Nothing happened today either, just like yesterday.
It was a day of modest gains for the Canadian preferred share market, with PerpetualPremiums gaining 2bp and both FixedResets and DeemedRetractibles up 5bp. Volatility was minimal. Volume was quite 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 | 0.3243 % | 2,563.2 |
| FixedFloater | 3.86 % | 3.07 % | 31,903 | 18.89 | 1 | 0.0000 % | 4,259.7 |
| Floater | 2.71 % | 2.94 % | 80,917 | 19.84 | 4 | 0.3243 % | 2,767.6 |
| OpRet | 4.82 % | 2.27 % | 67,547 | 0.13 | 5 | -0.0543 % | 2,615.2 |
| SplitShare | 4.80 % | 4.01 % | 104,633 | 4.10 | 5 | 0.3881 % | 2,984.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0543 % | 2,391.3 |
| Perpetual-Premium | 5.20 % | 3.33 % | 96,734 | 0.53 | 32 | 0.0206 % | 2,379.2 |
| Perpetual-Discount | 4.84 % | 4.88 % | 189,506 | 15.62 | 4 | 0.0914 % | 2,686.2 |
| FixedReset | 4.88 % | 2.72 % | 250,644 | 3.14 | 81 | 0.0458 % | 2,520.2 |
| Deemed-Retractible | 4.87 % | 3.30 % | 134,236 | 0.76 | 44 | 0.0529 % | 2,462.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BNA.PR.E | SplitShare | 1.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 4.08 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CU.PR.G | Perpetual-Premium | 137,414 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2022-09-01 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 4.45 % |
| TRP.PR.A | FixedReset | 79,275 | Nesbitt crossed 40,000 at 25.48; TD crossed 30,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-05-17 Maturity Price : 23.86 Evaluated at bid price : 25.49 Bid-YTW : 3.14 % |
| GWO.PR.R | Deemed-Retractible | 55,171 | RBC crossed 34,200 at 25.55. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.61 Bid-YTW : 4.57 % |
| BAM.PR.O | OpRet | 28,850 | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.17 Bid-YTW : 4.59 % |
| BAM.PF.C | Perpetual-Discount | 27,835 | RBC crossed 10,000 at 24.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-05-17 Maturity Price : 24.49 Evaluated at bid price : 24.88 Bid-YTW : 4.92 % |
| BMO.PR.M | FixedReset | 25,370 | Nesbitt crossed 20,000 at 25.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-08-25 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 1.67 % |
| There were 19 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.F | FixedReset | Quote: 25.12 – 25.48 Spot Rate : 0.3600 Average : 0.2680 YTW SCENARIO |
| BMO.PR.K | Deemed-Retractible | Quote: 26.11 – 26.34 Spot Rate : 0.2300 Average : 0.1471 YTW SCENARIO |
| TCA.PR.X | Perpetual-Premium | Quote: 50.60 – 51.00 Spot Rate : 0.4000 Average : 0.3184 YTW SCENARIO |
| BNS.PR.P | FixedReset | Quote: 25.68 – 25.89 Spot Rate : 0.2100 Average : 0.1352 YTW SCENARIO |
| BNA.PR.C | SplitShare | Quote: 25.02 – 25.23 Spot Rate : 0.2100 Average : 0.1419 YTW SCENARIO |
| TRP.PR.C | FixedReset | Quote: 25.54 – 25.72 Spot Rate : 0.1800 Average : 0.1177 YTW SCENARIO |