Nothing happened today.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts losing 4bp, FixedResets up 10bp and DeemedRetractibles gaining 41bp. The Performance Highlights table was comprised entirely of strongly performing bank DeemedRetractibles, almost certainly due to news that CM will prioritize preferred share redemptions as a use of its excess capital. Volume was strong.
| 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 | -0.0948 % | 2,419.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0948 % | 3,639.0 |
| Floater | 2.49 % | 2.26 % | 35,105 | 21.63 | 4 | -0.0948 % | 2,612.5 |
| OpRet | 4.91 % | 3.40 % | 57,138 | 2.05 | 8 | 0.1158 % | 2,413.5 |
| SplitShare | 5.21 % | -1.89 % | 81,402 | 0.63 | 6 | -0.1291 % | 2,495.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1158 % | 2,206.9 |
| Perpetual-Premium | 5.79 % | 5.62 % | 124,326 | 6.12 | 8 | 0.1441 % | 2,052.6 |
| Perpetual-Discount | 5.58 % | 5.58 % | 133,843 | 14.38 | 16 | -0.0412 % | 2,122.6 |
| FixedReset | 5.18 % | 3.46 % | 218,011 | 2.90 | 57 | 0.1034 % | 2,293.5 |
| Deemed-Retractible | 5.26 % | 5.13 % | 315,125 | 8.12 | 53 | 0.4070 % | 2,085.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BMO.PR.K | Deemed-Retractible | 1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-25 Maturity Price : 25.00 Evaluated at bid price : 25.27 Bid-YTW : 4.98 % |
| RY.PR.D | Deemed-Retractible | 1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.74 Bid-YTW : 5.10 % |
| RY.PR.C | Deemed-Retractible | 1.57 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.91 Bid-YTW : 5.12 % |
| CM.PR.J | Deemed-Retractible | 1.70 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.92 Bid-YTW : 5.05 % |
| CM.PR.H | Deemed-Retractible | 1.81 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.69 Bid-YTW : 4.98 % |
| CM.PR.I | Deemed-Retractible | 1.84 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 5.04 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.D | FixedReset | 121,669 | TD crossed blocks of 17,300 and 10,000, RBC crossed 50,000 and 25,000 and TD bought 10,000 from CIBC, all at 27.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 27.46 Bid-YTW : 3.64 % |
| TD.PR.R | Deemed-Retractible | 119,333 | RBC crossed two blocks of 50,000 each, both at 25.98. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-05-30 Maturity Price : 25.00 Evaluated at bid price : 25.93 Bid-YTW : 4.91 % |
| BNS.PR.O | Deemed-Retractible | 103,700 | Nesbitt and TD both crossed 50,000 at 25.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-05-26 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 5.13 % |
| MFC.PR.C | Deemed-Retractible | 65,043 | RBC crossed 15,000 and TD crossed 24,300, both at 21.02. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.92 Bid-YTW : 6.76 % |
| RY.PR.R | FixedReset | 59,736 | Nesbitt crossed 50,000 at 26.90. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 26.91 Bid-YTW : 3.39 % |
| CM.PR.D | Deemed-Retractible | 55,206 | RBC crossed 48,600 at 25.43. YTW SCENARIO Maturity Type : Call Maturity Date : 2011-05-30 Maturity Price : 25.25 Evaluated at bid price : 25.40 Bid-YTW : -1.43 % |
| There were 51 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| RY.PR.B | Deemed-Retractible | Quote: 24.13 – 24.58 Spot Rate : 0.4500 Average : 0.3186 YTW SCENARIO |
| GWO.PR.F | Deemed-Retractible | Quote: 25.20 – 25.54 Spot Rate : 0.3400 Average : 0.2399 YTW SCENARIO |
| BAM.PR.J | OpRet | Quote: 26.89 – 27.20 Spot Rate : 0.3100 Average : 0.2183 YTW SCENARIO |
| PWF.PR.L | Perpetual-Discount | Quote: 22.95 – 23.23 Spot Rate : 0.2800 Average : 0.2011 YTW SCENARIO |
| BMO.PR.M | FixedReset | Quote: 25.93 – 26.18 Spot Rate : 0.2500 Average : 0.1724 YTW SCENARIO |
| BAM.PR.I | OpRet | Quote: 25.31 – 25.60 Spot Rate : 0.2900 Average : 0.2134 YTW SCENARIO |