Nothing happened today.
It was another day of solid recovery for the Canadian preferred share market, with PerpetualDiscounts winning 26bp, FixedResets gaining 10bp and DeemedRetractibles up 15bp. The Performance Highlights table is suitably bulky, comprised entirely of winners. 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 |
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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 | 0.3909 % | 2,574.6 |
| FixedFloater | 4.22 % | 3.50 % | 41,237 | 18.40 | 1 | 1.1236 % | 3,932.8 |
| Floater | 2.73 % | 2.93 % | 86,335 | 19.93 | 4 | 0.3909 % | 2,779.9 |
| OpRet | 4.60 % | 1.79 % | 75,091 | 0.71 | 3 | 0.2049 % | 2,622.4 |
| SplitShare | 4.67 % | 4.14 % | 67,124 | 3.94 | 6 | 0.0383 % | 2,970.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2049 % | 2,397.9 |
| Perpetual-Premium | 5.60 % | 4.06 % | 100,281 | 0.78 | 12 | 0.2813 % | 2,290.3 |
| Perpetual-Discount | 5.35 % | 5.25 % | 139,247 | 14.78 | 26 | 0.2609 % | 2,409.5 |
| FixedReset | 4.95 % | 3.40 % | 235,243 | 3.58 | 83 | 0.1004 % | 2,486.0 |
| Deemed-Retractible | 5.04 % | 4.50 % | 185,094 | 6.91 | 43 | 0.1558 % | 2,393.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.M | Deemed-Retractible | 1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-03-31 Maturity Price : 25.00 Evaluated at bid price : 26.10 Bid-YTW : 4.98 % |
| TRI.PR.B | Floater | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-07-12 Maturity Price : 23.20 Evaluated at bid price : 23.50 Bid-YTW : 2.21 % |
| BAM.PR.G | FixedFloater | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-07-12 Maturity Price : 22.81 Evaluated at bid price : 22.50 Bid-YTW : 3.50 % |
| GWO.PR.G | Deemed-Retractible | 1.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 5.30 % |
| 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 : 25.30 Bid-YTW : 5.31 % |
| ELF.PR.H | Perpetual-Premium | 1.29 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 25.22 Bid-YTW : 5.38 % |
| MFC.PR.F | FixedReset | 2.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 3.47 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.P | FixedReset | 79,800 | TD crossed 49,500 at 24.75; National crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-04-25 Maturity Price : 25.00 Evaluated at bid price : 24.61 Bid-YTW : 3.68 % |
| BNS.PR.N | Deemed-Retractible | 52,750 | TD crossed 50,000 at 25.71. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-01-27 Maturity Price : 25.00 Evaluated at bid price : 25.68 Bid-YTW : 4.35 % |
| ENB.PR.F | FixedReset | 45,721 | TD crossed 30,300 at 24.95. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-07-12 Maturity Price : 23.15 Evaluated at bid price : 24.95 Bid-YTW : 4.11 % |
| MFC.PR.I | FixedReset | 43,983 | Desjardins crossed 30,000 at 25.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.95 Bid-YTW : 3.51 % |
| ENB.PR.Y | FixedReset | 40,680 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-07-12 Maturity Price : 23.08 Evaluated at bid price : 24.93 Bid-YTW : 3.99 % |
| MFC.PR.K | FixedReset | 36,325 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 3.74 % |
| There were 37 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.G | FixedFloater | Quote: 22.50 – 22.95 Spot Rate : 0.4500 Average : 0.3645 YTW SCENARIO |
| CIU.PR.C | FixedReset | Quote: 24.51 – 24.96 Spot Rate : 0.4500 Average : 0.3676 YTW SCENARIO |
| RY.PR.W | Perpetual-Premium | Quote: 25.05 – 25.25 Spot Rate : 0.2000 Average : 0.1242 YTW SCENARIO |
| MFC.PR.H | FixedReset | Quote: 25.98 – 26.20 Spot Rate : 0.2200 Average : 0.1479 YTW SCENARIO |
| FTS.PR.J | Perpetual-Discount | Quote: 23.60 – 23.99 Spot Rate : 0.3900 Average : 0.3184 YTW SCENARIO |
| BMO.PR.J | Deemed-Retractible | Quote: 25.25 – 25.50 Spot Rate : 0.2500 Average : 0.1853 YTW SCENARIO |