Nothing happened today.
It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 1bp, FixedResets up 11bp and DeemedRetractibles down 12bp. The Performance Highlights table is short by standards of the past year. Volume was on the low side of average.
PerpetualDiscounts now yield 5.66%, equivalent to 7.36% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.8%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread” is now about 255bp, a slight (and perhaps spurious) narrowing from the 260bp reported December 27.
| 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 | 0.6714 % | 2,561.9 |
| FixedFloater | 4.47 % | 3.77 % | 33,922 | 17.76 | 1 | -0.0470 % | 3,754.6 |
| Floater | 2.92 % | 2.93 % | 67,895 | 19.94 | 3 | 0.6714 % | 2,766.2 |
| OpRet | 4.63 % | 1.82 % | 76,431 | 0.39 | 3 | 0.1159 % | 2,667.0 |
| SplitShare | 4.86 % | 4.72 % | 69,561 | 4.44 | 5 | 0.1125 % | 3,019.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1159 % | 2,438.7 |
| Perpetual-Premium | 5.64 % | 3.62 % | 129,165 | 0.15 | 13 | 0.1440 % | 2,319.8 |
| Perpetual-Discount | 5.64 % | 5.66 % | 169,313 | 14.44 | 25 | 0.0149 % | 2,355.2 |
| FixedReset | 4.96 % | 3.50 % | 211,261 | 3.40 | 82 | 0.1104 % | 2,483.9 |
| Deemed-Retractible | 5.14 % | 4.36 % | 167,352 | 2.01 | 42 | -0.1224 % | 2,405.7 |
| FloatingReset | 2.60 % | 2.35 % | 231,811 | 4.34 | 5 | 0.0793 % | 2,473.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.E | Deemed-Retractible | -1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.26 Bid-YTW : 6.46 % |
| BAM.PF.D | Perpetual-Discount | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-08 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 6.12 % |
| BAM.PF.C | Perpetual-Discount | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-08 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 6.15 % |
| CIU.PR.C | FixedReset | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-08 Maturity Price : 20.39 Evaluated at bid price : 20.39 Bid-YTW : 4.17 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWO.PR.I | Deemed-Retractible | 323,182 | TD crossed 100,000 at 21.50; Nesbitt crossed two blocks of 100,000 each at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.45 Bid-YTW : 6.35 % |
| RY.PR.C | Deemed-Retractible | 68,395 | RBC crossed blocks of 30,000 and 25,000, both at 25.40. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-11-24 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 4.16 % |
| BNS.PR.R | FixedReset | 62,926 | Will reset at 3.83%. Yield to Deemed Maturity 2022-1-31 at 25.00 is 3.74%. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : -2.35 % |
| BNS.PR.Q | FixedReset | 55,200 | Nesbitt crossed 50,000 at 25.05. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-10-25 Maturity Price : 25.00 Evaluated at bid price : 25.08 Bid-YTW : 3.50 % |
| CIU.PR.B | FixedReset | 50,100 | Scotia crossed 50,000 at 25.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.57 Bid-YTW : 2.72 % |
| BAM.PF.A | FixedReset | 50,036 | RBC crossed 38,400 at 25.35. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.56 Bid-YTW : 4.02 % |
| There were 29 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| VNR.PR.A | FixedReset | Quote: 25.13 – 25.44 Spot Rate : 0.3100 Average : 0.2137 YTW SCENARIO |
| CU.PR.D | Perpetual-Discount | Quote: 22.51 – 22.85 Spot Rate : 0.3400 Average : 0.2516 YTW SCENARIO |
| W.PR.J | Perpetual-Discount | Quote: 24.39 – 24.71 Spot Rate : 0.3200 Average : 0.2366 YTW SCENARIO |
| TCA.PR.Y | Perpetual-Premium | Quote: 49.97 – 50.37 Spot Rate : 0.4000 Average : 0.3193 YTW SCENARIO |
| GWO.PR.N | FixedReset | Quote: 21.85 – 22.09 Spot Rate : 0.2400 Average : 0.1664 YTW SCENARIO |
| GWO.PR.L | Deemed-Retractible | Quote: 24.80 – 25.00 Spot Rate : 0.2000 Average : 0.1269 YTW SCENARIO |