It was another negative day for the Canadian preferred share market, with PerpetualDiscounts losing 17bp, FixedResets down 11bp and DeemedRetractibles flat. Volatility was modest. Volume was high.
| 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 | 0.1708 % | 2,486.2 |
| FixedFloater | 4.27 % | 3.56 % | 38,312 | 18.21 | 1 | 0.0000 % | 3,927.7 |
| Floater | 2.98 % | 3.02 % | 64,033 | 19.62 | 3 | 0.1708 % | 2,684.4 |
| OpRet | 4.62 % | -3.08 % | 79,231 | 0.08 | 3 | 0.0000 % | 2,659.9 |
| SplitShare | 4.88 % | 4.61 % | 70,897 | 4.53 | 5 | -0.0564 % | 2,998.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 2,432.3 |
| Perpetual-Premium | 5.61 % | 4.92 % | 134,185 | 0.39 | 13 | 0.0031 % | 2,305.4 |
| Perpetual-Discount | 5.62 % | 5.62 % | 165,324 | 14.42 | 25 | -0.1709 % | 2,339.4 |
| FixedReset | 4.98 % | 3.44 % | 230,852 | 3.31 | 82 | -0.1073 % | 2,478.9 |
| Deemed-Retractible | 5.09 % | 4.09 % | 196,955 | 1.41 | 42 | 0.0000 % | 2,417.6 |
| FloatingReset | 2.64 % | 2.33 % | 343,668 | 4.43 | 5 | 0.0158 % | 2,464.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CIU.PR.C | FixedReset | -2.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-05 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 3.80 % |
| SLF.PR.G | FixedReset | -1.64 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.21 Bid-YTW : 4.63 % |
| CU.PR.D | Perpetual-Discount | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-05 Maturity Price : 22.14 Evaluated at bid price : 22.44 Bid-YTW : 5.48 % |
| BAM.PF.D | Perpetual-Discount | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-05 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 6.33 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.H | FixedReset | 134,920 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-05 Maturity Price : 22.51 Evaluated at bid price : 23.40 Bid-YTW : 4.14 % |
| CU.PR.D | Perpetual-Discount | 100,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-05 Maturity Price : 22.14 Evaluated at bid price : 22.44 Bid-YTW : 5.48 % |
| FTS.PR.J | Perpetual-Discount | 87,550 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-05 Maturity Price : 22.21 Evaluated at bid price : 22.52 Bid-YTW : 5.29 % |
| CU.PR.E | Perpetual-Discount | 85,530 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-05 Maturity Price : 22.26 Evaluated at bid price : 22.58 Bid-YTW : 5.45 % |
| TRP.PR.D | FixedReset | 82,407 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 3.93 % |
| TRP.PR.B | FixedReset | 77,594 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-05 Maturity Price : 20.37 Evaluated at bid price : 20.37 Bid-YTW : 3.82 % |
| There were 52 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CGI.PR.D | SplitShare | Quote: 24.36 – 24.87 Spot Rate : 0.5100 Average : 0.3385 YTW SCENARIO |
| GWO.PR.P | Deemed-Retractible | Quote: 24.62 – 24.95 Spot Rate : 0.3300 Average : 0.1997 YTW SCENARIO |
| CU.PR.D | Perpetual-Discount | Quote: 22.44 – 22.79 Spot Rate : 0.3500 Average : 0.2252 YTW SCENARIO |
| CIU.PR.C | FixedReset | Quote: 21.16 – 21.50 Spot Rate : 0.3400 Average : 0.2192 YTW SCENARIO |
| ELF.PR.H | Perpetual-Discount | Quote: 23.90 – 24.22 Spot Rate : 0.3200 Average : 0.2082 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 20.61 – 20.99 Spot Rate : 0.3800 Average : 0.2688 YTW SCENARIO |
testing after change