Nothing happened today, except web server problems for me. Joy!
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 4bp, FixedResets down 39bp and DeemedRetractibles gaining 5bp. The Performance Highlights table was dominated by losing low-Spread FixedResets. Volume was well 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 | 0.0000 % | 2,533.3 |
| FixedFloater | 4.21 % | 3.49 % | 32,975 | 18.39 | 1 | -0.9211 % | 3,991.3 |
| Floater | 2.93 % | 2.95 % | 60,221 | 19.80 | 3 | 0.0000 % | 2,735.3 |
| OpRet | 4.64 % | 1.86 % | 69,234 | 0.08 | 3 | -0.0048 % | 2,651.4 |
| SplitShare | 4.73 % | 5.14 % | 66,568 | 3.91 | 6 | -0.0198 % | 2,967.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0048 % | 2,424.4 |
| Perpetual-Premium | 5.58 % | 4.26 % | 125,632 | 0.09 | 11 | -0.0539 % | 2,307.8 |
| Perpetual-Discount | 5.56 % | 5.57 % | 176,840 | 14.50 | 27 | -0.0437 % | 2,367.2 |
| FixedReset | 4.97 % | 3.39 % | 229,648 | 3.33 | 82 | -0.3938 % | 2,480.0 |
| Deemed-Retractible | 5.07 % | 3.97 % | 193,754 | 1.46 | 42 | 0.0455 % | 2,417.9 |
| FloatingReset | 2.61 % | 2.39 % | 322,012 | 4.49 | 5 | -0.0871 % | 2,457.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.A | FixedReset | -1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-15 Maturity Price : 23.78 Evaluated at bid price : 24.25 Bid-YTW : 3.95 % |
| IAG.PR.G | FixedReset | -1.79 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 3.59 % |
| ENB.PR.T | FixedReset | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-15 Maturity Price : 22.59 Evaluated at bid price : 23.65 Bid-YTW : 4.43 % |
| ENB.PR.F | FixedReset | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-15 Maturity Price : 22.94 Evaluated at bid price : 24.30 Bid-YTW : 4.31 % |
| TRP.PR.C | FixedReset | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-15 Maturity Price : 22.22 Evaluated at bid price : 22.52 Bid-YTW : 3.88 % |
| BNS.PR.Y | FixedReset | -1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 3.70 % |
| ELF.PR.H | Perpetual-Discount | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-15 Maturity Price : 23.55 Evaluated at bid price : 23.91 Bid-YTW : 5.80 % |
| ENB.PR.Y | FixedReset | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-15 Maturity Price : 22.45 Evaluated at bid price : 23.38 Bid-YTW : 4.39 % |
| ENB.PR.P | FixedReset | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-15 Maturity Price : 22.65 Evaluated at bid price : 23.76 Bid-YTW : 4.41 % |
| MFC.PR.I | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.71 Bid-YTW : 3.51 % |
| PWF.PR.S | Perpetual-Discount | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-15 Maturity Price : 22.51 Evaluated at bid price : 22.85 Bid-YTW : 5.28 % |
| CIU.PR.A | Perpetual-Discount | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-15 Maturity Price : 21.60 Evaluated at bid price : 21.60 Bid-YTW : 5.34 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.Z | FixedReset | 403,746 | Nesbitt crossed blocks of 170,000 and 20,000, both at 23.70. RBC crossed 205,000 at the same price. Nice tickets! YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 4.09 % |
| CU.PR.C | FixedReset | 225,730 | RBC crossed blocks of 100,000 and 20,000, both at 25.60. Nesbitt crossed 100,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.48 Bid-YTW : 3.39 % |
| BNS.PR.B | FloatingReset | 108,500 | Scotia crossed blocks of 50,000 shares, 23,100 and 30,000, all at 25.03. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-10-25 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 2.51 % |
| TD.PR.Z | FloatingReset | 102,000 | Scotia crossed 100,000 at 25.03. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 2.53 % |
| RY.PR.T | FixedReset | 62,115 | TD crossed 47,800 at 25.71. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.74 Bid-YTW : 2.21 % |
| FTS.PR.H | FixedReset | 60,550 | RBC crossed 24,500 at 21.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-15 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 4.02 % |
| There were 47 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.A | FixedReset | Quote: 24.25 – 24.75 Spot Rate : 0.5000 Average : 0.2904 YTW SCENARIO |
| TRP.PR.C | FixedReset | Quote: 22.52 – 23.09 Spot Rate : 0.5700 Average : 0.3670 YTW SCENARIO |
| MFC.PR.H | FixedReset | Quote: 26.08 – 26.45 Spot Rate : 0.3700 Average : 0.2333 YTW SCENARIO |
| TRP.PR.B | FixedReset | Quote: 20.70 – 21.00 Spot Rate : 0.3000 Average : 0.1930 YTW SCENARIO |
| HSB.PR.C | Deemed-Retractible | Quote: 25.18 – 25.46 Spot Rate : 0.2800 Average : 0.1758 YTW SCENARIO |
| FTS.PR.J | Perpetual-Discount | Quote: 22.63 – 23.07 Spot Rate : 0.4400 Average : 0.3399 YTW SCENARIO |