It was a solidly positive day for the Canadian preferred share market, with PerpetualPremiums winning 12bp, FixedResets up 4bp and DeemedRetractibles gaining 8bp. Volatility was non-existent. Volume was 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 | -0.1618 % | 2,280.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1618 % | 3,410.6 |
| Floater | 3.19 % | 3.21 % | 69,610 | 19.20 | 3 | -0.1618 % | 2,461.8 |
| OpRet | 4.77 % | 2.78 % | 38,422 | 0.90 | 5 | 0.1153 % | 2,530.5 |
| SplitShare | 5.48 % | 4.93 % | 67,377 | 4.67 | 3 | 0.1601 % | 2,763.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1153 % | 2,313.9 |
| Perpetual-Premium | 5.33 % | 1.08 % | 98,503 | 0.47 | 27 | 0.1207 % | 2,265.7 |
| Perpetual-Discount | 4.97 % | 4.92 % | 106,064 | 15.58 | 6 | 0.1983 % | 2,507.7 |
| FixedReset | 4.99 % | 3.04 % | 189,163 | 4.15 | 71 | 0.0402 % | 2,418.9 |
| Deemed-Retractible | 4.96 % | 3.58 % | 139,884 | 1.37 | 46 | 0.0819 % | 2,345.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| No individual gains or losses exceeding 1%! | |||
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| SLF.PR.B | Deemed-Retractible | 116,785 | TD crossed 100,000 at 24.15. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.11 Bid-YTW : 5.36 % |
| MFC.PR.I | FixedReset | 114,443 | National crossed 20,200 at 25.10; RBC crossed 35,000 at 25.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 4.28 % |
| BMO.PR.M | FixedReset | 87,679 | Scotia crossed 55,000 at 25.78; National crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-08-25 Maturity Price : 25.00 Evaluated at bid price : 25.84 Bid-YTW : 2.65 % |
| SLF.PR.A | Deemed-Retractible | 60,275 | RBC crossed 37,100 at 23.80. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.81 Bid-YTW : 5.48 % |
| TD.PR.A | FixedReset | 54,800 | TD crossed 35,000 at 25.72. Scotia crossed 13,400 at 25.68. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 3.06 % |
| BAM.PR.N | Perpetual-Discount | 41,416 | RBC crossed 29,800 at 24.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-26 Maturity Price : 23.96 Evaluated at bid price : 24.25 Bid-YTW : 4.93 % |
| There were 34 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| RY.PR.L | FixedReset | Quote: 25.97 – 26.35 Spot Rate : 0.3800 Average : 0.2474 YTW SCENARIO |
| BNA.PR.C | SplitShare | Quote: 23.46 – 23.79 Spot Rate : 0.3300 Average : 0.2090 YTW SCENARIO |
| CIU.PR.B | FixedReset | Quote: 26.90 – 27.27 Spot Rate : 0.3700 Average : 0.2516 YTW SCENARIO |
| RY.PR.W | Perpetual-Premium | Quote: 25.58 – 25.89 Spot Rate : 0.3100 Average : 0.1986 YTW SCENARIO |
| ENB.PR.D | FixedReset | Quote: 25.36 – 25.69 Spot Rate : 0.3300 Average : 0.2208 YTW SCENARIO |
| NA.PR.L | Deemed-Retractible | Quote: 25.56 – 25.80 Spot Rate : 0.2400 Average : 0.1731 YTW SCENARIO |