Just the bare bones again today, I’m afraid!
It was a fine day for the Canadian preferred share market, with PerpetualDiscounts winning 48bp, FixedResets up 44bp and DeemedRetractibles gaining 42bp. The Performance Highlights table is dominated by winners, topped by low-spread insurance issues. Volume was slightly above average.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 4.22 % | 5.06 % | 33,535 | 17.75 | 1 | 1.0625 % | 1,838.5 |
| FixedFloater | 6.18 % | 5.43 % | 28,737 | 17.00 | 1 | -0.6468 % | 3,155.3 |
| Floater | 3.94 % | 3.97 % | 69,577 | 17.43 | 3 | -1.3151 % | 2,006.6 |
| OpRet | 4.87 % | 3.89 % | 33,956 | 0.77 | 1 | 0.0000 % | 2,733.2 |
| SplitShare | 4.74 % | 5.85 % | 138,843 | 4.36 | 5 | 0.1988 % | 3,204.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1988 % | 2,500.3 |
| Perpetual-Premium | 5.76 % | -5.56 % | 73,938 | 0.08 | 6 | 0.5538 % | 2,522.6 |
| Perpetual-Discount | 5.51 % | 5.55 % | 87,389 | 14.53 | 33 | 0.4781 % | 2,600.3 |
| FixedReset | 4.80 % | 4.41 % | 222,953 | 15.54 | 76 | 0.4364 % | 2,132.0 |
| Deemed-Retractible | 5.13 % | 4.75 % | 115,536 | 5.40 | 33 | 0.4163 % | 2,592.7 |
| FloatingReset | 2.57 % | 3.67 % | 54,986 | 5.77 | 10 | 0.4687 % | 2,199.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CU.PR.C | FixedReset | -2.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 4.22 % |
| VNR.PR.A | FixedReset | -2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.36 Evaluated at bid price : 21.67 Bid-YTW : 4.42 % |
| BAM.PR.K | Floater | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 11.95 Evaluated at bid price : 11.95 Bid-YTW : 3.99 % |
| BAM.PR.B | Floater | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 12.06 Evaluated at bid price : 12.06 Bid-YTW : 3.96 % |
| BAM.PF.G | FixedReset | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.45 Evaluated at bid price : 21.72 Bid-YTW : 4.60 % |
| BIP.PR.A | FixedReset | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 5.43 % |
| NA.PR.S | FixedReset | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.37 % |
| NA.PR.W | FixedReset | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 4.27 % |
| BAM.PR.N | Perpetual-Discount | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 5.71 % |
| GWO.PR.I | Deemed-Retractible | 1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.64 Bid-YTW : 6.59 % |
| BAM.PR.E | Ratchet | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 25.00 Evaluated at bid price : 16.17 Bid-YTW : 5.06 % |
| GWO.PR.Q | Deemed-Retractible | 1.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.69 Bid-YTW : 6.04 % |
| BAM.PR.X | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 15.63 Evaluated at bid price : 15.63 Bid-YTW : 4.72 % |
| BNS.PR.B | FloatingReset | 1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.78 Bid-YTW : 3.67 % |
| FTS.PR.J | Perpetual-Discount | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.36 Evaluated at bid price : 21.65 Bid-YTW : 5.49 % |
| FTS.PR.K | FixedReset | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 19.78 Evaluated at bid price : 19.78 Bid-YTW : 4.00 % |
| POW.PR.B | Perpetual-Discount | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 23.61 Evaluated at bid price : 23.88 Bid-YTW : 5.66 % |
| GWO.PR.P | Deemed-Retractible | 1.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 5.79 % |
| BAM.PR.Z | FixedReset | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 4.83 % |
| BAM.PR.R | FixedReset | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 5.03 % |
| BMO.PR.R | FloatingReset | 1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 3.52 % |
| PVS.PR.B | SplitShare | 1.25 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 5.59 % |
| GWO.PR.G | Deemed-Retractible | 1.27 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 5.99 % |
| POW.PR.G | Perpetual-Discount | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 24.48 Evaluated at bid price : 24.94 Bid-YTW : 5.66 % |
| TRP.PR.F | FloatingReset | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 14.81 Evaluated at bid price : 14.81 Bid-YTW : 3.97 % |
| GWO.PR.M | Deemed-Retractible | 1.38 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 5.05 % |
| FTS.PR.F | Perpetual-Discount | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 22.10 Evaluated at bid price : 22.32 Bid-YTW : 5.50 % |
