Nothing happened today.
It was another day of solid, if slowing, recovery for the Canadian preferred share market, with PerpetualPremiums winning 22bp, FixedResets up 15bp and DeemedRetractibles gaining 5bp. There is another lengthy Performance Highlights table, which pales in comparison only to how long it has been in previous weeks. Volume was 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 | 0.5603 % | 2,579.3 |
| FixedFloater | 4.18 % | 3.51 % | 45,931 | 18.26 | 1 | 2.4775 % | 3,934.5 |
| Floater | 2.72 % | 2.88 % | 77,857 | 20.02 | 4 | 0.5603 % | 2,784.9 |
| OpRet | 4.86 % | 3.43 % | 68,439 | 0.08 | 5 | -0.0860 % | 2,609.9 |
| SplitShare | 4.68 % | 4.25 % | 81,261 | 3.98 | 6 | 0.1930 % | 2,960.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0860 % | 2,386.5 |
| Perpetual-Premium | 5.46 % | 5.16 % | 131,477 | 14.39 | 33 | 0.2245 % | 2,273.0 |
| Perpetual-Discount | 5.50 % | 5.55 % | 252,898 | 14.64 | 5 | 0.4836 % | 2,382.8 |
| FixedReset | 4.96 % | 3.41 % | 244,669 | 3.62 | 83 | 0.1535 % | 2,479.4 |
| Deemed-Retractible | 5.06 % | 4.86 % | 177,914 | 7.06 | 44 | 0.0523 % | 2,384.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.X | FixedReset | -3.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-06-28 Maturity Price : 22.57 Evaluated at bid price : 23.41 Bid-YTW : 3.96 % |
| GWO.PR.F | Deemed-Retractible | -1.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.63 Bid-YTW : 6.12 % |
| BAM.PF.A | FixedReset | -1.25 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 4.35 % |
| IAG.PR.G | FixedReset | 1.33 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.99 Bid-YTW : 3.25 % |
| CIU.PR.C | FixedReset | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-06-28 Maturity Price : 23.14 Evaluated at bid price : 24.35 Bid-YTW : 3.21 % |
| GWO.PR.N | FixedReset | 1.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.25 Bid-YTW : 3.53 % |
| BAM.PR.K | Floater | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-06-28 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 2.96 % |
| HSE.PR.A | FixedReset | 1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-06-28 Maturity Price : 23.26 Evaluated at bid price : 24.56 Bid-YTW : 3.59 % |
| TRP.PR.B | FixedReset | 1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-06-28 Maturity Price : 22.82 Evaluated at bid price : 23.15 Bid-YTW : 3.35 % |
| BAM.PR.G | FixedFloater | 2.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-06-28 Maturity Price : 23.00 Evaluated at bid price : 22.75 Bid-YTW : 3.51 % |
| TCA.PR.X | Perpetual-Premium | 4.95 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-10-15 Maturity Price : 50.00 Evaluated at bid price : 49.85 Bid-YTW : 5.00 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.S | Perpetual-Premium | 80,348 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-06-28 Maturity Price : 23.43 Evaluated at bid price : 23.75 Bid-YTW : 5.12 % |
| MFC.PR.D | FixedReset | 44,803 | RBC crossed 25,000 at 25.91. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 3.04 % |
| ENB.PR.Y | FixedReset | 43,005 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-06-28 Maturity Price : 23.05 Evaluated at bid price : 24.86 Bid-YTW : 4.01 % |
| MFC.PR.I | FixedReset | 41,996 | National bought 15,000 from Scotia at 25.70. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.63 Bid-YTW : 3.80 % |
| ENB.PR.F | FixedReset | 36,507 | TD crossed 24,900 at 25.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 4.09 % |
| SLF.PR.D | Deemed-Retractible | 20,003 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.26 Bid-YTW : 5.79 % |
| There were 38 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.X | FixedReset | Quote: 23.41 – 24.27 Spot Rate : 0.8600 Average : 0.5617 YTW SCENARIO |
| GWO.PR.F | Deemed-Retractible | Quote: 24.63 – 25.34 Spot Rate : 0.7100 Average : 0.4644 YTW SCENARIO |
| CU.PR.G | Perpetual-Premium | Quote: 22.15 – 22.79 Spot Rate : 0.6400 Average : 0.4113 YTW SCENARIO |
| CIU.PR.C | FixedReset | Quote: 24.35 – 25.00 Spot Rate : 0.6500 Average : 0.5067 YTW SCENARIO |
| BMO.PR.O | FixedReset | Quote: 26.10 – 26.49 Spot Rate : 0.3900 Average : 0.2496 YTW SCENARIO |
| BNS.PR.K | Deemed-Retractible | Quote: 25.04 – 25.47 Spot Rate : 0.4300 Average : 0.3134 YTW SCENARIO |