It was a mixed day for the Canadian preferred share market, with PerpetualPremiums off 2bp, FixedResets up 11bp and DeemedRetractibles gaining 8bp. Volatility was minor. Volume was extremely 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 | 0.6484 % | 2,294.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6484 % | 3,432.7 |
| Floater | 3.17 % | 3.20 % | 68,877 | 19.22 | 3 | 0.6484 % | 2,477.7 |
| OpRet | 4.77 % | 2.79 % | 37,336 | 0.90 | 5 | -0.0768 % | 2,528.5 |
| SplitShare | 5.47 % | 4.90 % | 66,362 | 4.67 | 3 | 0.0799 % | 2,765.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0768 % | 2,312.1 |
| Perpetual-Premium | 5.33 % | 1.17 % | 100,505 | 0.47 | 27 | -0.0231 % | 2,265.2 |
| Perpetual-Discount | 4.96 % | 4.92 % | 104,875 | 15.56 | 6 | 0.0614 % | 2,509.3 |
| FixedReset | 4.99 % | 2.97 % | 183,799 | 4.38 | 71 | 0.1064 % | 2,421.5 |
| Deemed-Retractible | 4.96 % | 3.45 % | 139,766 | 1.53 | 46 | 0.0759 % | 2,347.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CIU.PR.B | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-01 Maturity Price : 25.00 Evaluated at bid price : 27.19 Bid-YTW : 2.42 % |
| BAM.PR.B | Floater | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-27 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 3.16 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.N | FixedReset | 346,498 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-27 Maturity Price : 23.15 Evaluated at bid price : 25.15 Bid-YTW : 3.69 % |
| BMO.PR.M | FixedReset | 73,021 | Desjardins crossed 60,000 at 25.83. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-08-25 Maturity Price : 25.00 Evaluated at bid price : 25.91 Bid-YTW : 2.39 % |
| PWF.PR.R | Perpetual-Premium | 53,341 | Nesbitt crossed 49,700 at 26.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.50 Bid-YTW : 4.68 % |
| ENB.PR.F | FixedReset | 48,137 | TD crossed 30,000 at 25.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-27 Maturity Price : 23.24 Evaluated at bid price : 25.41 Bid-YTW : 3.55 % |
| PWF.PR.P | FixedReset | 34,818 | TD crossed 30,000 at 25.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-27 Maturity Price : 23.50 Evaluated at bid price : 25.62 Bid-YTW : 2.73 % |
| BNS.PR.Q | FixedReset | 31,576 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.44 Bid-YTW : 2.91 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BNS.PR.N | Deemed-Retractible | Quote: 26.35 – 26.88 Spot Rate : 0.5300 Average : 0.3346 YTW SCENARIO |
| PWF.PR.E | Perpetual-Premium | Quote: 25.23 – 25.75 Spot Rate : 0.5200 Average : 0.3528 YTW SCENARIO |
| FTS.PR.H | FixedReset | Quote: 25.41 – 25.80 Spot Rate : 0.3900 Average : 0.2278 YTW SCENARIO |
| GWO.PR.N | FixedReset | Quote: 24.46 – 24.75 Spot Rate : 0.2900 Average : 0.1856 YTW SCENARIO |
| CM.PR.K | FixedReset | Quote: 26.30 – 26.65 Spot Rate : 0.3500 Average : 0.2501 YTW SCENARIO |
| SLF.PR.F | FixedReset | Quote: 26.45 – 26.70 Spot Rate : 0.2500 Average : 0.1709 YTW SCENARIO |