It was a mixed day for the Canadian preferred share market, with PerpetualPremiums down 2bp, FixedResets up 11bp and DeemedRetractibles off 1bp. Volatility was low. Volume was well 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 | -0.0906 % | 2,556.3 |
| FixedFloater | 4.18 % | 3.50 % | 28,179 | 18.36 | 1 | 0.4859 % | 3,894.6 |
| Floater | 2.72 % | 2.92 % | 69,501 | 19.91 | 4 | -0.0906 % | 2,760.2 |
| OpRet | 4.63 % | 1.57 % | 57,426 | 0.38 | 4 | -0.0191 % | 2,595.3 |
| SplitShare | 4.57 % | 4.42 % | 43,219 | 4.29 | 2 | 0.2792 % | 2,912.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0191 % | 2,373.1 |
| Perpetual-Premium | 5.24 % | 0.07 % | 88,815 | 0.15 | 30 | -0.0232 % | 2,349.8 |
| Perpetual-Discount | 4.87 % | 4.91 % | 139,940 | 15.57 | 4 | 0.3377 % | 2,635.3 |
| FixedReset | 4.91 % | 2.88 % | 263,289 | 3.40 | 78 | 0.1110 % | 2,483.4 |
| Deemed-Retractible | 4.88 % | 3.30 % | 134,367 | 0.32 | 45 | -0.0083 % | 2,430.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRI.PR.B | Floater | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-30 Maturity Price : 22.76 Evaluated at bid price : 23.04 Bid-YTW : 2.26 % |
| FTS.PR.H | FixedReset | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-01-30 Maturity Price : 23.81 Evaluated at bid price : 25.97 Bid-YTW : 2.79 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.S | FixedReset | 97,890 | TD crossed 39,400 at 25.10; National crossed 50,000 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.08 Bid-YTW : 3.13 % |
| MFC.PR.D | FixedReset | 70,517 | TD crossed 25,100 at 26.72; Scotia bought blocks of 14,200 and 10,800 from Nesbitt at 26.70. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.65 Bid-YTW : 2.32 % |
| MFC.PR.I | FixedReset | 64,270 | National crossed 50,000 at 26.17. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 26.19 Bid-YTW : 3.42 % |
| TCA.PR.Y | Perpetual-Premium | 58,825 | Desjardins crossed 57,000 at 52.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-05 Maturity Price : 50.00 Evaluated at bid price : 52.45 Bid-YTW : 1.06 % |
| MFC.PR.G | FixedReset | 58,770 | National crossed 50,000 at 26.33. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 26.30 Bid-YTW : 3.12 % |
| BAM.PR.P | FixedReset | 53,850 | Desjardins crossed 45,000 at 26.93. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-30 Maturity Price : 25.00 Evaluated at bid price : 26.90 Bid-YTW : 2.69 % |
| There were 43 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: 18.00 – 18.64 Spot Rate : 0.6400 Average : 0.3474 YTW SCENARIO |
| PWF.PR.R | Perpetual-Premium | Quote: 26.68 – 27.00 Spot Rate : 0.3200 Average : 0.1922 YTW SCENARIO |
| TRI.PR.B | Floater | Quote: 23.04 – 24.00 Spot Rate : 0.9600 Average : 0.8362 YTW SCENARIO |
| HSB.PR.C | Deemed-Retractible | Quote: 25.70 – 25.98 Spot Rate : 0.2800 Average : 0.2059 YTW SCENARIO |
| W.PR.J | Perpetual-Premium | Quote: 25.38 – 25.61 Spot Rate : 0.2300 Average : 0.1616 YTW SCENARIO |
| BMO.PR.O | FixedReset | Quote: 26.44 – 26.64 Spot Rate : 0.2000 Average : 0.1349 YTW SCENARIO |