Preferreds were off again today but it could have been worse … much worse. The market was affected by lousy equity markets … bids disappeared for some issues, but some came back to rescue the day’s results from its depths. Time will tell whether these (relatively small) bids stand up:
gauge of financial stocks in the S&P/TSX slipped 3.5 percent to its lowest level since November 2002, as nine of 10 industries in the Canadian benchmark dropped. Economic reports stoked concern that the impact of the global recession is worsening in a country that relies on exports, half of which are commodities, for about a third of its overall output.
PerpetualDiscounts closed today at 7.07%, equivalent to 9.90% interest at the standard equivalency factor of 1.4x. Long Corporates are doing really well, up 3.03% on the month and 1.37% year-to-date and are yielding 7.5% … maybe just a shade under. The pre-tax interest-equivalent spread has thus increased to about 240bp.
| 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 | 5.26 % | 3.69 % | 23,691 | 17.97 | 2 | -0.1526 % | 860.6 |
| FixedFloater | 7.22 % | 6.79 % | 74,386 | 14.17 | 7 | 0.2103 % | 1,389.4 |
| Floater | 5.11 % | 4.28 % | 28,813 | 16.89 | 4 | -0.3152 % | 1,028.5 |
| OpRet | 5.24 % | 4.69 % | 141,872 | 3.98 | 15 | 0.1432 % | 2,051.7 |
| SplitShare | 6.54 % | 11.23 % | 67,951 | 4.02 | 15 | -1.7349 % | 1,711.4 |
| Interest-Bearing | 7.08 % | 9.23 % | 33,501 | 0.83 | 2 | 0.1157 % | 1,997.8 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3848 % | 1,547.2 |
| Perpetual-Discount | 6.95 % | 7.07 % | 181,771 | 12.42 | 71 | -0.3848 % | 1,425.0 |
| FixedReset | 6.07 % | 5.73 % | 607,869 | 13.93 | 27 | -0.2769 % | 1,814.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| FTN.PR.A | SplitShare | -5.18 % | Asset coverage of 1.2-:1 as of February 13 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2015-12-01 Maturity Price : 10.00 Evaluated at bid price : 7.50 Bid-YTW : 10.67 % |
| DF.PR.A | SplitShare | -4.99 % | Asset coverage of 1.3+:1 as of February 13 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-12-01 Maturity Price : 10.00 Evaluated at bid price : 8.56 Bid-YTW : 8.59 % |
| GWO.PR.F | Perpetual-Discount | -4.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 20.82 Evaluated at bid price : 20.82 Bid-YTW : 7.23 % |
| PPL.PR.A | SplitShare | -4.12 % | Asset coverage of 1.3+:1 as of February 13 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2012-12-01 Maturity Price : 10.00 Evaluated at bid price : 8.15 Bid-YTW : 11.23 % |
| WFS.PR.A | SplitShare | -3.70 % | Asset coverage of 1.1+:1 as of February 5 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2011-06-30 Maturity Price : 10.00 Evaluated at bid price : 7.80 Bid-YTW : 17.52 % |
| FFN.PR.A | SplitShare | -3.11 % | Asset coverage of 1.0+:1 as of February 13 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-12-01 Maturity Price : 10.00 Evaluated at bid price : 6.55 Bid-YTW : 14.45 % |
| BNA.PR.B | SplitShare | -2.74 % | Asset coverage of 1.9-:1 as of February 13 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2016-03-25 Maturity Price : 25.00 Evaluated at bid price : 20.32 Bid-YTW : 8.53 % |
| GWO.PR.G | Perpetual-Discount | -2.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 17.52 Evaluated at bid price : 17.52 Bid-YTW : 7.58 % |
| BNS.PR.R | FixedReset | -2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 21.52 Evaluated at bid price : 21.52 Bid-YTW : 4.83 % |
| SLF.PR.A | Perpetual-Discount | -2.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 15.66 Evaluated at bid price : 15.66 Bid-YTW : 7.75 % |
| LBS.PR.A | SplitShare | -2.39 % | Asset coverage of 1.3-:1 as of February 12 according to Brompton Group. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2013-11-29 Maturity Price : 10.00 Evaluated at bid price : 7.76 Bid-YTW : 11.72 % |
| IAG.PR.A | Perpetual-Discount | -2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 15.62 Evaluated at bid price : 15.62 Bid-YTW : 7.52 % |
| GWO.PR.I | Perpetual-Discount | -2.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 7.63 % |
| RY.PR.B | Perpetual-Discount | -2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 17.43 Evaluated at bid price : 17.43 Bid-YTW : 6.80 % |
| CM.PR.K | FixedReset | -2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 21.96 Evaluated at bid price : 22.50 Bid-YTW : 5.00 % |
| PWF.PR.G | Perpetual-Discount | -2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 21.04 Evaluated at bid price : 21.04 Bid-YTW : 7.10 % |
