Nothing happened today, either.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 27bp, FixedResets off 1bp and DeemedRetractibles gaining 12bp. The Performance Highlights table is heavily skewed towards winners, with Floating Rate issues notable on the plus side. Volume was abysmally low – will the current rally in Straight Perpetuals survive the return of trading activity?
| 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 | 1.0908 % | 2,551.0 |
| FixedFloater | 4.51 % | 3.81 % | 35,449 | 17.70 | 1 | 1.2019 % | 3,719.2 |
| Floater | 2.93 % | 2.94 % | 61,607 | 19.90 | 3 | 1.0908 % | 2,754.4 |
| OpRet | 4.64 % | 2.80 % | 81,188 | 0.40 | 3 | 0.0902 % | 2,663.3 |
| SplitShare | 4.85 % | 4.65 % | 71,105 | 4.45 | 5 | 0.0722 % | 3,023.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0902 % | 2,435.3 |
| Perpetual-Premium | 5.63 % | 4.98 % | 129,259 | 4.15 | 13 | -0.0536 % | 2,311.2 |
| Perpetual-Discount | 5.64 % | 5.69 % | 182,321 | 14.40 | 25 | 0.2658 % | 2,346.0 |
| FixedReset | 4.96 % | 3.52 % | 216,606 | 3.41 | 82 | -0.0111 % | 2,472.8 |
| Deemed-Retractible | 5.13 % | 4.28 % | 184,381 | 2.03 | 42 | 0.1224 % | 2,400.5 |
| FloatingReset | 2.62 % | 2.36 % | 246,400 | 4.36 | 5 | -0.1897 % | 2,463.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.P | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-02 Maturity Price : 22.16 Evaluated at bid price : 22.42 Bid-YTW : 4.11 % |
| SLF.PR.C | Deemed-Retractible | 1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.91 Bid-YTW : 6.59 % |
| CU.PR.G | Perpetual-Discount | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-02 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 5.36 % |
| BAM.PR.C | Floater | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-02 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 2.95 % |
| BAM.PR.G | FixedFloater | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-02 Maturity Price : 21.65 Evaluated at bid price : 21.05 Bid-YTW : 3.81 % |
| BAM.PR.B | Floater | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-02 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 2.93 % |
| CU.PR.D | Perpetual-Discount | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-02 Maturity Price : 23.02 Evaluated at bid price : 23.32 Bid-YTW : 5.30 % |
| CU.PR.E | Perpetual-Discount | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-02 Maturity Price : 22.96 Evaluated at bid price : 23.26 Bid-YTW : 5.32 % |
| GWO.PR.P | Deemed-Retractible | 2.40 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.28 Bid-YTW : 5.80 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.N | FixedReset | 26,187 | Scotia bought 13,200 from anonymous at 24.45. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-01 Maturity Price : 25.00 Evaluated at bid price : 24.62 Bid-YTW : 4.45 % |
| TD.PR.G | FixedReset | 21,825 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.62 Bid-YTW : 1.80 % |
| SLF.PR.A | Deemed-Retractible | 18,538 | RBC crossed 15,000 at 22.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.91 Bid-YTW : 6.36 % |
| TRP.PR.D | FixedReset | 17,403 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : 3.71 % |
| BNS.PR.R | FixedReset | 14,917 | Will reset with 3.83% coupon. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 0.58 % |
| NA.PR.O | FixedReset | 14,385 | Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-15 Maturity Price : 25.00 Evaluated at bid price : 25.38 Bid-YTW : 1.17 % |
| There were 1 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.J | OpRet | Quote: 26.40 – 26.94 Spot Rate : 0.5400 Average : 0.3000 YTW SCENARIO |
| RY.PR.F | Deemed-Retractible | Quote: 25.30 – 25.67 Spot Rate : 0.3700 Average : 0.2199 YTW SCENARIO |
| BAM.PR.T | FixedReset | Quote: 24.10 – 24.49 Spot Rate : 0.3900 Average : 0.2464 YTW SCENARIO |
| BMO.PR.K | Deemed-Retractible | Quote: 25.81 – 26.10 Spot Rate : 0.2900 Average : 0.1745 YTW SCENARIO |
| ELF.PR.H | Perpetual-Discount | Quote: 23.41 – 23.78 Spot Rate : 0.3700 Average : 0.2577 YTW SCENARIO |
| TRP.PR.A | FixedReset | Quote: 23.58 – 23.99 Spot Rate : 0.4100 Average : 0.3026 YTW SCENARIO |