It was a good day for the Canadian preferred share market, with PerpetualPremiums winning 12bp, FixedResets up 3bp and DeemedRetractibles gaining 2bp. Volatility was average. Volume was very 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 | 0.0000 % | 2,294.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 3,432.7 |
| Floater | 3.17 % | 3.19 % | 68,842 | 19.24 | 3 | 0.0000 % | 2,477.7 |
| OpRet | 4.77 % | 2.82 % | 35,904 | 0.89 | 5 | 0.1460 % | 2,532.2 |
| SplitShare | 5.48 % | 4.90 % | 65,743 | 4.66 | 3 | -0.0932 % | 2,762.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1460 % | 2,315.5 |
| Perpetual-Premium | 5.32 % | 0.77 % | 99,418 | 0.46 | 27 | 0.1206 % | 2,267.9 |
| Perpetual-Discount | 4.97 % | 4.96 % | 40,036 | 15.20 | 6 | -0.2455 % | 2,503.1 |
| FixedReset | 4.99 % | 3.03 % | 181,728 | 4.01 | 71 | 0.0294 % | 2,422.2 |
| Deemed-Retractible | 4.96 % | 3.53 % | 144,836 | 1.81 | 46 | 0.0199 % | 2,347.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.N | Perpetual-Discount | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-30 Maturity Price : 23.72 Evaluated at bid price : 24.00 Bid-YTW : 4.99 % |
| TRP.PR.C | FixedReset | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-30 Maturity Price : 23.44 Evaluated at bid price : 25.40 Bid-YTW : 2.90 % |
| IAG.PR.E | Deemed-Retractible | -1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.24 Bid-YTW : 5.21 % |
| PWF.PR.E | Perpetual-Premium | 1.27 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : 1.09 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| IAG.PR.G | FixedReset | 70,900 | RBC crossed 25,000 at 25.55; Desjardins crossed 28,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 4.02 % |
| RY.PR.F | Deemed-Retractible | 47,873 | TD crossed 40,000 at 25.78. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 3.53 % |
| BNS.PR.K | Deemed-Retractible | 39,505 | TD crossed 29,000 at 25.52. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-04-28 Maturity Price : 25.25 Evaluated at bid price : 25.52 Bid-YTW : 3.32 % |
| SLF.PR.I | FixedReset | 26,770 | RBC crossed 25,000 at 25.68. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.57 Bid-YTW : 3.79 % |
| HSB.PR.C | Deemed-Retractible | 25,633 | TD crossed 25,000 at 25.62. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : 4.16 % |
| ENB.PR.N | FixedReset | 24,770 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-30 Maturity Price : 23.15 Evaluated at bid price : 25.16 Bid-YTW : 3.84 % |
| There were 15 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.C | Floater | Quote: 16.40 – 16.85 Spot Rate : 0.4500 Average : 0.2753 YTW SCENARIO |
| BAM.PR.N | Perpetual-Discount | Quote: 24.00 – 24.32 Spot Rate : 0.3200 Average : 0.2004 YTW SCENARIO |
| ELF.PR.G | Perpetual-Discount | Quote: 23.15 – 23.47 Spot Rate : 0.3200 Average : 0.2132 YTW SCENARIO |
| PWF.PR.M | FixedReset | Quote: 26.09 – 26.38 Spot Rate : 0.2900 Average : 0.2069 YTW SCENARIO |
| POW.PR.D | Perpetual-Premium | Quote: 25.14 – 25.45 Spot Rate : 0.3100 Average : 0.2306 YTW SCENARIO |
| TD.PR.O | Deemed-Retractible | Quote: 25.99 – 26.24 Spot Rate : 0.2500 Average : 0.1777 YTW SCENARIO |