Despite another bump in the GOC-5 yield to 1.34%, the Canadian preferred share market didn’t do anything exciting today – another poke in the eye for those who like to talk about cause and effect on a daily basis. No worry, we can all simply nod our heads wisely and talk about “consolidation” and “profit taking”.
| 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 | -0.9002 % | 2,153.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.9002 % | 3,951.7 |
| Floater | 3.68 % | 3.68 % | 73,061 | 18.11 | 3 | -0.9002 % | 2,277.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0157 % | 3,061.6 |
| SplitShare | 4.70 % | 4.17 % | 61,510 | 1.47 | 5 | -0.0157 % | 3,656.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0157 % | 2,852.7 |
| Perpetual-Premium | 5.31 % | 2.99 % | 67,729 | 0.09 | 25 | 0.0448 % | 2,790.7 |
| Perpetual-Discount | 5.11 % | 5.08 % | 91,058 | 15.30 | 12 | 0.2193 % | 3,007.4 |
| FixedReset | 4.39 % | 4.26 % | 205,096 | 6.47 | 97 | 0.1673 % | 2,374.4 |
| Deemed-Retractible | 4.99 % | 5.08 % | 122,310 | 6.20 | 30 | -0.0136 % | 2,896.6 |
| FloatingReset | 2.65 % | 3.05 % | 51,160 | 4.32 | 10 | 0.1889 % | 2,583.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BMO.PR.Q | FixedReset | -1.40 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.10 Bid-YTW : 5.85 % |
| BAM.PR.B | Floater | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 12.81 Evaluated at bid price : 12.81 Bid-YTW : 3.69 % |
| BMO.PR.Y | FixedReset | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 22.68 Evaluated at bid price : 23.45 Bid-YTW : 4.27 % |
| MFC.PR.M | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.09 Bid-YTW : 5.73 % |
| BAM.PR.X | FixedReset | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.67 % |
| BAM.PR.Z | FixedReset | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 22.93 Evaluated at bid price : 23.69 Bid-YTW : 4.54 % |
| BAM.PR.R | FixedReset | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 19.66 Evaluated at bid price : 19.66 Bid-YTW : 4.49 % |
| BAM.PR.T | FixedReset | 1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 4.50 % |
| CU.PR.C | FixedReset | 2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 21.82 Evaluated at bid price : 22.26 Bid-YTW : 4.22 % |
| BAM.PF.A | FixedReset | 2.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 23.51 Evaluated at bid price : 23.98 Bid-YTW : 4.44 % |
| IFC.PR.A | FixedReset | 3.48 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 7.60 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.D | FixedReset | 1,276,967 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-06-29 Maturity Price : 23.13 Evaluated at bid price : 24.94 Bid-YTW : 4.41 % |
| CM.PR.R | FixedReset | 192,145 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.02 Bid-YTW : 4.49 % |
| RY.PR.R | FixedReset | 109,537 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.99 Bid-YTW : 3.59 % |
| W.PR.J | Perpetual-Premium | 101,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-07-29 Maturity Price : 25.00 Evaluated at bid price : 25.19 Bid-YTW : -6.50 % |
| SLF.PR.I | FixedReset | 87,299 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.70 Bid-YTW : 4.75 % |
| TRP.PR.J | FixedReset | 85,941 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.94 Bid-YTW : 3.50 % |
| There were 47 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| EML.PR.A | FixedReset | Quote: 26.62 – 27.10 Spot Rate : 0.4800 Average : 0.2829 YTW SCENARIO |
| TRP.PR.G | FixedReset | Quote: 24.06 – 24.50 Spot Rate : 0.4400 Average : 0.2920 YTW SCENARIO |
| BMO.PR.Y | FixedReset | Quote: 23.45 – 23.70 Spot Rate : 0.2500 Average : 0.1582 YTW SCENARIO |
| RY.PR.L | FixedReset | Quote: 25.36 – 25.60 Spot Rate : 0.2400 Average : 0.1541 YTW SCENARIO |
| PWF.PR.T | FixedReset | Quote: 23.12 – 23.49 Spot Rate : 0.3700 Average : 0.2937 YTW SCENARIO |
| TRP.PR.F | FloatingReset | Quote: 19.04 – 19.30 Spot Rate : 0.2600 Average : 0.1845 YTW SCENARIO |