No commentary today because … er … because … um … because it’s a full moon! That’s it, full moon tonight, therefore no commentary.
A good day on the Canadian preferred share market, with PerpetualDiscounts up 13bp, FixedResets down 1bp, and DeemedRetractibles gaining 4bp. Volatility continued to be very low, with only one entry in the Performance Highlights table; volume subsided to average levels.
| 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 | 0.0476 % | 2,398.5 |
| FixedFloater | 4.75 % | 3.47 % | 16,920 | 19.10 | 1 | -0.4348 % | 3,584.4 |
| Floater | 2.50 % | 2.26 % | 49,519 | 21.58 | 4 | 0.0476 % | 2,589.7 |
| OpRet | 4.83 % | 3.71 % | 62,447 | 2.21 | 8 | -0.0404 % | 2,388.9 |
| SplitShare | 5.35 % | 0.78 % | 261,573 | 0.81 | 4 | 0.0606 % | 2,468.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0404 % | 2,184.5 |
| Perpetual-Premium | 5.74 % | 5.48 % | 124,486 | 1.07 | 9 | 0.0507 % | 2,035.8 |
| Perpetual-Discount | 5.54 % | 5.61 % | 130,461 | 14.42 | 15 | 0.1331 % | 2,110.6 |
| FixedReset | 5.25 % | 3.77 % | 183,931 | 3.03 | 54 | -0.0054 % | 2,260.7 |
| Deemed-Retractible | 5.20 % | 5.23 % | 392,981 | 8.26 | 53 | 0.0397 % | 2,085.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.R | FixedReset | 1.40 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-07-30 Maturity Price : 25.00 Evaluated at bid price : 26.16 Bid-YTW : 4.60 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.L | Deemed-Retractible | 42,490 | TD crossed 35,000 at 24.01. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.99 Bid-YTW : 5.04 % |
| RY.PR.B | Deemed-Retractible | 38,973 | TD crossed 25,000 at 24.20. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.25 Bid-YTW : 5.08 % |
| HSB.PR.D | Deemed-Retractible | 24,700 | Desjardins crossed 17,000 at 24.05. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.05 Bid-YTW : 5.59 % |
| TRP.PR.B | FixedReset | 22,755 | YTW SCENARIO Maturity Type : Call Maturity Date : 2015-07-30 Maturity Price : 25.00 Evaluated at bid price : 25.13 Bid-YTW : 4.03 % |
| GWO.PR.L | Deemed-Retractible | 20,450 | RBC crossed 12,000 at 25.07. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.07 Bid-YTW : 5.75 % |
| RY.PR.A | Deemed-Retractible | 20,399 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.82 Bid-YTW : 5.04 % |
| There were 35 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.A | Floater | Quote: 23.24 – 23.89 Spot Rate : 0.6500 Average : 0.4791 YTW SCENARIO |
| FTS.PR.H | FixedReset | Quote: 25.50 – 25.95 Spot Rate : 0.4500 Average : 0.3315 YTW SCENARIO |
| GWO.PR.F | Deemed-Retractible | Quote: 25.40 – 25.74 Spot Rate : 0.3400 Average : 0.2389 YTW SCENARIO |
| BAM.PR.I | OpRet | Quote: 25.31 – 25.70 Spot Rate : 0.3900 Average : 0.3014 YTW SCENARIO |
| PWF.PR.L | Perpetual-Discount | Quote: 23.31 – 23.54 Spot Rate : 0.2300 Average : 0.1655 YTW SCENARIO |
| GWO.PR.M | Deemed-Retractible | Quote: 25.25 – 25.45 Spot Rate : 0.2000 Average : 0.1360 YTW SCENARIO |