No commentary today! Too much going on!
A mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 6bp, FixedResets up 15bp and DeemedRetractibes taking a 15bp loss. Volume was very heavy.
| 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 | -0.1073 % | 2,388.5 |
| FixedFloater | 4.74 % | 3.46 % | 15,165 | 19.08 | 1 | 0.0000 % | 3,592.3 |
| Floater | 2.51 % | 2.27 % | 48,078 | 21.55 | 4 | -0.1073 % | 2,578.9 |
| OpRet | 4.83 % | 3.94 % | 84,886 | 2.18 | 8 | -0.1400 % | 2,388.5 |
| SplitShare | 5.14 % | 3.81 % | 242,316 | 1.05 | 5 | -0.9717 % | 2,462.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1400 % | 2,184.0 |
| Perpetual-Premium | 5.75 % | 5.54 % | 123,016 | 1.28 | 9 | -0.1014 % | 2,032.7 |
| Perpetual-Discount | 5.54 % | 5.62 % | 130,659 | 14.40 | 15 | 0.0622 % | 2,113.2 |
| FixedReset | 5.21 % | 3.55 % | 197,166 | 3.00 | 54 | 0.1478 % | 2,277.4 |
| Deemed-Retractible | 5.22 % | 5.22 % | 386,079 | 8.24 | 53 | -0.1473 % | 2,081.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BNA.PR.E | SplitShare | -4.41 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 23.61 Bid-YTW : 5.87 % |
| TRP.PR.B | FixedReset | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-02-28 Maturity Price : 24.52 Evaluated at bid price : 24.57 Bid-YTW : 3.99 % |
| IAG.PR.E | Deemed-Retractible | -1.44 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.41 Bid-YTW : 5.70 % |
| SLF.PR.A | Deemed-Retractible | -1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.95 Bid-YTW : 5.75 % |
| SLF.PR.D | Deemed-Retractible | -1.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 5.97 % |
| IAG.PR.A | Deemed-Retractible | -1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 5.86 % |
| SLF.PR.F | FixedReset | 1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-30 Maturity Price : 25.00 Evaluated at bid price : 26.90 Bid-YTW : 3.51 % |
| SLF.PR.G | FixedReset | 1.24 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2015-07-30 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 4.01 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ALB.PR.B | SplitShare | 122,044 | New issue settled today. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-03-29 Maturity Price : 21.80 Evaluated at bid price : 21.90 Bid-YTW : 3.81 % |
| TCA.PR.X | Perpetual-Premium | 112,018 | RBC crossed 100,000 at 50.29. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-02-28 Maturity Price : 46.93 Evaluated at bid price : 50.20 Bid-YTW : 5.56 % |
| NA.PR.P | FixedReset | 81,767 | Issuer bid YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-17 Maturity Price : 25.00 Evaluated at bid price : 28.30 Bid-YTW : 2.26 % |
| CM.PR.H | Deemed-Retractible | 55,944 | TD crossed 22,400 at 24.42. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 5.17 % |
| BMO.PR.N | FixedReset | 52,175 | TD bought 20,000 from Nesbitt at 27.30, then crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-27 Maturity Price : 25.00 Evaluated at bid price : 27.31 Bid-YTW : 3.35 % |
| BMO.PR.P | FixedReset | 52,066 | Desjardins bought 10,000 from Nesbit at 26.67. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-03-27 Maturity Price : 25.00 Evaluated at bid price : 26.68 Bid-YTW : 3.63 % |
| There were 60 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BNA.PR.E | SplitShare | Quote: 23.61 – 24.50 Spot Rate : 0.8900 Average : 0.5879 YTW SCENARIO |
| SLF.PR.A | Deemed-Retractible | Quote: 22.95 – 23.37 Spot Rate : 0.4200 Average : 0.2576 YTW SCENARIO |
| BAM.PR.I | OpRet | Quote: 25.50 – 25.95 Spot Rate : 0.4500 Average : 0.3070 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 22.45 – 22.83 Spot Rate : 0.3800 Average : 0.2713 YTW SCENARIO |
| TD.PR.M | OpRet | Quote: 25.61 – 25.89 Spot Rate : 0.2800 Average : 0.1792 YTW SCENARIO |
| BAM.PR.P | FixedReset | Quote: 27.51 – 27.84 Spot Rate : 0.3300 Average : 0.2451 YTW SCENARIO |