Nothing happened today.
It was another mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 4bp, FixedResets dropping 19bp and DeemedRetractibles off 7bp. The slightly-longer-than-average Performance Highlights table is comprised entirely of FixedReset losers. Volume was enormous.
| 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 | 0.3178 % | 2,509.9 |
| FixedFloater | 4.36 % | 3.67 % | 28,067 | 18.04 | 1 | 0.5076 % | 3,728.6 |
| Floater | 2.77 % | 3.00 % | 63,064 | 19.72 | 4 | 0.3178 % | 2,710.1 |
| OpRet | 4.64 % | 0.87 % | 52,721 | 0.37 | 4 | -0.0860 % | 2,590.8 |
| SplitShare | 4.59 % | 4.54 % | 44,243 | 4.32 | 2 | -0.1195 % | 2,904.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0860 % | 2,369.1 |
| Perpetual-Premium | 5.25 % | -1.32 % | 77,542 | 0.12 | 30 | 0.0374 % | 2,346.6 |
| Perpetual-Discount | 4.85 % | 4.89 % | 135,267 | 15.65 | 4 | -0.0305 % | 2,645.5 |
| FixedReset | 4.92 % | 2.90 % | 228,587 | 3.59 | 78 | -0.1865 % | 2,475.9 |
| Deemed-Retractible | 4.87 % | 3.21 % | 122,205 | 0.34 | 45 | -0.0714 % | 2,426.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| FTS.PR.H | FixedReset | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-18 Maturity Price : 23.67 Evaluated at bid price : 25.51 Bid-YTW : 2.88 % |
| BMO.PR.M | FixedReset | -1.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 3.34 % |
| MFC.PR.F | FixedReset | -1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.62 Bid-YTW : 3.67 % |
| GWO.PR.J | FixedReset | -1.08 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 3.11 % |
| MFC.PR.E | FixedReset | -1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-19 Maturity Price : 25.00 Evaluated at bid price : 26.17 Bid-YTW : 3.01 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.T | FixedReset | 338,175 | Added to TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.43 Bid-YTW : 3.80 % |
| MFC.PR.J | FixedReset | 272,297 | Added to both TXPR and TXPL. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 3.40 % |
| BAM.PF.C | Perpetual-Discount | 196,649 | Added to TXPR. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-18 Maturity Price : 24.59 Evaluated at bid price : 24.98 Bid-YTW : 4.90 % |
| NA.PR.Q | FixedReset | 192,222 | Added to TXPR and TXPL. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-11-15 Maturity Price : 25.00 Evaluated at bid price : 26.40 Bid-YTW : 2.51 % |
| GWO.PR.R | Deemed-Retractible | 187,985 | Added to TXPR. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 4.53 % |
| BAM.PR.B | Floater | 184,462 | Nesbitt crossed 100,000 at 17.55; RBC crossed blocks of 49,700 and 12,700 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-18 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 3.01 % |
| RY.PR.X | FixedReset | 176,890 | Scotia crossed blocks of 85,100 and 69,500 at 26.93 and bought 15,400 from RBC at 26.92. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.88 Bid-YTW : 2.07 % |
| NA.PR.L | Deemed-Retractible | 155,878 | National crossed 25,000 at 25.50; Scotia crossed 40,000 at the same price; TD crossed 40,000 at the same price; and Nesbitt crossed 40,000 at the same price again. Hmmm … I wonder if a large manager was allocating one large internal cross? YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-15 Maturity Price : 25.25 Evaluated at bid price : 25.47 Bid-YTW : 0.93 % |
| FTS.PR.J | Perpetual-Premium | 109,247 | Added to TXPR. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.91 Bid-YTW : 4.39 % |
| MFC.PR.G | FixedReset | 103,374 | National crossed two blocks of 50,000 each, both at 26.40. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 26.25 Bid-YTW : 3.15 % |
| There were 82 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.C | FixedReset | Quote: 26.41 – 27.00 Spot Rate : 0.5900 Average : 0.4316 YTW SCENARIO |
| FTS.PR.E | OpRet | Quote: 26.58 – 27.00 Spot Rate : 0.4200 Average : 0.3052 YTW SCENARIO |
| GWO.PR.Q | Deemed-Retractible | Quote: 26.14 – 26.47 Spot Rate : 0.3300 Average : 0.2270 YTW SCENARIO |
| PWF.PR.M | FixedReset | Quote: 25.80 – 26.15 Spot Rate : 0.3500 Average : 0.2498 YTW SCENARIO |
| FTS.PR.H | FixedReset | Quote: 25.51 – 25.83 Spot Rate : 0.3200 Average : 0.2203 YTW SCENARIO |
| TD.PR.I | FixedReset | Quote: 26.46 – 26.77 Spot Rate : 0.3100 Average : 0.2219 YTW SCENARIO |