Nothing happened today.
It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts up 15bp, FixedResets down 9bp and DeemedRetractibles gaining 1bp. Volatility was average – by long-term standards! – but comprised entirely of losers. Volume was 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 | 0.0259 % | 2,581.3 |
| FixedFloater | 4.20 % | 3.49 % | 39,724 | 18.43 | 1 | 0.0000 % | 3,952.1 |
| Floater | 2.72 % | 2.92 % | 89,985 | 19.95 | 4 | 0.0259 % | 2,787.1 |
| OpRet | 4.61 % | 3.29 % | 73,721 | 0.85 | 3 | -0.1023 % | 2,617.4 |
| SplitShare | 4.67 % | 4.50 % | 63,775 | 3.93 | 6 | -0.0132 % | 2,971.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1023 % | 2,393.3 |
| Perpetual-Premium | 5.59 % | 4.17 % | 99,112 | 0.77 | 12 | 0.0692 % | 2,293.6 |
| Perpetual-Discount | 5.33 % | 5.25 % | 138,113 | 14.81 | 26 | 0.1488 % | 2,418.0 |
| FixedReset | 4.96 % | 3.46 % | 231,600 | 3.56 | 83 | -0.0918 % | 2,483.2 |
| Deemed-Retractible | 5.04 % | 4.47 % | 186,565 | 7.00 | 43 | 0.0141 % | 2,393.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CIU.PR.A | Perpetual-Discount | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-07-16 Maturity Price : 22.14 Evaluated at bid price : 22.52 Bid-YTW : 5.16 % |
| SLF.PR.G | FixedReset | -1.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.21 Bid-YTW : 3.73 % |
| MFC.PR.F | FixedReset | -1.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 3.60 % |
| FTS.PR.J | Perpetual-Discount | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-07-16 Maturity Price : 23.15 Evaluated at bid price : 23.45 Bid-YTW : 5.12 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWO.PR.H | Deemed-Retractible | 149,231 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.77 Bid-YTW : 5.49 % |
| SLF.PR.H | FixedReset | 61,540 | National crossed 40,000 at 25.15. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 3.77 % |
| TRP.PR.D | FixedReset | 55,933 | TD crossed 28,000 at 25.30. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-07-16 Maturity Price : 23.17 Evaluated at bid price : 25.15 Bid-YTW : 3.98 % |
| GWO.PR.Q | Deemed-Retractible | 55,660 | Scotia crossed 52,800 at 24.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.78 Bid-YTW : 5.31 % |
| CM.PR.M | FixedReset | 51,675 | Nesbitt crossed 50,000 at 26.05. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 2.37 % |
| MFC.PR.K | FixedReset | 47,363 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.19 Bid-YTW : 3.71 % |
| There were 35 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.G | Perpetual-Discount | Quote: 23.00 – 23.24 Spot Rate : 0.2400 Average : 0.1582 YTW SCENARIO |
| MFC.PR.C | Deemed-Retractible | Quote: 22.50 – 22.79 Spot Rate : 0.2900 Average : 0.2113 YTW SCENARIO |
| BNS.PR.K | Deemed-Retractible | Quote: 25.06 – 25.29 Spot Rate : 0.2300 Average : 0.1682 YTW SCENARIO |
| MFC.PR.F | FixedReset | Quote: 24.70 – 24.95 Spot Rate : 0.2500 Average : 0.1889 YTW SCENARIO |
| BNS.PR.O | Deemed-Retractible | Quote: 25.91 – 26.13 Spot Rate : 0.2200 Average : 0.1603 YTW SCENARIO |
| CIU.PR.A | Perpetual-Discount | Quote: 22.52 – 22.90 Spot Rate : 0.3800 Average : 0.3253 YTW SCENARIO |