| BNS.PR.K | Perpetual-Discount | -1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 18.14 Evaluated at bid price : 18.14 Bid-YTW : 6.70 % |
| BNA.PR.C | SplitShare | -1.82 % | Asset coverage of 1.9-:1 as of January 31 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 12.01 Bid-YTW : 14.40 % |
| SLF.PR.D | Perpetual-Discount | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 14.76 Evaluated at bid price : 14.76 Bid-YTW : 7.70 % |
| CM.PR.I | Perpetual-Discount | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 16.41 Evaluated at bid price : 16.41 Bid-YTW : 7.26 % |
| RY.PR.F | Perpetual-Discount | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 17.12 Evaluated at bid price : 17.12 Bid-YTW : 6.55 % |
| TRI.PR.B | Floater | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 12.80 Evaluated at bid price : 12.80 Bid-YTW : 4.15 % |
| ELF.PR.G | Perpetual-Discount | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 14.05 Evaluated at bid price : 14.05 Bid-YTW : 8.61 % |
| BMO.PR.L | Perpetual-Discount | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 7.19 % |
| MFC.PR.B | Perpetual-Discount | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 16.81 Evaluated at bid price : 16.81 Bid-YTW : 7.07 % |
| RY.PR.C | Perpetual-Discount | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 17.37 Evaluated at bid price : 17.37 Bid-YTW : 6.67 % |
| BMO.PR.K | Perpetual-Discount | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 18.54 Evaluated at bid price : 18.54 Bid-YTW : 7.13 % |
| PWF.PR.F | Perpetual-Discount | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 7.27 % |
| RY.PR.H | Perpetual-Discount | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 6.71 % |
| NA.PR.M | Perpetual-Discount | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 21.42 Evaluated at bid price : 21.42 Bid-YTW : 7.07 % |
| BAM.PR.H | OpRet | 1.09 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2012-03-30 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 8.72 % |
| BNA.PR.A | SplitShare | 1.15 % | Asset coverage of 1.9-:1 as of January 31 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2010-09-30 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 8.27 % |
| DFN.PR.A | SplitShare | 1.16 % | Asset coverage of 1.6-:1 as of February 13 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-12-01 Maturity Price : 10.00 Evaluated at bid price : 8.70 Bid-YTW : 8.24 % |
| FIG.PR.A | Interest-Bearing | 1.21 % | Asset coverage of 1.1-:1 as of February 10, based on Capital units at $1.29 and 0.53 Capital Units per preferred. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-12-31 Maturity Price : 10.00 Evaluated at bid price : 7.50 Bid-YTW : 12.74 % |
| CU.PR.A | Perpetual-Discount | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 21.82 Evaluated at bid price : 22.10 Bid-YTW : 6.58 % |
| BAM.PR.O | OpRet | 1.44 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 21.10 Bid-YTW : 9.73 % |
| POW.PR.B | Perpetual-Discount | 1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 18.52 Evaluated at bid price : 18.52 Bid-YTW : 7.35 % |
| BAM.PR.K | Floater | 1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 7.95 Evaluated at bid price : 7.95 Bid-YTW : 6.72 % |
| BAM.PR.J | OpRet | 2.16 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 18.45 Bid-YTW : 10.05 % |
| PWF.PR.E | Perpetual-Discount | 2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 7.03 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.G | FixedReset | 215,838 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 25.31 Bid-YTW : 6.09 % |
| RY.PR.R | FixedReset | 93,497 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 25.41 Bid-YTW : 6.00 % |
| BNS.PR.X | FixedReset | 51,882 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 6.15 % |
| BNA.PR.B | SplitShare | 50,050 | TD crossed 48,000 at 21.00. Asset coverage of 1.9-:1 as of January 31 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2016-03-25 Maturity Price : 25.00 Evaluated at bid price : 20.32 Bid-YTW : 8.53 % |
| BNS.PR.T | FixedReset | 37,718 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : 6.11 % |
| SLF.PR.D | Perpetual-Discount | 36,880 | CIBC crossed 11,200 at 15.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-18 Maturity Price : 14.76 Evaluated at bid price : 14.76 Bid-YTW : 7.70 % |
| There were 30 other index-included issues trading in excess of 10,000 shares. | |||