Nothing happened today.
It was a steady day for the Canadian preferred share market, with PerpetualPremiums and FixedResets both up 3bp, while DeemedRetractibles gained 2bp. Volatility was muted. Volume was average – but the top two traders were issues that rarely see any play at all! Nice tickets for RBC, if they were able to get full commission on them!
| 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 | 0.0934 % | 2,466.8 |
| FixedFloater | 4.15 % | 3.48 % | 38,097 | 18.39 | 1 | -0.4348 % | 3,878.7 |
| Floater | 2.80 % | 3.00 % | 54,956 | 19.72 | 4 | 0.0934 % | 2,663.4 |
| OpRet | 4.63 % | 1.98 % | 40,969 | 0.64 | 4 | -0.0477 % | 2,566.3 |
| SplitShare | 5.39 % | 4.84 % | 69,263 | 4.49 | 3 | 0.0525 % | 2,844.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0477 % | 2,346.7 |
| Perpetual-Premium | 5.29 % | 0.92 % | 83,091 | 0.33 | 27 | 0.0273 % | 2,307.1 |
| Perpetual-Discount | 5.02 % | 4.92 % | 45,360 | 15.47 | 4 | 0.0205 % | 2,578.7 |
| FixedReset | 4.97 % | 3.03 % | 202,897 | 3.96 | 73 | 0.0265 % | 2,445.2 |
| Deemed-Retractible | 4.95 % | 3.52 % | 134,749 | 1.14 | 47 | 0.0150 % | 2,381.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.R | Deemed-Retractible | -1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.71 Bid-YTW : 5.01 % |
| TD.PR.Y | FixedReset | -1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 3.27 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRI.PR.B | Floater | 602,000 | RBC crossed two blocks of 300,000 each, at 22.20 and 22.21. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-10-25 Maturity Price : 21.94 Evaluated at bid price : 22.18 Bid-YTW : 2.35 % |
| BNA.PR.C | SplitShare | 470,470 | RBC crossed two blocks of 235,000 each, at 24.52 and 24.53. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 4.86 % |
| TD.PR.S | FixedReset | 320,498 | Nesbitt crossed blocks of 200,000 and 100,000, both at 25.05. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.04 Bid-YTW : 3.10 % |
| MFC.PR.F | FixedReset | 60,310 | TD crossed 50,000 at 24.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.95 Bid-YTW : 3.98 % |
| BMO.PR.K | Deemed-Retractible | 56,533 | National crossed 50,000 at 26.39. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-11-25 Maturity Price : 26.00 Evaluated at bid price : 26.38 Bid-YTW : -2.20 % |
| SLF.PR.I | FixedReset | 40,350 | TD crossed 32,200 at 25.96. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 3.46 % |
| There were 29 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.R | Deemed-Retractible | Quote: 24.71 – 25.02 Spot Rate : 0.3100 Average : 0.1731 YTW SCENARIO |
| TD.PR.Y | FixedReset | Quote: 25.00 – 25.25 Spot Rate : 0.2500 Average : 0.1648 YTW SCENARIO |
| ENB.PR.D | FixedReset | Quote: 25.50 – 25.75 Spot Rate : 0.2500 Average : 0.1677 YTW SCENARIO |
| CM.PR.L | FixedReset | Quote: 26.51 – 26.72 Spot Rate : 0.2100 Average : 0.1325 YTW SCENARIO |
| GWO.PR.P | Deemed-Retractible | Quote: 26.21 – 26.48 Spot Rate : 0.2700 Average : 0.1926 YTW SCENARIO |
| NA.PR.O | FixedReset | Quote: 26.60 – 26.80 Spot Rate : 0.2000 Average : 0.1434 YTW SCENARIO |