The Canadian preferred share market continued to show strength – up 0.41% today after setting a new 52-week high – aided by renewed murmers of a potential TD.PF.C redemption.
It’s a very odd market: there are enough players willing to bet that the market is cheap enough relative to other markets to make redemption speculation make sense, but not enough to actually raise the market to levels that would reflect this as a generalized rule. So it’s all special situations. I’ll be glad when things return to normal!
| 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 | -0.3940 % | 2,311.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3940 % | 4,432.6 |
| Floater | 8.24 % | 8.53 % | 32,261 | 10.73 | 4 | -0.3940 % | 2,554.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1993 % | 3,633.7 |
| SplitShare | 4.76 % | 4.24 % | 67,683 | 1.18 | 7 | 0.1993 % | 4,339.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1993 % | 3,385.8 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6528 % | 2,879.0 |
| Perpetual-Discount | 5.96 % | 6.13 % | 51,719 | 13.64 | 32 | 0.6528 % | 3,139.4 |
| FixedReset Disc | 5.45 % | 6.66 % | 102,934 | 12.76 | 53 | 0.3497 % | 2,759.9 |
| Insurance Straight | 5.91 % | 6.04 % | 66,334 | 13.88 | 21 | 0.9957 % | 3,065.6 |
| FloatingReset | 6.41 % | 5.97 % | 32,726 | 12.79 | 4 | 0.5923 % | 3,376.8 |
| FixedReset Prem | 6.03 % | 5.45 % | 212,675 | 13.91 | 9 | 0.0434 % | 2,600.6 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3497 % | 2,821.1 |
| FixedReset Ins Non | 5.18 % | 5.94 % | 86,734 | 13.91 | 14 | 0.0000 % | 2,836.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BN.PF.J | FixedReset Disc | -3.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 21.94 Evaluated at bid price : 22.26 Bid-YTW : 6.92 % |
| IFC.PR.G | FixedReset Ins Non | -2.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 22.76 Evaluated at bid price : 23.71 Bid-YTW : 5.94 % |
| PWF.PR.H | Perpetual-Discount | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 23.44 Evaluated at bid price : 23.73 Bid-YTW : 6.14 % |
| GWO.PR.M | Insurance Straight | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 23.68 Evaluated at bid price : 23.95 Bid-YTW : 6.06 % |
| ENB.PR.D | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 18.56 Evaluated at bid price : 18.56 Bid-YTW : 7.19 % |
| GWO.PR.P | Insurance Straight | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 22.18 Evaluated at bid price : 22.46 Bid-YTW : 6.02 % |
| IFC.PR.K | Insurance Straight | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 21.76 Evaluated at bid price : 22.10 Bid-YTW : 6.05 % |
| POW.PR.D | Perpetual-Discount | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 6.14 % |
| GWO.PR.H | Insurance Straight | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 6.03 % |
| IFC.PR.A | FixedReset Ins Non | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 5.87 % |
| IFC.PR.E | Insurance Straight | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 21.73 Evaluated at bid price : 22.15 Bid-YTW : 5.97 % |
| BN.PF.B | FixedReset Disc | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 21.52 Evaluated at bid price : 21.80 Bid-YTW : 6.66 % |
| CU.PR.D | Perpetual-Discount | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 5.87 % |
| ENB.PR.A | Perpetual-Discount | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 22.49 Evaluated at bid price : 22.75 Bid-YTW : 6.09 % |
| GWO.PR.Y | Insurance Straight | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 18.79 Evaluated at bid price : 18.79 Bid-YTW : 6.01 % |
| POW.PR.A | Perpetual-Discount | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 23.03 Evaluated at bid price : 23.30 Bid-YTW : 6.11 % |
| GWO.PR.I | Insurance Straight | 1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 19.18 Evaluated at bid price : 19.18 Bid-YTW : 5.89 % |
| BN.PR.N | Perpetual-Discount | 1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 6.37 % |
| ENB.PF.G | FixedReset Disc | 1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 7.41 % |
| FFH.PR.F | FloatingReset | 2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 22.72 Evaluated at bid price : 23.00 Bid-YTW : 5.97 % |
| BN.PF.D | Perpetual-Discount | 2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 6.34 % |
| MFC.PR.C | Insurance Straight | 2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 5.77 % |
| SLF.PR.D | Insurance Straight | 2.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 5.42 % |
| TD.PF.C | FixedReset Disc | 5.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 23.74 Evaluated at bid price : 24.77 Bid-YTW : 5.16 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.C | FixedReset Disc | 300,026 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 23.74 Evaluated at bid price : 24.77 Bid-YTW : 5.16 % |
| NA.PR.W | FixedReset Disc | 116,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 23.04 Evaluated at bid price : 24.10 Bid-YTW : 5.29 % |
| FFH.PR.C | FixedReset Prem | 85,134 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 5.42 % |
| FFH.PR.E | FixedReset Disc | 82,593 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 22.15 Evaluated at bid price : 22.80 Bid-YTW : 5.52 % |
| ENB.PR.Y | FixedReset Disc | 48,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 7.29 % |
| GWO.PR.Y | Insurance Straight | 37,959 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-12-10 Maturity Price : 18.79 Evaluated at bid price : 18.79 Bid-YTW : 6.01 % |
| There were 24 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.K | FixedReset Ins Non | Quote: 23.91 – 24.75 Spot Rate : 0.8400 Average : 0.4700 YTW SCENARIO |
| IFC.PR.G | FixedReset Ins Non | Quote: 23.71 – 24.50 Spot Rate : 0.7900 Average : 0.4957 YTW SCENARIO |
| BN.PF.J | FixedReset Disc | Quote: 22.26 – 23.10 Spot Rate : 0.8400 Average : 0.5662 YTW SCENARIO |
| PWF.PR.R | Perpetual-Discount | Quote: 22.35 – 23.00 Spot Rate : 0.6500 Average : 0.3909 YTW SCENARIO |
| SLF.PR.C | Insurance Straight | Quote: 20.20 – 20.89 Spot Rate : 0.6900 Average : 0.4841 YTW SCENARIO |
| CU.PR.E | Perpetual-Discount | Quote: 20.90 – 21.50 Spot Rate : 0.6000 Average : 0.4102 YTW SCENARIO |