Nothing happened today, either.
It was another good day for the Canadian preferred share market, with PerpetualDiscounts gaining 16bp, FixedResets up 17bp and DeemedRetractibles winning 19bp. The Performance Highlights table was longer than usual, all winners, with one lonely DeemedRetractible listed among the dominating FixedResets. Volume was heavy.
PerpetualDiscounts now yield 5.59%, equivalent to 7.27% interest at the standard 1.3x equivalency factor. Long corporates now yield about 4.55%, so the pre-tax interest-equivalent spread is now about 270bp, unchanged from the February 19 report.
| 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 | -0.2270 % | 2,423.4 |
| FixedFloater | 4.76 % | 4.35 % | 29,491 | 17.70 | 1 | -0.1001 % | 3,565.6 |
| Floater | 2.99 % | 3.10 % | 53,967 | 19.41 | 4 | -0.2270 % | 2,616.6 |
| OpRet | 4.61 % | -4.92 % | 71,503 | 0.09 | 3 | 0.2440 % | 2,696.3 |
| SplitShare | 4.86 % | 4.41 % | 59,464 | 4.36 | 5 | 0.2046 % | 3,044.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2440 % | 2,465.5 |
| Perpetual-Premium | 5.65 % | 1.77 % | 109,342 | 0.08 | 12 | 0.0132 % | 2,341.8 |
| Perpetual-Discount | 5.52 % | 5.59 % | 144,998 | 14.46 | 26 | 0.1621 % | 2,404.4 |
| FixedReset | 4.71 % | 3.56 % | 224,509 | 4.50 | 77 | 0.1732 % | 2,503.9 |
| Deemed-Retractible | 5.10 % | 3.67 % | 164,768 | 1.13 | 42 | 0.1925 % | 2,442.2 |
| FloatingReset | 2.64 % | 2.59 % | 153,350 | 7.13 | 6 | 0.0604 % | 2,439.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.C | FixedReset | 1.06 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.82 Bid-YTW : 3.15 % |
| BAM.PR.R | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-26 Maturity Price : 23.67 Evaluated at bid price : 25.50 Bid-YTW : 4.04 % |
| CIU.PR.C | FixedReset | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-26 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 3.75 % |
| IFC.PR.A | FixedReset | 1.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 4.19 % |
| FTS.PR.H | FixedReset | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-26 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 3.77 % |
| BAM.PR.X | FixedReset | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-26 Maturity Price : 21.42 Evaluated at bid price : 21.42 Bid-YTW : 4.39 % |
| GWO.PR.F | Deemed-Retractible | 1.68 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-28 Maturity Price : 25.00 Evaluated at bid price : 25.53 Bid-YTW : -24.67 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| FTS.PR.H | FixedReset | 652,380 | RBC crossed two blocks of 74,800 each, both at 21.39; Nesbitt crossed 10,000 at the same price. RBC then crossed two blocks of 244,400 each, both at 21.48. Nice tickets! YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-26 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 3.77 % |
| TRP.PR.E | FixedReset | 141,490 | Nesbitt crossed 40,000 at 25.06; TD crossed blocks of 60,100 and 24,400 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-26 Maturity Price : 23.13 Evaluated at bid price : 25.01 Bid-YTW : 4.03 % |
| TRP.PR.D | FixedReset | 126,417 | Nesbitt crossed 40,000 at 24.99; TD crossed blocks of 40,000 and 24,200 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-26 Maturity Price : 23.10 Evaluated at bid price : 24.86 Bid-YTW : 4.00 % |
| SLF.PR.D | Deemed-Retractible | 112,961 | Desjardins crossed blocks of 80,000 and 25,000, both at 21.01. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.03 Bid-YTW : 6.48 % |
| NA.PR.S | FixedReset | 97,242 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-26 Maturity Price : 23.20 Evaluated at bid price : 25.16 Bid-YTW : 3.98 % |
| BNS.PR.L | Deemed-Retractible | 90,642 | TD crossed two blocks of 40,000 each, both at 25.58. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-04-28 Maturity Price : 25.25 Evaluated at bid price : 25.58 Bid-YTW : 3.59 % |
| There were 61 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.Z | FixedReset | Quote: 26.05 – 26.44 Spot Rate : 0.3900 Average : 0.2525 YTW SCENARIO |
| FTS.PR.J | Perpetual-Discount | Quote: 22.33 – 22.65 Spot Rate : 0.3200 Average : 0.1970 YTW SCENARIO |
| RY.PR.T | FixedReset | Quote: 25.50 – 25.80 Spot Rate : 0.3000 Average : 0.1887 YTW SCENARIO |
| PWF.PR.H | Perpetual-Premium | Quote: 25.18 – 25.48 Spot Rate : 0.3000 Average : 0.1949 YTW SCENARIO |
| ENB.PR.F | FixedReset | Quote: 24.50 – 24.74 Spot Rate : 0.2400 Average : 0.1413 YTW SCENARIO |
| MFC.PR.J | FixedReset | Quote: 25.37 – 25.64 Spot Rate : 0.2700 Average : 0.1726 YTW SCENARIO |