Overall it was mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 3bp, FixedResets up 5bp and DeemedRetractibles off 1bp. The averages concealed a lot of underlying volatility, however, as the Performance Highlights table is quite lengthy and features a number of BAM FixedReset losers. Volume was quite high.
| 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 | 0.1562 % | 2,571.6 |
| FixedFloater | 4.02 % | 3.35 % | 42,613 | 18.59 | 1 | 0.7676 % | 4,086.7 |
| Floater | 2.73 % | 2.91 % | 81,605 | 19.97 | 4 | 0.1562 % | 2,776.6 |
| OpRet | 4.85 % | 3.01 % | 63,226 | 0.08 | 5 | 0.0624 % | 2,617.2 |
| SplitShare | 4.65 % | 4.17 % | 105,118 | 4.02 | 6 | 0.0000 % | 2,977.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0624 % | 2,393.2 |
| Perpetual-Premium | 5.31 % | 4.78 % | 119,069 | 6.27 | 33 | 0.0290 % | 2,324.3 |
| Perpetual-Discount | 5.31 % | 5.35 % | 235,136 | 14.92 | 5 | 0.0177 % | 2,461.4 |
| FixedReset | 4.94 % | 3.05 % | 233,248 | 3.07 | 81 | 0.0532 % | 2,497.9 |
| Deemed-Retractible | 5.00 % | 4.36 % | 152,276 | 3.26 | 44 | -0.0100 % | 2,408.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.B | FixedReset | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-06-17 Maturity Price : 23.07 Evaluated at bid price : 24.87 Bid-YTW : 4.07 % |
| IAG.PR.G | FixedReset | -1.41 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.86 Bid-YTW : 3.36 % |
| BAM.PF.A | FixedReset | -1.36 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 4.11 % |
| SLF.PR.E | Deemed-Retractible | -1.26 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.81 Bid-YTW : 5.54 % |
| BAM.PR.Z | FixedReset | -1.16 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.58 Bid-YTW : 4.22 % |
| BAM.PR.T | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-06-17 Maturity Price : 23.35 Evaluated at bid price : 25.25 Bid-YTW : 3.80 % |
| SLF.PR.D | Deemed-Retractible | -1.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.76 Bid-YTW : 5.52 % |
| BAM.PF.D | Perpetual-Discount | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-06-17 Maturity Price : 22.67 Evaluated at bid price : 23.00 Bid-YTW : 5.35 % |
| VNR.PR.A | FixedReset | 1.51 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-10-15 Maturity Price : 25.00 Evaluated at bid price : 26.30 Bid-YTW : 3.26 % |
| BNS.PR.K | Deemed-Retractible | 1.67 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-07-17 Maturity Price : 25.25 Evaluated at bid price : 25.50 Bid-YTW : 0.30 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.P | FixedReset | 84,898 | TD crossed two blocks of 40,000 each, both at 25.40. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 3.11 % |
| BMO.PR.M | FixedReset | 75,204 | Nesbitt crossed blocks of 32,600 and 25,000, both at 25.35. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-08-25 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 0.31 % |
| BAM.PF.D | Perpetual-Discount | 69,952 | Recent new issue YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-06-17 Maturity Price : 22.67 Evaluated at bid price : 23.00 Bid-YTW : 5.35 % |
| BNS.PR.A | FixedReset | 51,985 | TD crossed 39,400 at 25.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-07-17 Maturity Price : 25.50 Evaluated at bid price : 25.95 Bid-YTW : -18.90 % |
| SLF.PR.D | Deemed-Retractible | 48,329 | Desjardins crossed 35,000 at 22.85. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.76 Bid-YTW : 5.52 % |
| BNS.PR.Q | FixedReset | 39,570 | Nesbitt crossed 27,000 at 25.45. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-10-25 Maturity Price : 25.00 Evaluated at bid price : 25.47 Bid-YTW : 1.56 % |
| There were 56 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.K | Floater | Quote: 17.75 – 18.15 Spot Rate : 0.4000 Average : 0.2404 YTW SCENARIO |
| PWF.PR.R | Perpetual-Premium | Quote: 25.55 – 25.94 Spot Rate : 0.3900 Average : 0.2537 YTW SCENARIO |
| FTS.PR.E | OpRet | Quote: 26.09 – 26.51 Spot Rate : 0.4200 Average : 0.3138 YTW SCENARIO |
| GWO.PR.J | FixedReset | Quote: 25.36 – 25.69 Spot Rate : 0.3300 Average : 0.2560 YTW SCENARIO |
| CM.PR.K | FixedReset | Quote: 26.02 – 26.27 Spot Rate : 0.2500 Average : 0.1791 YTW SCENARIO |
| GWO.PR.R | Deemed-Retractible | Quote: 24.40 – 24.60 Spot Rate : 0.2000 Average : 0.1307 YTW SCENARIO |