Nothing happened today.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts down 8bp, FixedResets up 27bp and DeemedRetractibles off 3bp. A fairly lengthy Performance Highlights table is comprised entirely of winners, mostly FixedResets. 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 | 0.1687 % | 2,517.3 |
| FixedFloater | 4.17 % | 3.45 % | 28,449 | 18.47 | 1 | 0.0439 % | 4,028.4 |
| Floater | 2.95 % | 2.97 % | 61,067 | 19.76 | 3 | 0.1687 % | 2,718.0 |
| OpRet | 4.60 % | 2.28 % | 69,034 | 0.38 | 3 | 0.3336 % | 2,651.0 |
| SplitShare | 4.74 % | 5.10 % | 68,498 | 3.92 | 6 | 0.0969 % | 2,963.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3336 % | 2,424.1 |
| Perpetual-Premium | 5.57 % | 4.88 % | 125,785 | 0.28 | 11 | -0.0036 % | 2,308.9 |
| Perpetual-Discount | 5.55 % | 5.55 % | 178,527 | 14.55 | 27 | -0.0823 % | 2,369.2 |
| FixedReset | 4.96 % | 3.39 % | 230,889 | 3.32 | 82 | 0.2740 % | 2,479.3 |
| Deemed-Retractible | 5.07 % | 3.96 % | 194,384 | 1.48 | 42 | -0.0300 % | 2,413.6 |
| FloatingReset | 2.61 % | 2.41 % | 293,489 | 4.50 | 5 | -0.0079 % | 2,456.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CIU.PR.A | Perpetual-Discount | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-11 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 5.44 % |
| ENB.PR.B | FixedReset | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-11 Maturity Price : 23.24 Evaluated at bid price : 24.84 Bid-YTW : 4.18 % |
| BMO.PR.Q | FixedReset | 1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.60 Bid-YTW : 3.54 % |
| MFC.PR.F | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.30 Bid-YTW : 4.36 % |
| GWO.PR.N | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.08 Bid-YTW : 4.68 % |
| IAG.PR.A | Deemed-Retractible | 1.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.34 Bid-YTW : 6.02 % |
| PWF.PR.L | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-11 Maturity Price : 23.43 Evaluated at bid price : 23.73 Bid-YTW : 5.40 % |
| ENB.PR.H | FixedReset | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-11 Maturity Price : 22.79 Evaluated at bid price : 24.00 Bid-YTW : 4.12 % |
| BAM.PR.X | FixedReset | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-11 Maturity Price : 21.94 Evaluated at bid price : 22.32 Bid-YTW : 4.31 % |
| CU.PR.C | FixedReset | 1.53 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 2.88 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.I | FixedReset | 168,842 | Nesbitt crossed blocks of 50,000 shares, 25,000 and 40,000, all at 25.18. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.17 Bid-YTW : 2.01 % |
| BNS.PR.Z | FixedReset | 107,130 | Nesbitt crossed blocks of 50,000 and 45,000, both at 23.70. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 4.03 % |
| GWO.PR.M | Deemed-Retractible | 94,538 | GMP sold 21,400 to Scotia at 25.46; 12,000 to Desjardins at 25.53; and another 12,000 to Scotia again at 25.53. Desjardins crossed 12,000 at 25.53; Scotia crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.53 Bid-YTW : 5.66 % |
| RY.PR.D | Deemed-Retractible | 63,870 | Nesbitt crossed blocks of 50,000 and 10,000, both at 25.45. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-02-24 Maturity Price : 25.25 Evaluated at bid price : 25.34 Bid-YTW : 4.07 % |
| IAG.PR.F | Deemed-Retractible | 51,700 | Nesbitt crossed 50,000 at 25.50. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 5.78 % |
| ENB.PR.Y | FixedReset | 36,220 | Desjardins crossed 15,000 at 23.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-11 Maturity Price : 22.67 Evaluated at bid price : 23.84 Bid-YTW : 4.35 % |
| There were 31 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TD.PR.Y | FixedReset | Quote: 25.01 – 25.58 Spot Rate : 0.5700 Average : 0.3269 YTW SCENARIO |
| MFC.PR.K | FixedReset | Quote: 24.19 – 24.57 Spot Rate : 0.3800 Average : 0.2620 YTW SCENARIO |
| MFC.PR.C | Deemed-Retractible | Quote: 21.30 – 21.65 Spot Rate : 0.3500 Average : 0.2427 YTW SCENARIO |
| BAM.PR.X | FixedReset | Quote: 22.32 – 22.77 Spot Rate : 0.4500 Average : 0.3463 YTW SCENARIO |
| BMO.PR.Q | FixedReset | Quote: 24.60 – 24.89 Spot Rate : 0.2900 Average : 0.2053 YTW SCENARIO |
| TRP.PR.A | FixedReset | Quote: 24.24 – 24.50 Spot Rate : 0.2600 Average : 0.1794 YTW SCENARIO |