Nothing happened today.
The Canadian preferred share market bounced back a little today, with PerpetualDiscounts winning 26bp, FixedResets gaining 1bp and DeemedRetractibles up 5bp. PerpetualDiscounts dominated the winning side of the Performance Highlights table. Volume was extremely high.
| 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 | -0.5100 % | 2,499.7 |
| FixedFloater | 4.52 % | 3.81 % | 38,080 | 17.72 | 1 | -0.7092 % | 3,710.4 |
| Floater | 2.99 % | 2.99 % | 61,157 | 19.75 | 3 | -0.5100 % | 2,699.0 |
| OpRet | 4.64 % | 1.63 % | 86,919 | 0.28 | 3 | 0.0774 % | 2,661.2 |
| SplitShare | 4.88 % | 4.62 % | 78,478 | 4.49 | 5 | 0.2426 % | 2,998.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0774 % | 2,433.4 |
| Perpetual-Premium | 5.62 % | 5.57 % | 143,001 | 13.91 | 13 | 0.0061 % | 2,300.5 |
| Perpetual-Discount | 5.72 % | 5.71 % | 191,619 | 14.23 | 25 | 0.2622 % | 2,302.3 |
| FixedReset | 5.02 % | 3.56 % | 241,351 | 3.48 | 84 | 0.0092 % | 2,458.9 |
| Deemed-Retractible | 5.17 % | 4.41 % | 210,510 | 6.65 | 42 | 0.0503 % | 2,383.4 |
| FloatingReset | 2.63 % | 2.34 % | 296,466 | 4.39 | 5 | 0.1346 % | 2,464.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CIU.PR.C | FixedReset | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-19 Maturity Price : 19.81 Evaluated at bid price : 19.81 Bid-YTW : 4.14 % |
| BAM.PR.K | Floater | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-19 Maturity Price : 17.51 Evaluated at bid price : 17.51 Bid-YTW : 2.99 % |
| TRP.PR.A | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-19 Maturity Price : 22.72 Evaluated at bid price : 23.25 Bid-YTW : 4.04 % |
| PWF.PR.L | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-19 Maturity Price : 22.48 Evaluated at bid price : 22.76 Bid-YTW : 5.68 % |
| PWF.PR.S | Perpetual-Discount | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-19 Maturity Price : 21.47 Evaluated at bid price : 21.75 Bid-YTW : 5.59 % |
| CU.PR.E | Perpetual-Discount | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-19 Maturity Price : 22.32 Evaluated at bid price : 22.65 Bid-YTW : 5.44 % |
| ELF.PR.F | Perpetual-Discount | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-19 Maturity Price : 22.16 Evaluated at bid price : 22.44 Bid-YTW : 6.01 % |
| PWF.PR.K | Perpetual-Discount | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-19 Maturity Price : 21.84 Evaluated at bid price : 22.15 Bid-YTW : 5.66 % |
| BAM.PF.A | FixedReset | 1.99 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 4.35 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PF.D | Perpetual-Discount | 345,989 | RBC crossed 291,900 at 18.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-19 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 6.40 % |
| TD.PR.R | Deemed-Retractible | 120,988 | RBC crossed 116,300 at 26.29. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-18 Maturity Price : 26.00 Evaluated at bid price : 26.32 Bid-YTW : -0.80 % |
| ENB.PR.Y | FixedReset | 78,256 | RBC crossed 12,700 at 23.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-19 Maturity Price : 22.25 Evaluated at bid price : 23.00 Bid-YTW : 4.49 % |
| PWF.PR.S | Perpetual-Discount | 75,875 | TD crossed 15,900 at 21.75; RBC sold 10,000 to anonymous at 21.66. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-19 Maturity Price : 21.47 Evaluated at bid price : 21.75 Bid-YTW : 5.59 % |
| POW.PR.D | Perpetual-Discount | 55,513 | TD crossed 50,000 at 22.65. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-19 Maturity Price : 22.25 Evaluated at bid price : 22.60 Bid-YTW : 5.62 % |
| TRP.PR.B | FixedReset | 50,415 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-19 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 3.90 % |
| There were 64 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| HSE.PR.A | FixedReset | Quote: 22.43 – 22.83 Spot Rate : 0.4000 Average : 0.2402 YTW SCENARIO |
| ENB.PR.H | FixedReset | Quote: 22.48 – 22.94 Spot Rate : 0.4600 Average : 0.3089 YTW SCENARIO |
| TD.PR.O | Deemed-Retractible | Quote: 25.30 – 25.60 Spot Rate : 0.3000 Average : 0.1859 YTW SCENARIO |
| IAG.PR.F | Deemed-Retractible | Quote: 25.21 – 25.58 Spot Rate : 0.3700 Average : 0.2828 YTW SCENARIO |
| TD.PR.G | FixedReset | Quote: 25.51 – 25.78 Spot Rate : 0.2700 Average : 0.1850 YTW SCENARIO |
| GWO.PR.G | Deemed-Retractible | Quote: 22.81 – 23.09 Spot Rate : 0.2800 Average : 0.1954 YTW SCENARIO |