| POW.PR.D | Perpetual-Discount | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 22.61 Evaluated at bid price : 22.86 Bid-YTW : 5.52 % |
| TRP.PR.E | FixedReset | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 4.49 % |
| FTS.PR.G | FixedReset | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 19.08 Evaluated at bid price : 19.08 Bid-YTW : 4.19 % |
| MFC.PR.J | FixedReset | 1.66 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 5.11 % |
| HSE.PR.A | FixedReset | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 14.72 Evaluated at bid price : 14.72 Bid-YTW : 4.70 % |
| TRP.PR.C | FixedReset | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 14.15 Evaluated at bid price : 14.15 Bid-YTW : 4.42 % |
| IAG.PR.G | FixedReset | 1.90 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.63 Bid-YTW : 4.72 % |
| SLF.PR.G | FixedReset | 1.90 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.03 Bid-YTW : 8.79 % |
| FTS.PR.H | FixedReset | 1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 14.23 Evaluated at bid price : 14.23 Bid-YTW : 4.26 % |
| TRP.PR.G | FixedReset | 1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 20.87 Evaluated at bid price : 20.87 Bid-YTW : 4.66 % |
| HSE.PR.E | FixedReset | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 22.26 Evaluated at bid price : 22.90 Bid-YTW : 4.95 % |
| MFC.PR.G | FixedReset | 2.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 4.98 % |
| IFC.PR.C | FixedReset | 2.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.48 Bid-YTW : 6.39 % |
| SLF.PR.J | FloatingReset | 2.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.90 Bid-YTW : 9.09 % |
| BAM.PR.T | FixedReset | 2.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 18.29 Evaluated at bid price : 18.29 Bid-YTW : 4.66 % |
| IFC.PR.A | FixedReset | 3.27 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.35 Bid-YTW : 8.01 % |
| GWO.PR.N | FixedReset | 3.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.10 Bid-YTW : 9.63 % |
| MFC.PR.F | FixedReset | 3.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.00 Bid-YTW : 9.11 % |
| PWF.PR.P | FixedReset | 3.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 15.16 Evaluated at bid price : 15.16 Bid-YTW : 4.22 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PR.R | FixedReset | 199,850 | Scotia crossed blocks of 155,000 and 22,400, both at 16.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 5.03 % |
| RY.PR.I | FixedReset | 79,701 | RBC crossed blocks of 45,500 and 25,000, both at 24.50. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 3.66 % |
| BMO.PR.T | FixedReset | 76,306 | Nesbitt crossed 15,000 at 20.06 and 50,000 at 19.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 19.93 Evaluated at bid price : 19.93 Bid-YTW : 4.18 % |
| IFC.PR.A | FixedReset | 70,380 | Desjardins crossed 60,000 at 17.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.35 Bid-YTW : 8.01 % |
| CM.PR.O | FixedReset | 60,325 | RBC crossed 50,000 at 20.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 20.09 Evaluated at bid price : 20.09 Bid-YTW : 4.25 % |
| PWF.PR.P | FixedReset | 37,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-17 Maturity Price : 15.16 Evaluated at bid price : 15.16 Bid-YTW : 4.22 % |
| There were 37 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| HSE.PR.A | FixedReset | Quote: 14.72 – 15.29 Spot Rate : 0.5700 Average : 0.3310 YTW SCENARIO |
| TRP.PR.B | FixedReset | Quote: 13.22 – 13.69 Spot Rate : 0.4700 Average : 0.3168 YTW SCENARIO |
| BNS.PR.A | FloatingReset | Quote: 23.42 – 23.85 Spot Rate : 0.4300 Average : 0.2911 YTW SCENARIO |
| VNR.PR.A | FixedReset | Quote: 21.67 – 22.30 Spot Rate : 0.6300 Average : 0.4994 YTW SCENARIO |
| BAM.PR.G | FixedFloater | Quote: 15.36 – 15.85 Spot Rate : 0.4900 Average : 0.3722 YTW SCENARIO |
| SLF.PR.H | FixedReset | Quote: 19.26 – 19.56 Spot Rate : 0.3000 Average : 0.1896 YTW SCENARIO |
A lot of individual names with reasonable moves up or down yesterday, but the ETFs relatively flat, followed by the general weakness today – seems like rotation trading to me. Anyone else think we might be starting to see year end tax loss selling and rebalancing poking up its head?