-Discount | 50,524 | RBC crossed 37,300 at 22.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-02 Maturity Price : 22.21 Evaluated at bid price : 22.52 Bid-YTW : 5.29 % |
| There were 40 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| RY.PR.T | FixedReset | Quote: 25.24 – 25.76 Spot Rate : 0.5200 Average : 0.3102 YTW SCENARIO |
| GWO.PR.N | FixedReset | Quote: 22.17 – 22.81 Spot Rate : 0.6400 Average : 0.4428 YTW SCENARIO |
| CIU.PR.A | Perpetual-Discount | Quote: 20.96 – 21.83 Spot Rate : 0.8700 Average : 0.6837 YTW SCENARIO |
| MFC.PR.F | FixedReset | Quote: 22.50 – 23.00 Spot Rate : 0.5000 Average : 0.3542 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 21.88 – 22.24 Spot Rate : 0.3600 Average : 0.2409 YTW SCENARIO |
| HSB.PR.D | Deemed-Retractible | Quote: 25.16 – 25.55 Spot Rate : 0.3900 Average : 0.3036 YTW SCENARIO |