Nothing happened today.
It was a good day for the Canadian preferred share market, helped along by my decision to stop commenting daily on the four issue PerpetualDiscount index. FixedResets were up 14bp and DeemedRetractibles wone 32bp. Volatility was average. Volume was huge.
| 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 | -0.0702 % | 2,414.4 |
| FixedFloater | 4.70 % | 4.07 % | 39,986 | 17.24 | 1 | -0.4926 % | 3,315.7 |
| Floater | 2.77 % | 2.98 % | 62,755 | 19.77 | 3 | -0.0702 % | 2,607.0 |
| OpRet | 4.81 % | -1.03 % | 68,171 | 1.29 | 6 | 0.0378 % | 2,528.2 |
| SplitShare | 5.30 % | -0.84 % | 78,308 | 0.85 | 4 | -0.0100 % | 2,639.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0378 % | 2,311.8 |
| Perpetual-Premium | 5.31 % | -3.51 % | 109,144 | 0.09 | 26 | 0.1947 % | 2,226.3 |
| Perpetual-Discount | 5.05 % | 4.92 % | 189,124 | 15.59 | 4 | -0.1549 % | 2,446.0 |
| FixedReset | 5.01 % | 2.63 % | 212,461 | 2.32 | 65 | 0.1389 % | 2,395.9 |
| Deemed-Retractible | 4.87 % | 2.01 % | 222,141 | 1.20 | 45 | 0.3187 % | 2,327.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| POW.PR.C | Perpetual-Premium | -1.22 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-03-03 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 0.51 % |
| BAM.PR.R | FixedReset | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-02-02 Maturity Price : 23.67 Evaluated at bid price : 26.70 Bid-YTW : 3.53 % |
| PWF.PR.K | Perpetual-Premium | 1.06 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-10-31 Maturity Price : 25.50 Evaluated at bid price : 25.70 Bid-YTW : 3.83 % |
| POW.PR.D | Perpetual-Premium | 1.37 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-03-03 Maturity Price : 25.75 Evaluated at bid price : 25.85 Bid-YTW : 3.05 % |
| GWO.PR.G | Deemed-Retractible | 1.96 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-03-03 Maturity Price : 25.50 Evaluated at bid price : 25.95 Bid-YTW : -10.36 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.Z | FixedReset | 654,812 | Holy smokes, I’ll be here all night … TD sold blocks of 28,200 and 29,400 to Nesbitt, then crossed 72,400, all at 25.10. Desjardins crossed two blocks of 120,000 each at the same price. RBC crossed 16,900 and TD crossed 35,000, all at 25.10. Desjardins crossed 100,000 at 25.15. TD crossed 47,700 at 25.15, then 45,000 at 25.10. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 3.04 % |
| CM.PR.L | FixedReset | 88,498 | Scotia crossed blocks of 19,700 and 25,000, both at 27.20. RBC crossed 18,200 and Desjardins crossed 13,000, both at 27.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 27.25 Bid-YTW : 2.39 % |
| SLF.PR.E | Deemed-Retractible | 59,174 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.19 Bid-YTW : 5.54 % |
| ENB.PR.F | FixedReset | 58,350 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-02-02 Maturity Price : 23.22 Evaluated at bid price : 25.40 Bid-YTW : 3.65 % |
| PWF.PR.P | FixedReset | 49,197 | RBC crossed 34,500 at 26.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-02-02 Maturity Price : 23.52 Evaluated at bid price : 25.90 Bid-YTW : 2.85 % |
| MFC.PR.G | FixedReset | 46,218 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 4.32 % |
| There were 85 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| POW.PR.C | Perpetual-Premium | Quote: 25.18 – 25.68 Spot Rate : 0.5000 Average : 0.3093 YTW SCENARIO |
| CM.PR.K | FixedReset | Quote: 26.76 – 27.20 Spot Rate : 0.4400 Average : 0.2677 YTW SCENARIO |
| ENB.PR.B | FixedReset | Quote: 25.91 – 26.30 Spot Rate : 0.3900 Average : 0.2355 YTW SCENARIO |
| PWF.PR.F | Perpetual-Premium | Quote: 25.51 – 25.89 Spot Rate : 0.3800 Average : 0.2304 YTW SCENARIO |
| RY.PR.I | FixedReset | Quote: 26.20 – 26.52 Spot Rate : 0.3200 Average : 0.1883 YTW SCENARIO |
| TRP.PR.C | FixedReset | Quote: 25.88 – 26.24 Spot Rate : 0.3600 Average : 0.2285 YTW SCENARIO |