Nothing happened today.
It was a mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 4bp, FixedResets down 14 bp and DeemedRetractibles up 9bp. The Performance Highlights table includes only the perpetually volatile IAG.PR.A – by the HIMIPref™ measure of volatility with respect to the Flat Bid Price, this is the third most volatile issue in the HIMIPref™ universe, and the most volatile index-included issue. The HIMIPref™ measure of volatility considers only those movements of the adjusted bid value that are contrary to the current trend (which is currently slightly negative). Volume was slightly below 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 | 0.1206 % | 2,300.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1206 % | 3,441.7 |
| Floater | 3.16 % | 3.16 % | 73,935 | 19.35 | 3 | 0.1206 % | 2,484.2 |
| OpRet | 4.79 % | 2.70 % | 42,305 | 0.95 | 5 | -0.1464 % | 2,516.9 |
| SplitShare | 5.51 % | 4.97 % | 86,680 | 4.72 | 3 | 0.0134 % | 2,746.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1464 % | 2,301.4 |
| Perpetual-Premium | 5.37 % | 3.77 % | 86,603 | 0.51 | 28 | 0.0441 % | 2,253.4 |
| Perpetual-Discount | 5.00 % | 4.95 % | 112,323 | 15.53 | 6 | 0.0964 % | 2,488.7 |
| FixedReset | 5.02 % | 2.99 % | 191,910 | 4.81 | 70 | -0.1416 % | 2,409.1 |
| Deemed-Retractible | 4.98 % | 3.76 % | 154,958 | 2.88 | 46 | 0.0934 % | 2,329.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IAG.PR.A | Deemed-Retractible | 1.69 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.40 Bid-YTW : 5.52 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| SLF.PR.E | Deemed-Retractible | 188,325 | Nesbitt crossed 175,000 at 22.65. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 5.88 % |
| ENB.PR.D | FixedReset | 167,736 | Scotia crossed 30,000 at 25.25; RBC crossed 64,500 at 25.30; National crossed 30,000 at 25.30. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-10 Maturity Price : 23.22 Evaluated at bid price : 25.30 Bid-YTW : 3.50 % |
| CU.PR.E | Perpetual-Premium | 139,550 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-01 Maturity Price : 25.00 Evaluated at bid price : 25.31 Bid-YTW : 4.77 % |
| ENB.PR.F | FixedReset | 102,704 | Nesbitt crossed 35,000 at 25.25; Scotia crossed 18,000 at 25.30. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-10 Maturity Price : 23.21 Evaluated at bid price : 25.30 Bid-YTW : 3.61 % |
| RY.PR.X | FixedReset | 72,415 | RBC crossed 60,800 at 27.08. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-24 Maturity Price : 25.00 Evaluated at bid price : 27.04 Bid-YTW : 2.68 % |
| GWO.PR.Q | Deemed-Retractible | 71,270 | Recent new issue. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 5.13 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| POW.PR.G | Perpetual-Premium | Quote: 26.00 – 26.40 Spot Rate : 0.4000 Average : 0.2381 YTW SCENARIO |
| W.PR.H | Perpetual-Premium | Quote: 25.51 – 26.15 Spot Rate : 0.6400 Average : 0.4890 YTW SCENARIO |
| IGM.PR.B | Perpetual-Premium | Quote: 26.30 – 26.68 Spot Rate : 0.3800 Average : 0.2420 YTW SCENARIO |
| HSB.PR.C | Deemed-Retractible | Quote: 25.68 – 26.47 Spot Rate : 0.7900 Average : 0.6619 YTW SCENARIO |
| TCA.PR.X | Perpetual-Premium | Quote: 50.91 – 51.30 Spot Rate : 0.3900 Average : 0.2834 YTW SCENARIO |
| BAM.PR.B | Floater | Quote: 16.71 – 16.99 Spot Rate : 0.2800 Average : 0.1824 YTW SCENARIO |