Nothing happened today.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts down 38bp, FixedResets gaining 11bp and DeemedRetractibles off 7bp. The BAM Floaters got hammered. TRP issues were prominent in the Performance Highlights table, perhaps adjusting themselves for the new issue that settles Monday. However, as the chart below shows, the four TRP issues are well-behaved in terms of Implied Volatility theory. Volume was very heavy.
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| 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 | -1.8709 % | 2,489.3 |
| FixedFloater | 4.44 % | 3.67 % | 33,154 | 18.07 | 1 | -0.0933 % | 3,826.4 |
| Floater | 3.00 % | 3.02 % | 72,871 | 19.69 | 3 | -1.8709 % | 2,687.8 |
| OpRet | 4.61 % | 0.39 % | 77,926 | 0.20 | 3 | 0.0128 % | 2,675.6 |
| SplitShare | 4.84 % | 4.69 % | 62,183 | 4.42 | 5 | -0.0880 % | 3,028.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0128 % | 2,446.6 |
| Perpetual-Premium | 5.64 % | 4.32 % | 126,632 | 0.13 | 13 | -0.1516 % | 2,320.1 |
| Perpetual-Discount | 5.66 % | 5.68 % | 163,801 | 14.38 | 25 | -0.3847 % | 2,347.4 |
| FixedReset | 4.94 % | 3.53 % | 222,976 | 3.44 | 82 | 0.1121 % | 2,490.7 |
| Deemed-Retractible | 5.16 % | 4.55 % | 170,820 | 6.64 | 42 | -0.0688 % | 2,395.0 |
| FloatingReset | 2.60 % | 2.30 % | 239,756 | 4.32 | 5 | 0.2221 % | 2,475.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.K | Floater | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-17 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 3.02 % |
| BAM.PR.C | Floater | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-17 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 3.02 % |
| BAM.PR.B | Floater | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-17 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 3.02 % |
| PWF.PR.S | Perpetual-Discount | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-17 Maturity Price : 21.54 Evaluated at bid price : 21.85 Bid-YTW : 5.50 % |
| TRP.PR.A | FixedReset | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-17 Maturity Price : 22.85 Evaluated at bid price : 23.42 Bid-YTW : 3.97 % |
| PWF.PR.T | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-17 Maturity Price : 23.26 Evaluated at bid price : 25.33 Bid-YTW : 4.00 % |
| BAM.PF.C | Perpetual-Discount | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-17 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 6.19 % |
| FTS.PR.H | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-17 Maturity Price : 21.53 Evaluated at bid price : 21.90 Bid-YTW : 3.77 % |
| GWO.PR.N | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.07 Bid-YTW : 4.59 % |
| TRP.PR.B | FixedReset | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-17 Maturity Price : 20.44 Evaluated at bid price : 20.44 Bid-YTW : 3.84 % |
| TRP.PR.C | FixedReset | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-17 Maturity Price : 21.57 Evaluated at bid price : 21.96 Bid-YTW : 3.87 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWO.PR.H | Deemed-Retractible | 188,408 | Desjardins crossed blocks of 104,300 shares, 52,200 and 14,500, all at 22.10. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 6.43 % |
| PWF.PR.T | FixedReset | 149,986 | Added to TXPR and TXPL. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-17 Maturity Price : 23.26 Evaluated at bid price : 25.33 Bid-YTW : 4.00 % |
| BMO.PR.N | FixedReset | 128,703 | Added to TXPR. With an Issue Reset Spread of 383bp, this issue is virtually certain to be redeemed. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.34 Bid-YTW : 2.57 % |
| ENB.PR.T | FixedReset | 116,039 | Added to TXPL. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-17 Maturity Price : 22.94 Evaluated at bid price : 24.45 Bid-YTW : 4.24 % |
| BAM.PF.B | FixedReset | 108,769 | Added to TXPL. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-17 Maturity Price : 23.07 Evaluated at bid price : 24.76 Bid-YTW : 4.31 % |
| BNS.PR.Q | FixedReset | 86,104 | Scotia crossed 36,700 at 25.15; RBC crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.07 Bid-YTW : 3.51 % |
| There were 65 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GCS.PR.A | SplitShare | Quote: 24.92 – 25.29 Spot Rate : 0.3700 Average : 0.2460 YTW SCENARIO |
| PWF.PR.L | Perpetual-Discount | Quote: 22.91 – 23.34 Spot Rate : 0.4300 Average : 0.3170 YTW SCENARIO |
| PWF.PR.F | Perpetual-Discount | Quote: 23.02 – 23.28 Spot Rate : 0.2600 Average : 0.1691 YTW SCENARIO |
| BAM.PF.C | Perpetual-Discount | Quote: 19.80 – 20.06 Spot Rate : 0.2600 Average : 0.1704 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 21.25 – 21.52 Spot Rate : 0.2700 Average : 0.1841 YTW SCENARIO |
| RY.PR.F | Deemed-Retractible | Quote: 25.10 – 25.42 Spot Rate : 0.3200 Average : 0.2368 YTW SCENARIO |