Nothing happened today.
It was a directionless day for the Canadian preferred share market, with PerpetualPremiums flat, FixedResets gaining 2bp and DeemedRetractibles up 3bp. Volatility was minimal. Volume was light, with the highlights comprised entirely of FixedResets.
| 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 | 0.5415 % | 2,522.8 |
| FixedFloater | 3.86 % | 3.08 % | 34,240 | 18.86 | 1 | 0.9852 % | 4,254.5 |
| Floater | 2.76 % | 3.01 % | 76,347 | 19.64 | 4 | 0.5415 % | 2,724.0 |
| OpRet | 4.83 % | 0.91 % | 67,096 | 0.10 | 5 | -0.1009 % | 2,613.9 |
| SplitShare | 4.80 % | 3.96 % | 100,419 | 4.08 | 5 | 0.0629 % | 2,988.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1009 % | 2,390.2 |
| Perpetual-Premium | 5.19 % | 3.87 % | 95,457 | 0.75 | 32 | -0.0024 % | 2,382.7 |
| Perpetual-Discount | 4.84 % | 4.90 % | 194,752 | 15.58 | 4 | -0.0405 % | 2,689.2 |
| FixedReset | 4.88 % | 2.74 % | 250,584 | 3.15 | 81 | 0.0213 % | 2,523.4 |
| Deemed-Retractible | 4.87 % | 3.49 % | 132,824 | 0.97 | 44 | 0.0321 % | 2,464.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.F | FixedReset | -1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 3.08 % |
| BAM.PR.C | Floater | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-05-27 Maturity Price : 17.51 Evaluated at bid price : 17.51 Bid-YTW : 3.02 % |
| BAM.PR.K | Floater | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-05-27 Maturity Price : 17.54 Evaluated at bid price : 17.54 Bid-YTW : 3.02 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.J | FixedReset | 127,750 | Scotia crossed 25,000 at 26.30. National crossed three blocks of 25,000 each at the same price. Nesbitt crossed 25,000 at 26.30. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-03-19 Maturity Price : 25.00 Evaluated at bid price : 26.30 Bid-YTW : 2.79 % |
| ENB.PR.P | FixedReset | 62,530 | National crossed three blocks: 19,500 shares, 19,000 and 20,000, all at 25.77. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-03-01 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 3.43 % |
| ENB.PR.F | FixedReset | 57,743 | Scotia crossed 50,000 at 25.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 3.35 % |
| FTS.PR.G | FixedReset | 55,300 | Desjardins crossed 50,000 at 25.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-09-01 Maturity Price : 25.00 Evaluated at bid price : 25.14 Bid-YTW : 2.86 % |
| TD.PR.E | FixedReset | 50,834 | TD crossed blocks of 22,000 and 14,000, both at 26.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.01 Bid-YTW : 2.32 % |
| TRP.PR.A | FixedReset | 40,670 | TD crossed 15,000 at 25.48. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-05-27 Maturity Price : 23.86 Evaluated at bid price : 25.47 Bid-YTW : 3.21 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CIU.PR.C | FixedReset | Quote: 24.83 – 26.26 Spot Rate : 1.4300 Average : 1.0578 YTW SCENARIO |
| HSE.PR.A | FixedReset | Quote: 25.99 – 26.40 Spot Rate : 0.4100 Average : 0.2471 YTW SCENARIO |
| MFC.PR.F | FixedReset | Quote: 25.10 – 25.50 Spot Rate : 0.4000 Average : 0.2553 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 24.84 – 25.20 Spot Rate : 0.3600 Average : 0.2459 YTW SCENARIO |
| VNR.PR.A | FixedReset | Quote: 26.60 – 26.98 Spot Rate : 0.3800 Average : 0.3061 YTW SCENARIO |
| PWF.PR.R | Perpetual-Premium | Quote: 26.74 – 26.96 Spot Rate : 0.2200 Average : 0.1531 YTW SCENARIO |