Nothing happened today, except for more server-fiddling.
It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts down 10bp, FixedResets up 13bp and DeemedRetractibles off 2bp. Volatility was low. Volume was above average, led by two FloatingReset issues.
| 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 | -0.1117 % | 2,528.6 |
| FixedFloater | 4.29 % | 3.57 % | 30,007 | 18.21 | 1 | -0.3602 % | 3,910.1 |
| Floater | 2.93 % | 2.96 % | 63,114 | 19.77 | 3 | -0.1117 % | 2,730.2 |
| OpRet | 4.62 % | -4.78 % | 72,755 | 0.08 | 3 | -0.1537 % | 2,662.3 |
| SplitShare | 4.74 % | 4.14 % | 68,459 | 3.66 | 6 | 0.0198 % | 2,986.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1537 % | 2,434.4 |
| Perpetual-Premium | 5.58 % | 3.88 % | 123,557 | 0.09 | 11 | -0.0054 % | 2,308.1 |
| Perpetual-Discount | 5.56 % | 5.55 % | 181,561 | 14.50 | 27 | -0.1050 % | 2,369.6 |
| FixedReset | 4.97 % | 3.26 % | 230,360 | 3.28 | 82 | 0.1313 % | 2,483.7 |
| Deemed-Retractible | 5.05 % | 4.00 % | 191,190 | 1.45 | 42 | -0.0183 % | 2,424.9 |
| FloatingReset | 2.65 % | 2.42 % | 305,032 | 4.46 | 5 | -0.0475 % | 2,459.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CIU.PR.A | Perpetual-Discount | -1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-22 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 5.49 % |
| IFC.PR.A | FixedReset | -1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.91 Bid-YTW : 4.38 % |
| BAM.PF.B | FixedReset | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-22 Maturity Price : 23.02 Evaluated at bid price : 24.65 Bid-YTW : 4.36 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.R | FloatingReset | 277,640 | Scotia crossed blocks of 200,000 and 66,600, both at 25.06. Nice tickets! YTW SCENARIO Maturity Type : Call Maturity Date : 2018-08-25 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 2.42 % |
| TD.PR.Z | FloatingReset | 242,000 | Scotia crossed blocks of 188,200 and 50,000, both at 25.03. More nice tickets! YTW SCENARIO Maturity Type : Call Maturity Date : 2018-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.04 Bid-YTW : 2.50 % |
| CM.PR.L | FixedReset | 60,408 | RBC crossed 25,000 at 25.63. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 1.87 % |
| BAM.PF.D | Perpetual-Discount | 50,775 | RBC crossed 12,400 at 19.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-22 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 6.25 % |
| BNS.PR.X | FixedReset | 47,000 | RBC crossed 30,000 at 25.58. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : 1.83 % |
| BNS.PR.T | FixedReset | 42,575 | RBC crossed 38,200 at 25.58. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : 1.83 % |
| There were 40 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BNS.PR.P | FixedReset | Quote: 25.10 – 25.43 Spot Rate : 0.3300 Average : 0.2118 YTW SCENARIO |
| GWO.PR.R | Deemed-Retractible | Quote: 23.01 – 23.27 Spot Rate : 0.2600 Average : 0.1615 YTW SCENARIO |
| W.PR.H | Perpetual-Discount | Quote: 24.45 – 24.73 Spot Rate : 0.2800 Average : 0.2045 YTW SCENARIO |
| FTS.PR.F | Perpetual-Discount | Quote: 23.25 – 23.47 Spot Rate : 0.2200 Average : 0.1545 YTW SCENARIO |
| BAM.PR.Z | FixedReset | Quote: 25.80 – 26.00 Spot Rate : 0.2000 Average : 0.1401 YTW SCENARIO |
| BNS.PR.O | Deemed-Retractible | Quote: 26.45 – 26.80 Spot Rate : 0.3500 Average : 0.2903 YTW SCENARIO |