Nothing happened today.
It was a mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 7bp, FixedResets off 2bp and DeemedRetractibles gaining 6bp. Volatility was minimal. Volume was 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 | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0534 % | 2,466.8 |
| FixedFloater | 4.19 % | 3.54 % | 26,924 | 18.21 | 1 | -0.2203 % | 3,836.4 |
| Floater | 2.80 % | 3.00 % | 56,100 | 19.66 | 4 | 0.0534 % | 2,663.4 |
| OpRet | 4.60 % | 0.34 % | 38,854 | 0.57 | 4 | -0.1986 % | 2,599.0 |
| SplitShare | 5.45 % | 4.77 % | 62,738 | 4.45 | 3 | -0.1587 % | 2,855.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1986 % | 2,376.5 |
| Perpetual-Premium | 5.26 % | 1.80 % | 72,833 | 0.17 | 30 | 0.0744 % | 2,318.6 |
| Perpetual-Discount | 4.87 % | 4.90 % | 125,889 | 15.57 | 4 | -0.1324 % | 2,611.8 |
| FixedReset | 5.00 % | 3.01 % | 203,072 | 4.17 | 75 | -0.0215 % | 2,446.0 |
| Deemed-Retractible | 4.91 % | 2.86 % | 120,738 | 0.48 | 46 | 0.0591 % | 2,406.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IAG.PR.A | Deemed-Retractible | -1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.56 Bid-YTW : 4.81 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.P | FixedReset | 437,597 | RBC crossed blocks of 235,000 shares, 175,000 and 18,700, all at 26.65. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.62 Bid-YTW : 2.46 % |
| BAM.PF.C | Perpetual-Discount | 88,070 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-11-29 Maturity Price : 24.14 Evaluated at bid price : 24.50 Bid-YTW : 4.96 % |
| ENB.PR.P | FixedReset | 74,098 | Scotia bought 10,000 from CIBC at 25.07; Nesbitt crossed 25,000 at 25.08. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-11-29 Maturity Price : 23.12 Evaluated at bid price : 25.07 Bid-YTW : 3.73 % |
| TD.PR.Y | FixedReset | 71,122 | Desjardins crossed 30,000 at 24.80. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.73 Bid-YTW : 3.42 % |
| GWO.PR.J | FixedReset | 70,770 | National crossed 54,200 at 26.06. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.06 Bid-YTW : 1.57 % |
| GWO.PR.R | Deemed-Retractible | 46,100 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.03 Bid-YTW : 4.76 % |
| There were 37 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| FTS.PR.E | OpRet | Quote: 27.02 – 28.02 Spot Rate : 1.0000 Average : 0.5619 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 24.56 – 24.98 Spot Rate : 0.4200 Average : 0.2607 YTW SCENARIO |
| GWO.PR.M | Deemed-Retractible | Quote: 26.63 – 26.97 Spot Rate : 0.3400 Average : 0.2171 YTW SCENARIO |
| CU.PR.E | Perpetual-Premium | Quote: 26.26 – 26.59 Spot Rate : 0.3300 Average : 0.2251 YTW SCENARIO |
| IGM.PR.B | Perpetual-Premium | Quote: 26.86 – 27.24 Spot Rate : 0.3800 Average : 0.2807 YTW SCENARIO |
| GWO.PR.I | Deemed-Retractible | Quote: 24.22 – 24.55 Spot Rate : 0.3300 Average : 0.2314 YTW SCENARIO |