Nothing happened today, either.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 20bp, FixedResets gaining 2bp and DeemedRetractibles off 4bp. The Performance Highlights table is notable for a fine complement of winning BAM PerpetualDiscounts. Volume was high, with many issues trading over 100,000 shares.
| 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 | -0.6458 % | 2,555.7 |
| FixedFloater | 4.42 % | 3.65 % | 32,591 | 18.10 | 1 | 0.0000 % | 3,840.7 |
| Floater | 2.92 % | 2.94 % | 67,263 | 19.90 | 3 | -0.6458 % | 2,759.5 |
| OpRet | 4.62 % | 0.34 % | 75,815 | 0.08 | 3 | 0.0642 % | 2,674.2 |
| SplitShare | 4.85 % | 4.73 % | 67,323 | 4.43 | 5 | -0.0882 % | 3,020.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0642 % | 2,445.3 |
| Perpetual-Premium | 5.63 % | 3.61 % | 128,187 | 0.14 | 13 | 0.0061 % | 2,322.3 |
| Perpetual-Discount | 5.62 % | 5.64 % | 166,660 | 14.48 | 25 | 0.1967 % | 2,362.4 |
| FixedReset | 4.95 % | 3.49 % | 221,783 | 3.45 | 82 | 0.0242 % | 2,486.1 |
| Deemed-Retractible | 5.14 % | 4.33 % | 164,652 | 1.99 | 42 | -0.0382 % | 2,403.9 |
| FloatingReset | 2.60 % | 2.25 % | 225,169 | 4.33 | 5 | 0.1347 % | 2,475.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.S | Perpetual-Discount | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-14 Maturity Price : 21.81 Evaluated at bid price : 22.13 Bid-YTW : 5.42 % |
| FTS.PR.F | Perpetual-Discount | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-14 Maturity Price : 22.13 Evaluated at bid price : 22.41 Bid-YTW : 5.53 % |
| BAM.PF.D | Perpetual-Discount | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-14 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.07 % |
| BAM.PF.C | Perpetual-Discount | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-14 Maturity Price : 20.17 Evaluated at bid price : 20.17 Bid-YTW : 6.07 % |
| BAM.PR.M | Perpetual-Discount | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-14 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 6.14 % |
| BAM.PR.N | Perpetual-Discount | 1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-14 Maturity Price : 19.58 Evaluated at bid price : 19.58 Bid-YTW : 6.13 % |
| CIU.PR.C | FixedReset | 2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-14 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 3.88 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.R | FixedReset | 300,560 | Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.34 Bid-YTW : 1.89 % |
| TRP.PR.D | FixedReset | 263,134 | Added to TXPL. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-14 Maturity Price : 23.08 Evaluated at bid price : 24.82 Bid-YTW : 4.03 % |
| BNS.PR.Q | FixedReset | 173,800 | RBC crossed blocks of 98,100 and 63,200, both at 25.10. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 3.49 % |
| MFC.PR.E | FixedReset | 154,215 | RBC crossed blocks of 48,400, 26,600 and 74,800, all at 25.62. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.58 Bid-YTW : 2.76 % |
| TD.PR.G | FixedReset | 146,700 | Scotia crossed 80,000 at 25.22; Nesbitt crossed 64,300 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.22 Bid-YTW : 2.14 % |
| BNS.PR.R | FixedReset | 138,115 | Will reset at 3.83%. Yield to Deemed Maturity is 3.58%. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.17 Bid-YTW : -3.02 % |
| TD.PR.Y | FixedReset | 136,000 | RBC crossed 124,900 at 25.10. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.03 Bid-YTW : 3.49 % |
| CM.PR.L | FixedReset | 127,435 | Scotia crossed 70,000 at 25.24; Desjardins crossed 55,800 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : 2.20 % |
| BMO.PR.R | FloatingReset | 101,460 | Nesbitt crossed 100,000 at 25.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-08-25 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 2.33 % |
| RY.PR.N | FixedReset | 100,505 | Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : 2.60 % |
| There were 43 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.E | Deemed-Retractible | Quote: 21.07 – 21.28 Spot Rate : 0.2100 Average : 0.1370 YTW SCENARIO |
| CIU.PR.A | Perpetual-Discount | Quote: 21.51 – 21.79 Spot Rate : 0.2800 Average : 0.2102 YTW SCENARIO |
| FTS.PR.F | Perpetual-Discount | Quote: 22.41 – 22.64 Spot Rate : 0.2300 Average : 0.1621 YTW SCENARIO |
| SLF.PR.A | Deemed-Retractible | Quote: 22.01 – 22.28 Spot Rate : 0.2700 Average : 0.2041 YTW SCENARIO |
| CGI.PR.D | SplitShare | Quote: 24.65 – 25.01 Spot Rate : 0.3600 Average : 0.3042 YTW SCENARIO |
| FTS.PR.J | Perpetual-Discount | Quote: 22.00 – 22.27 Spot Rate : 0.2700 Average : 0.2193 YTW SCENARIO |