It was a good day for the Canadian preferred share market, with PerpetualDiscounts winning 13bp, FixedResets up 5bp and DeemedRetractibles gaining 8bp. Volatility was quite good, with five winners and two losers. Volume was below average.
| 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 | -0.8898 % | 2,061.4 |
| FixedFloater | 4.87 % | 4.61 % | 35,654 | 17.11 | 1 | 1.5096 % | 3,163.2 |
| Floater | 3.21 % | 3.51 % | 66,033 | 18.43 | 3 | -0.8898 % | 2,225.7 |
| OpRet | 4.90 % | 0.99 % | 54,722 | 1.44 | 6 | -0.0640 % | 2,477.3 |
| SplitShare | 5.80 % | 6.71 % | 60,355 | 5.12 | 3 | 0.7107 % | 2,528.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0640 % | 2,265.2 |
| Perpetual-Premium | 5.52 % | 3.12 % | 95,837 | 0.87 | 18 | -0.0620 % | 2,157.2 |
| Perpetual-Discount | 5.25 % | 5.20 % | 108,186 | 15.04 | 12 | 0.1315 % | 2,304.8 |
| FixedReset | 5.11 % | 3.10 % | 229,740 | 2.47 | 64 | 0.0458 % | 2,338.1 |
| Deemed-Retractible | 5.04 % | 4.37 % | 193,929 | 3.82 | 46 | 0.0812 % | 2,224.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.A | Floater | -2.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-06 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 2.78 % |
| IGM.PR.B | Perpetual-Premium | -1.07 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.84 Bid-YTW : 5.46 % |
| SLF.PR.G | FixedReset | 1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.14 Bid-YTW : 4.26 % |
| PWF.PR.M | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-31 Maturity Price : 25.00 Evaluated at bid price : 26.60 Bid-YTW : 3.20 % |
| TD.PR.O | Deemed-Retractible | 1.25 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-10-31 Maturity Price : 25.50 Evaluated at bid price : 25.85 Bid-YTW : 3.73 % |
| BNA.PR.D | SplitShare | 1.42 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-01-05 Maturity Price : 26.00 Evaluated at bid price : 26.51 Bid-YTW : -16.23 % |
| BAM.PR.G | FixedFloater | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-06 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 4.61 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CU.PR.B | Perpetual-Premium | 93,346 | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-01-05 Maturity Price : 25.25 Evaluated at bid price : 25.59 Bid-YTW : -9.16 % |
| MFC.PR.G | FixedReset | 93,042 | New issue settled today. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.10 Bid-YTW : 4.81 % |
| BNS.PR.O | Deemed-Retractible | 64,604 | Scotia crossed 50,000 at 26.82. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-04-26 Maturity Price : 26.00 Evaluated at bid price : 26.75 Bid-YTW : 3.63 % |
| ENB.PR.D | FixedReset | 54,128 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-06 Maturity Price : 23.14 Evaluated at bid price : 25.11 Bid-YTW : 3.67 % |
| IFC.PR.C | FixedReset | 30,000 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.21 Bid-YTW : 4.12 % |
| CM.PR.G | Perpetual-Discount | 27,820 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-01 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 5.34 % |
| There were 26 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: 19.00 – 20.47 Spot Rate : 1.4700 Average : 1.1413 YTW SCENARIO |
| ELF.PR.G | Perpetual-Discount | Quote: 21.20 – 21.95 Spot Rate : 0.7500 Average : 0.4863 YTW SCENARIO |
| HSB.PR.D | Deemed-Retractible | Quote: 25.15 – 25.58 Spot Rate : 0.4300 Average : 0.2684 YTW SCENARIO |
| PWF.PR.H | Perpetual-Premium | Quote: 25.22 – 25.59 Spot Rate : 0.3700 Average : 0.2839 YTW SCENARIO |
| PWF.PR.F | Perpetual-Discount | Quote: 24.84 – 25.08 Spot Rate : 0.2400 Average : 0.1623 YTW SCENARIO |
| GWO.PR.M | Deemed-Retractible | Quote: 25.62 – 25.95 Spot Rate : 0.3300 Average : 0.2551 YTW SCENARIO |