Nothing happened today, as the world waits with bated breath for me to finish server-fiddling.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts and FixedResets both down 9bp, while DeemedRetractibles were up 18bp. Volatility was long-term normal. Volume was 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 | 0.1848 % | 2,553.5 |
| FixedFloater | 4.27 % | 3.55 % | 31,624 | 18.25 | 1 | 0.0450 % | 3,927.7 |
| Floater | 2.91 % | 2.93 % | 59,023 | 19.87 | 3 | 0.1848 % | 2,757.1 |
| OpRet | 4.62 % | -6.46 % | 71,956 | 0.08 | 3 | 0.5026 % | 2,663.0 |
| SplitShare | 4.72 % | 5.15 % | 66,921 | 3.90 | 6 | 0.1418 % | 2,974.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5026 % | 2,435.1 |
| Perpetual-Premium | 5.58 % | 4.30 % | 124,961 | 0.29 | 11 | 0.1315 % | 2,308.0 |
| Perpetual-Discount | 5.56 % | 5.56 % | 182,699 | 14.54 | 27 | -0.0857 % | 2,368.5 |
| FixedReset | 4.98 % | 3.41 % | 227,582 | 3.32 | 82 | -0.0890 % | 2,478.1 |
| Deemed-Retractible | 5.05 % | 3.93 % | 194,529 | 1.45 | 42 | 0.1774 % | 2,424.6 |
| FloatingReset | 2.65 % | 2.41 % | 313,698 | 4.47 | 5 | 0.0238 % | 2,459.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CIU.PR.C | FixedReset | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-19 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 3.81 % |
| GWO.PR.N | FixedReset | -1.50 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.31 Bid-YTW : 4.52 % |
| CGI.PR.D | SplitShare | 1.03 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2023-06-14 Maturity Price : 25.00 Evaluated at bid price : 24.45 Bid-YTW : 4.14 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.C | FixedReset | 181,003 | Desjardins crossed blocks of 77,400 and 80,000, both at 22.75. Nesbitt crossed 12,000 at 22.95. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-19 Maturity Price : 22.38 Evaluated at bid price : 22.75 Bid-YTW : 3.77 % |
| HSE.PR.A | FixedReset | 75,652 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-19 Maturity Price : 22.67 Evaluated at bid price : 23.24 Bid-YTW : 3.91 % |
| BMO.PR.L | Deemed-Retractible | 69,450 | RBC crossed 64,300 at 26.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-19 Maturity Price : 26.00 Evaluated at bid price : 26.55 Bid-YTW : -19.96 % |
| SLF.PR.A | Deemed-Retractible | 60,216 | RBC crossed 49,600 at 22.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.83 Bid-YTW : 5.94 % |
| RY.PR.Y | FixedReset | 49,202 | RBC crossed 48,700 at 26.10. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-11-24 Maturity Price : 25.00 Evaluated at bid price : 26.02 Bid-YTW : 1.96 % |
| TRP.PR.B | FixedReset | 46,549 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-19 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 3.81 % |
| There were 35 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.N | FixedReset | Quote: 22.31 – 22.89 Spot Rate : 0.5800 Average : 0.4312 YTW SCENARIO |
| CIU.PR.C | FixedReset | Quote: 21.15 – 21.68 Spot Rate : 0.5300 Average : 0.4010 YTW SCENARIO |
| BNA.PR.E | SplitShare | Quote: 25.00 – 25.32 Spot Rate : 0.3200 Average : 0.2138 YTW SCENARIO |
| TD.PR.P | Deemed-Retractible | Quote: 26.05 – 26.51 Spot Rate : 0.4600 Average : 0.3553 YTW SCENARIO |
| BNS.PR.Y | FixedReset | Quote: 23.61 – 24.04 Spot Rate : 0.4300 Average : 0.3342 YTW SCENARIO |
| HSE.PR.A | FixedReset | Quote: 23.24 – 23.70 Spot Rate : 0.4600 Average : 0.3651 YTW SCENARIO |