Nothing happened today.
There were solid gains in the Canadian preferred share market today, with both PerpetualPremiums and FixedResets up 10bp and DeemedRetractibles winning 21bp. Volatility, as reported by the Performance Highlights table, was virtually non-existent. Volume was comfortably above average.
| 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 | 0.2532 % | 2,541.4 |
| FixedFloater | 4.36 % | 3.72 % | 30,948 | 17.90 | 1 | 0.0000 % | 3,617.6 |
| Floater | 2.84 % | 2.85 % | 48,299 | 20.08 | 3 | 0.2532 % | 2,744.0 |
| OpRet | 4.75 % | 2.60 % | 53,218 | 1.12 | 5 | 0.0000 % | 2,510.8 |
| SplitShare | 5.24 % | 3.10 % | 67,233 | 0.62 | 4 | 0.0495 % | 2,694.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 2,295.8 |
| Perpetual-Premium | 5.43 % | -0.08 % | 84,786 | 0.09 | 25 | 0.0967 % | 2,232.6 |
| Perpetual-Discount | 5.08 % | 5.04 % | 91,702 | 15.26 | 8 | 0.0825 % | 2,438.1 |
| FixedReset | 5.03 % | 2.95 % | 181,401 | 2.12 | 68 | 0.0969 % | 2,405.3 |
| Deemed-Retractible | 4.94 % | 3.51 % | 184,546 | 1.44 | 45 | 0.2089 % | 2,331.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CU.PR.B | Perpetual-Premium | 1.16 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-06-01 Maturity Price : 25.00 Evaluated at bid price : 26.10 Bid-YTW : -31.40 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.K | FixedReset | 263,581 | Desjardins crossed blocks of 48,700 shares, 101,700 and 100,000, all at 26.35. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.36 Bid-YTW : 2.87 % |
| ENB.PR.H | FixedReset | 104,594 | Nesbitt crossed 50,000 at 25.50; RBC crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-02 Maturity Price : 23.26 Evaluated at bid price : 25.51 Bid-YTW : 3.58 % |
| MFC.PR.A | OpRet | 103,322 | Desjardins crossed 48,000 at 25.80; TD crossed 50,000 at the same price. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 25.81 Bid-YTW : 3.30 % |
| BNS.PR.Z | FixedReset | 78,223 | RBC crossed 63,900 at 25.10. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.07 Bid-YTW : 3.23 % |
| RY.PR.R | FixedReset | 72,251 | Desjardins crossed blocks of 24,300 and 25,000, both at 26.40; TD crossed 20,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 26.38 Bid-YTW : 2.90 % |
| BAM.PR.R | FixedReset | 62,230 | Scotia crossed blocks of 18,900 and 30,000, both at 26.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-02 Maturity Price : 23.53 Evaluated at bid price : 26.00 Bid-YTW : 3.91 % |
| There were 37 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.M | Perpetual-Discount | Quote: 23.41 – 23.88 Spot Rate : 0.4700 Average : 0.3098 YTW SCENARIO |
| BMO.PR.Q | FixedReset | Quote: 25.62 – 25.87 Spot Rate : 0.2500 Average : 0.1533 YTW SCENARIO |
| RY.PR.A | Deemed-Retractible | Quote: 25.65 – 25.90 Spot Rate : 0.2500 Average : 0.1664 YTW SCENARIO |
| BAM.PR.T | FixedReset | Quote: 25.40 – 25.60 Spot Rate : 0.2000 Average : 0.1277 YTW SCENARIO |
| CU.PR.A | Perpetual-Premium | Quote: 25.76 – 26.00 Spot Rate : 0.2400 Average : 0.1784 YTW SCENARIO |
| W.PR.J | Perpetual-Premium | Quote: 25.28 – 25.45 Spot Rate : 0.1700 Average : 0.1090 YTW SCENARIO |