Nothing happened today.
It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts off 17bp, FixedResets up 10bp and DeemedRetractibles gaining 6bp. The Performance Highlights table is dominated by losing Floating Rate issues. Volume was extremely low.
| 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 | -0.4849 % | 2,334.1 |
| FixedFloater | 4.69 % | 4.26 % | 28,732 | 17.85 | 1 | -2.0319 % | 3,617.4 |
| Floater | 3.10 % | 3.21 % | 55,507 | 19.17 | 4 | -0.4849 % | 2,520.2 |
| OpRet | 4.60 % | 0.96 % | 72,762 | 0.30 | 3 | -0.0128 % | 2,682.1 |
| SplitShare | 4.87 % | 4.99 % | 62,204 | 4.35 | 5 | 0.0483 % | 3,011.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0128 % | 2,452.5 |
| Perpetual-Premium | 5.66 % | 0.11 % | 98,478 | 0.08 | 12 | -0.0099 % | 2,335.2 |
| Perpetual-Discount | 5.55 % | 5.59 % | 153,319 | 14.49 | 26 | -0.1658 % | 2,388.8 |
| FixedReset | 4.90 % | 3.70 % | 211,866 | 6.25 | 82 | 0.1052 % | 2,484.4 |
| Deemed-Retractible | 5.13 % | 4.11 % | 167,540 | 1.94 | 42 | 0.0567 % | 2,417.4 |
| FloatingReset | 2.65 % | 2.63 % | 178,722 | 7.17 | 6 | -0.0134 % | 2,439.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.G | FixedFloater | -2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-10 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 4.26 % |
| CU.PR.D | Perpetual-Discount | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-10 Maturity Price : 22.30 Evaluated at bid price : 22.64 Bid-YTW : 5.41 % |
| BAM.PR.K | Floater | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-10 Maturity Price : 16.28 Evaluated at bid price : 16.28 Bid-YTW : 3.25 % |
| BAM.PR.B | Floater | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-10 Maturity Price : 16.48 Evaluated at bid price : 16.48 Bid-YTW : 3.21 % |
| CIU.PR.C | FixedReset | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-10 Maturity Price : 20.41 Evaluated at bid price : 20.41 Bid-YTW : 3.75 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.I | FixedReset | 131,295 | RBC crossed 125,000 at 25.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.47 Bid-YTW : 2.62 % |
| RY.PR.Z | FixedReset | 124,708 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-10 Maturity Price : 23.14 Evaluated at bid price : 25.00 Bid-YTW : 3.75 % |
| NA.PR.S | FixedReset | 116,035 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-10 Maturity Price : 23.12 Evaluated at bid price : 24.92 Bid-YTW : 3.93 % |
| CM.PR.L | FixedReset | 72,051 | RBC crossed 70,000 at 25.28. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 1.84 % |
| TRP.PR.E | FixedReset | 71,225 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-10 Maturity Price : 23.09 Evaluated at bid price : 24.92 Bid-YTW : 3.95 % |
| SLF.PR.G | FixedReset | 50,083 | Desjardins crossed 34,600 at 22.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.22 Bid-YTW : 4.56 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.D | Perpetual-Discount | Quote: 22.64 – 23.01 Spot Rate : 0.3700 Average : 0.2410 YTW SCENARIO |
| GWO.PR.G | Deemed-Retractible | Quote: 23.49 – 23.83 Spot Rate : 0.3400 Average : 0.2226 YTW SCENARIO |
| BAM.PF.A | FixedReset | Quote: 25.23 – 25.60 Spot Rate : 0.3700 Average : 0.2533 YTW SCENARIO |
| TRP.PR.A | FixedReset | Quote: 23.07 – 23.34 Spot Rate : 0.2700 Average : 0.1652 YTW SCENARIO |
| IFC.PR.A | FixedReset | Quote: 24.00 – 24.25 Spot Rate : 0.2500 Average : 0.1582 YTW SCENARIO |
| VNR.PR.A | FixedReset | Quote: 25.20 – 25.44 Spot Rate : 0.2400 Average : 0.1569 YTW SCENARIO |