Nothing happened today.
It was a fine day for the Canadian preferred share market, with PerpetualDiscounts winning 37bp, FixedResets gaining 21bp and DeemedRetractibles up 22bp. Volatility was average. 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 | 0.1899 % | 2,504.5 |
| FixedFloater | 4.58 % | 3.87 % | 37,780 | 17.62 | 1 | -1.1429 % | 3,668.0 |
| Floater | 2.98 % | 2.98 % | 60,310 | 19.78 | 3 | 0.1899 % | 2,704.2 |
| OpRet | 4.64 % | 1.78 % | 87,570 | 0.44 | 3 | 0.0000 % | 2,661.2 |
| SplitShare | 4.88 % | 4.79 % | 79,415 | 4.49 | 5 | -0.0161 % | 2,998.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 2,433.4 |
| Perpetual-Premium | 5.62 % | 5.45 % | 141,972 | 4.18 | 13 | 0.2041 % | 2,305.2 |
| Perpetual-Discount | 5.71 % | 5.68 % | 189,918 | 14.40 | 25 | 0.3699 % | 2,310.8 |
| FixedReset | 5.00 % | 3.52 % | 241,470 | 3.47 | 84 | 0.2117 % | 2,464.1 |
| Deemed-Retractible | 5.16 % | 4.37 % | 209,440 | 1.53 | 42 | 0.2187 % | 2,388.6 |
| FloatingReset | 2.63 % | 2.35 % | 292,045 | 4.39 | 5 | 0.0237 % | 2,464.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.G | FixedFloater | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-20 Maturity Price : 21.50 Evaluated at bid price : 20.76 Bid-YTW : 3.87 % |
| PWF.PR.L | Perpetual-Discount | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-20 Maturity Price : 22.73 Evaluated at bid price : 23.01 Bid-YTW : 5.62 % |
| PWF.PR.K | Perpetual-Discount | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-20 Maturity Price : 22.08 Evaluated at bid price : 22.41 Bid-YTW : 5.59 % |
| BAM.PR.M | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-20 Maturity Price : 18.79 Evaluated at bid price : 18.79 Bid-YTW : 6.36 % |
| SLF.PR.G | FixedReset | 1.57 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.01 Bid-YTW : 4.80 % |
| MFC.PR.F | FixedReset | 1.81 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.90 Bid-YTW : 4.97 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWO.PR.G | Deemed-Retractible | 78,255 | RBC crossed 65,400 at 22.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 6.34 % |
| GWO.PR.M | Deemed-Retractible | 53,790 | TD crossed 50,000 at 25.30. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.22 Bid-YTW : 5.71 % |
| GWO.PR.J | FixedReset | 52,795 | TD crossed 50,000 at 24.99. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 24.99 Bid-YTW : 4.79 % |
| ENB.PR.F | FixedReset | 50,576 | Scotia crossed 17,200 at 23.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-20 Maturity Price : 22.55 Evaluated at bid price : 23.44 Bid-YTW : 4.52 % |
| BAM.PF.C | Perpetual-Discount | 47,478 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-20 Maturity Price : 19.24 Evaluated at bid price : 19.24 Bid-YTW : 6.34 % |
| BAM.PR.X | FixedReset | 46,370 | Desjardins crossed 10,000 at 20.81. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-12-20 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 4.66 % |
| There were 67 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: 21.51 – 21.84 Spot Rate : 0.3300 Average : 0.2016 YTW SCENARIO |
| SLF.PR.G | FixedReset | Quote: 22.01 – 22.28 Spot Rate : 0.2700 Average : 0.1733 YTW SCENARIO |
| TCA.PR.Y | Perpetual-Premium | Quote: 50.43 – 50.75 Spot Rate : 0.3200 Average : 0.2276 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 20.60 – 20.94 Spot Rate : 0.3400 Average : 0.2493 YTW SCENARIO |
| TD.PR.S | FixedReset | Quote: 24.91 – 25.23 Spot Rate : 0.3200 Average : 0.2319 YTW SCENARIO |
| FTS.PR.E | OpRet | Quote: 25.80 – 26.08 Spot Rate : 0.2800 Average : 0.1939 YTW SCENARIO |