Nothing happened today.
It was another mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 4bp, FixedResets down 9bp and DeemedRetractibles flat. Volatility was low. Volume was average, with the highlights comprised entirely of FixedResets.
| 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 | 0.4865 % | 2,601.0 |
| FixedFloater | 4.10 % | 3.40 % | 32,621 | 18.58 | 1 | -0.2155 % | 4,003.7 |
| Floater | 2.68 % | 2.88 % | 92,331 | 20.06 | 4 | 0.4865 % | 2,808.4 |
| OpRet | 4.79 % | 1.33 % | 53,589 | 0.19 | 5 | -0.1232 % | 2,616.5 |
| SplitShare | 4.80 % | 4.01 % | 133,931 | 4.14 | 5 | 0.0550 % | 2,961.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1232 % | 2,392.5 |
| Perpetual-Premium | 5.18 % | 1.63 % | 86,433 | 0.50 | 32 | 0.0393 % | 2,382.9 |
| Perpetual-Discount | 4.83 % | 4.82 % | 179,843 | 15.77 | 4 | 0.0304 % | 2,692.4 |
| FixedReset | 4.92 % | 2.78 % | 257,408 | 3.79 | 80 | -0.0940 % | 2,510.3 |
| Deemed-Retractible | 4.86 % | 2.28 % | 127,207 | 0.46 | 44 | -0.0026 % | 2,459.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.G | FixedReset | -1.24 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 26.26 Bid-YTW : 3.04 % |
| PWF.PR.P | FixedReset | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-04-12 Maturity Price : 23.58 Evaluated at bid price : 25.52 Bid-YTW : 2.75 % |
| BAM.PR.B | Floater | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-04-12 Maturity Price : 18.33 Evaluated at bid price : 18.33 Bid-YTW : 2.88 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.S | FixedReset | 273,814 | National crossed blocks of 35,000 and 30,000, both at 24.85. RBC crossed three blocks: 75,000 shares, 15,400 and 24,300, all at 24.85. Scotia crossed 66,300 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.78 Bid-YTW : 2.93 % |
| BNS.PR.P | FixedReset | 238,215 | National crossed blocks of 35,000 and 30,000 at 25.15. RBC crossed blocks of 75,000 and 22,900 at the same price.
Note that this will not be called. It will reset to 3.35%. YTW SCENARIO |
| ENB.PR.F | FixedReset | 168,248 | Scotia crossed 75,000 at 26.05, then another 58,200 at 26.04. National crossed 25,000 at 26.03. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-06-01 Maturity Price : 25.00 Evaluated at bid price : 26.02 Bid-YTW : 3.25 % |
| BNS.PR.T | FixedReset | 154,325 | Nesbitt crossed 150,000 at 26.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-25 Maturity Price : 25.00 Evaluated at bid price : 26.02 Bid-YTW : 1.95 % |
| HSB.PR.E | FixedReset | 57,000 | Nesbitt crossed 50,000 at 26.40. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-30 Maturity Price : 25.00 Evaluated at bid price : 26.32 Bid-YTW : 2.36 % |
| SLF.PR.I | FixedReset | 55,400 | National crossed 38,900 at 26.27. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.23 Bid-YTW : 2.90 % |
| There were 33 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: 26.26 – 26.60 Spot Rate : 0.3400 Average : 0.1876 YTW SCENARIO |
| BAM.PR.C | Floater | Quote: 17.80 – 18.20 Spot Rate : 0.4000 Average : 0.2772 YTW SCENARIO |
| CIU.PR.C | FixedReset | Quote: 24.71 – 25.05 Spot Rate : 0.3400 Average : 0.2432 YTW SCENARIO |
| BNS.PR.Z | FixedReset | Quote: 24.75 – 24.95 Spot Rate : 0.2000 Average : 0.1142 YTW SCENARIO |
| BNA.PR.C | SplitShare | Quote: 25.00 – 25.24 Spot Rate : 0.2400 Average : 0.1591 YTW SCENARIO |
| GWO.PR.Q | Deemed-Retractible | Quote: 26.02 – 26.25 Spot Rate : 0.2300 Average : 0.1641 YTW SCENARIO |