Nothing happened today.
It was a good day for the Canadian preferred share market, with PerpetualDiscounts winning 38bp, FixedResets gaining 11bp and DeemedRetractibles up 16bp. The performance highlights table is short, but comprised entirely of winning PerpetualDiscounts. Volume was 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 | -0.5263 % | 2,345.1 |
| FixedFloater | 4.60 % | 3.85 % | 27,781 | 17.74 | 1 | 0.1941 % | 3,688.9 |
| Floater | 3.09 % | 3.17 % | 56,417 | 19.29 | 4 | -0.5263 % | 2,532.1 |
| OpRet | 4.60 % | 0.29 % | 75,655 | 0.15 | 3 | 0.1279 % | 2,684.5 |
| SplitShare | 4.86 % | 4.93 % | 60,729 | 4.37 | 5 | 0.1769 % | 3,018.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1279 % | 2,454.7 |
| Perpetual-Premium | 5.65 % | 1.09 % | 105,935 | 0.09 | 12 | 0.1701 % | 2,338.1 |
| Perpetual-Discount | 5.53 % | 5.57 % | 160,004 | 14.53 | 26 | 0.3760 % | 2,396.4 |
| FixedReset | 4.91 % | 3.61 % | 216,641 | 4.16 | 81 | 0.1051 % | 2,488.0 |
| Deemed-Retractible | 5.12 % | 3.98 % | 173,598 | 1.96 | 42 | 0.1603 % | 2,420.4 |
| FloatingReset | 2.66 % | 2.54 % | 186,768 | 4.29 | 6 | 0.1271 % | 2,447.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.F | Perpetual-Discount | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-04 Maturity Price : 23.53 Evaluated at bid price : 23.80 Bid-YTW : 5.54 % |
| CU.PR.F | Perpetual-Discount | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-04 Maturity Price : 21.38 Evaluated at bid price : 21.38 Bid-YTW : 5.27 % |
| CU.PR.G | Perpetual-Discount | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-04 Maturity Price : 21.19 Evaluated at bid price : 21.19 Bid-YTW : 5.32 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.E | FixedReset | 108,100 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-04 Maturity Price : 23.04 Evaluated at bid price : 24.78 Bid-YTW : 3.94 % |
| RY.PR.Z | FixedReset | 89,159 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-04 Maturity Price : 23.14 Evaluated at bid price : 24.99 Bid-YTW : 3.71 % |
| RY.PR.I | FixedReset | 67,873 | Will reset at 3.52%. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.69 Bid-YTW : 3.68 % |
| BNS.PR.X | FixedReset | 51,839 | RBC crossed 50,000 at 25.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 2.27 % |
| BNS.PR.Z | FixedReset | 45,751 | Scotia crossed blocks of 25,000 and 10,800, both at 23.65. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.73 Bid-YTW : 3.88 % |
| RY.PR.L | FixedReset | 32,275 | Will reset at 4.26%. Yield to Deemed Maturity 2022-01-31 at 25.00 is 3.75%. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 25.84 Bid-YTW : -19.75 % |
| There were 32 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.G | FixedReset | Quote: 25.96 – 26.30 Spot Rate : 0.3400 Average : 0.2148 YTW SCENARIO |
| IAG.PR.F | Deemed-Retractible | Quote: 25.49 – 25.83 Spot Rate : 0.3400 Average : 0.2633 YTW SCENARIO |
| SLF.PR.F | FixedReset | Quote: 25.51 – 25.72 Spot Rate : 0.2100 Average : 0.1404 YTW SCENARIO |
| BNS.PR.A | FloatingReset | Quote: 25.30 – 25.48 Spot Rate : 0.1800 Average : 0.1140 YTW SCENARIO |
| GWO.PR.L | Deemed-Retractible | Quote: 25.19 – 25.40 Spot Rate : 0.2100 Average : 0.1440 YTW SCENARIO |
| PWF.PR.L | Perpetual-Discount | Quote: 23.27 – 23.65 Spot Rate : 0.3800 Average : 0.3261 YTW SCENARIO |