Nothing happened today.
It was a good strong day for the Canadian preferred share market, with PerpetualDiscounts up 17bp, FixedResets gaining 10bp and DeemedRetractibles winning 39bp. The Performance Highlights table is dominated by winning insurance-sector DeemedRetractibles. Volume was very high.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| 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 | 0.1344 % | 2,498.3 |
| FixedFloater | 4.19 % | 3.46 % | 26,336 | 18.47 | 1 | 0.3981 % | 4,010.8 |
| Floater | 2.71 % | 2.93 % | 63,693 | 19.90 | 5 | 0.1344 % | 2,697.4 |
| OpRet | 4.63 % | 3.19 % | 69,595 | 0.58 | 3 | 0.1673 % | 2,638.8 |
| SplitShare | 4.76 % | 5.07 % | 65,679 | 3.96 | 6 | 0.1013 % | 2,950.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1673 % | 2,412.9 |
| Perpetual-Premium | 5.81 % | 3.16 % | 107,015 | 0.08 | 7 | 0.1422 % | 2,289.0 |
| Perpetual-Discount | 5.52 % | 5.55 % | 178,054 | 14.46 | 30 | 0.1675 % | 2,358.4 |
| FixedReset | 4.92 % | 3.59 % | 233,753 | 3.75 | 86 | 0.1017 % | 2,449.7 |
| Deemed-Retractible | 5.10 % | 4.31 % | 195,076 | 2.81 | 43 | 0.3892 % | 2,400.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.C | FixedReset | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-29 Maturity Price : 22.02 Evaluated at bid price : 22.26 Bid-YTW : 3.80 % |
| TRI.PR.B | Floater | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-29 Maturity Price : 19.89 Evaluated at bid price : 19.89 Bid-YTW : 2.65 % |
| FTS.PR.G | FixedReset | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-29 Maturity Price : 22.70 Evaluated at bid price : 23.80 Bid-YTW : 4.03 % |
| BNS.PR.Y | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.53 Bid-YTW : 3.79 % |
| SLF.PR.E | Deemed-Retractible | 1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.98 Bid-YTW : 6.08 % |
| ENB.PR.Y | FixedReset | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-29 Maturity Price : 22.20 Evaluated at bid price : 22.92 Bid-YTW : 4.46 % |
| PWF.PR.K | Perpetual-Discount | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-29 Maturity Price : 22.25 Evaluated at bid price : 22.65 Bid-YTW : 5.47 % |
| PWF.PR.L | Perpetual-Discount | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-29 Maturity Price : 22.86 Evaluated at bid price : 23.15 Bid-YTW : 5.53 % |
| TRP.PR.B | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-29 Maturity Price : 20.33 Evaluated at bid price : 20.33 Bid-YTW : 3.83 % |
| MFC.PR.C | Deemed-Retractible | 1.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.51 Bid-YTW : 6.35 % |
| SLF.PR.B | Deemed-Retractible | 1.56 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 5.97 % |
| SLF.PR.D | Deemed-Retractible | 1.78 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.68 Bid-YTW : 6.18 % |
| GWO.PR.H | Deemed-Retractible | 1.93 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.73 Bid-YTW : 6.06 % |
| MFC.PR.B | Deemed-Retractible | 2.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.96 Bid-YTW : 6.27 % |
| FTS.PR.H | FixedReset | 2.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-29 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 3.87 % |
| GWO.PR.I | Deemed-Retractible | 2.77 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.90 Bid-YTW : 6.12 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.N | FixedReset | 110,636 | Scotia crossed 100,000 at 24.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-29 Maturity Price : 22.91 Evaluated at bid price : 24.33 Bid-YTW : 4.36 % |
| FTS.PR.E | OpRet | 102,500 | RBC crossed 100,000 at 26.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-01 Maturity Price : 25.50 Evaluated at bid price : 25.92 Bid-YTW : 3.33 % |
| BNS.PR.X | FixedReset | 76,621 | Nesbitt crossed 75,000 at 25.45. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 2.40 % |
| SLF.PR.E | Deemed-Retractible | 63,683 | TD crossed 50,000 at 21.88. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.98 Bid-YTW : 6.08 % |
| SLF.PR.F | FixedReset | 58,913 | TD crossed 50,000 at 25.70. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.66 Bid-YTW : 2.77 % |
| MFC.PR.B | Deemed-Retractible | 56,854 | Nesbitt crossed 46,400 at 21.65. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.96 Bid-YTW : 6.27 % |
| There were 62 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.C | FixedReset | Quote: 22.26 – 22.78 Spot Rate : 0.5200 Average : 0.3910 YTW SCENARIO |
| SLF.PR.A | Deemed-Retractible | Quote: 22.35 – 22.69 Spot Rate : 0.3400 Average : 0.2340 YTW SCENARIO |
| BAM.PF.C | Perpetual-Discount | Quote: 20.04 – 20.27 Spot Rate : 0.2300 Average : 0.1414 YTW SCENARIO |
| TD.PR.O | Deemed-Retractible | Quote: 25.25 – 25.50 Spot Rate : 0.2500 Average : 0.1679 YTW SCENARIO |
| CU.PR.F | Perpetual-Discount | Quote: 21.29 – 21.56 Spot Rate : 0.2700 Average : 0.1905 YTW SCENARIO |
| BNS.PR.Y | FixedReset | Quote: 23.53 – 23.79 Spot Rate : 0.2600 Average : 0.1868 YTW SCENARIO |