Nothing happened today.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts roaring ahead 34bp, while FixedResets were down 4bp and DeemedRetractibles gained 8bp. Volatility was quite good, with Floaters doing particularly well. Volume continued to be abyssmally low.
| 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 | 2.5051 % | 2,145.7 |
| FixedFloater | 4.85 % | 4.53 % | 38,039 | 17.36 | 1 | 0.5128 % | 3,179.4 |
| Floater | 3.10 % | 3.37 % | 67,834 | 18.85 | 3 | 2.5051 % | 2,316.8 |
| OpRet | 5.02 % | 3.87 % | 66,519 | 1.36 | 7 | -0.3713 % | 2,461.4 |
| SplitShare | 5.44 % | 1.71 % | 70,787 | 0.93 | 4 | -0.0821 % | 2,570.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3713 % | 2,250.7 |
| Perpetual-Premium | 5.43 % | -3.89 % | 88,898 | 0.09 | 23 | 0.2054 % | 2,194.6 |
| Perpetual-Discount | 5.18 % | 5.12 % | 137,518 | 15.27 | 7 | 0.3412 % | 2,336.0 |
| FixedReset | 5.08 % | 2.91 % | 203,530 | 2.39 | 64 | -0.0424 % | 2,358.9 |
| Deemed-Retractible | 4.99 % | 3.55 % | 184,520 | 1.89 | 46 | 0.0785 % | 2,256.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.I | OpRet | -2.34 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.02 Bid-YTW : 5.44 % |
| CM.PR.M | FixedReset | -1.37 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 27.27 Bid-YTW : 2.66 % |
| GWO.PR.N | FixedReset | -1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.16 Bid-YTW : 3.94 % |
| MFC.PR.C | Deemed-Retractible | -1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.41 Bid-YTW : 6.53 % |
| BAM.PR.P | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-30 Maturity Price : 25.00 Evaluated at bid price : 27.07 Bid-YTW : 3.84 % |
| SLF.PR.B | Deemed-Retractible | 1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 6.22 % |
| PWF.PR.K | Perpetual-Discount | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-03 Maturity Price : 24.22 Evaluated at bid price : 24.70 Bid-YTW : 5.07 % |
| SLF.PR.I | FixedReset | 1.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 4.53 % |
| PWF.PR.A | Floater | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-03 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 2.68 % |
| BAM.PR.B | Floater | 2.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-03 Maturity Price : 15.64 Evaluated at bid price : 15.64 Bid-YTW : 3.37 % |
| BAM.PR.K | Floater | 3.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-03 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 3.44 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.I | Perpetual-Premium | 75,403 | Desjardins crossed 25,000 at 25.95; RBC crossed 50,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-02-02 Maturity Price : 25.25 Evaluated at bid price : 25.94 Bid-YTW : -14.17 % |
| BAM.PR.O | OpRet | 52,156 | RBC crossed 50,000 at 25.50. YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.37 Bid-YTW : 4.02 % |
| RY.PR.A | Deemed-Retractible | 36,852 | Scotia crossed 10,000 at 25.82; RBC crossed 24,400 at 25.85. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 3.48 % |
| SLF.PR.H | FixedReset | 23,091 | Nesbitt crossed 10,000 at 22.60. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.51 Bid-YTW : 4.98 % |
| MFC.PR.G | FixedReset | 23,025 | Recent fire sale. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.96 Bid-YTW : 4.89 % |
| SLF.PR.I | FixedReset | 17,060 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 4.53 % |
| There were 7 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.I | OpRet | Quote: 25.02 – 26.00 Spot Rate : 0.9800 Average : 0.7092 YTW SCENARIO |
| RY.PR.X | FixedReset | Quote: 27.41 – 28.08 Spot Rate : 0.6700 Average : 0.4060 YTW SCENARIO |
| W.PR.J | Perpetual-Premium | Quote: 25.22 – 25.78 Spot Rate : 0.5600 Average : 0.4364 YTW SCENARIO |
| MFC.PR.C | Deemed-Retractible | Quote: 21.41 – 21.85 Spot Rate : 0.4400 Average : 0.3177 YTW SCENARIO |
| NA.PR.P | FixedReset | Quote: 27.10 – 27.48 Spot Rate : 0.3800 Average : 0.2715 YTW SCENARIO |
| BMO.PR.H | Deemed-Retractible | Quote: 25.92 – 26.23 Spot Rate : 0.3100 Average : 0.2035 YTW SCENARIO |