Nothing happened today.
It was another positive day for the Canadian preferred share market, with PerpetualDiscounts winning 17bp, FixedResets gaining 10bp and DeemedRetractibles up 13bp. Volatility was merely average, but the Performance Highlights table is comprised entirely of winners, all but one of them a FixedReset. Volume was average, but the highlights were uniformly FixedResets.
And that’s it for another month!
| 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 | 0.1854 % | 2,421.0 |
| FixedFloater | 4.70 % | 4.29 % | 28,018 | 17.78 | 1 | 0.4975 % | 3,608.5 |
| Floater | 2.99 % | 3.13 % | 54,629 | 19.35 | 4 | 0.1854 % | 2,614.0 |
| OpRet | 4.62 % | -3.73 % | 68,580 | 0.08 | 3 | 0.0513 % | 2,693.9 |
| SplitShare | 4.86 % | 4.67 % | 56,760 | 4.36 | 5 | -0.0401 % | 3,048.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0513 % | 2,463.3 |
| Perpetual-Premium | 5.65 % | 0.01 % | 96,504 | 0.08 | 12 | -0.0049 % | 2,343.4 |
| Perpetual-Discount | 5.50 % | 5.58 % | 137,896 | 14.47 | 26 | 0.1718 % | 2,410.2 |
| FixedReset | 4.71 % | 3.62 % | 221,125 | 4.50 | 77 | 0.0994 % | 2,507.5 |
| Deemed-Retractible | 5.09 % | 3.58 % | 168,499 | 0.97 | 42 | 0.1311 % | 2,449.7 |
| FloatingReset | 2.64 % | 2.62 % | 149,780 | 7.13 | 6 | 0.0603 % | 2,439.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.C | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.00 Evaluated at bid price : 26.13 Bid-YTW : 2.67 % |
| PWF.PR.A | Floater | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-28 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 2.70 % |
| IFC.PR.A | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.58 Bid-YTW : 4.01 % |
| SLF.PR.G | FixedReset | 1.62 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.64 Bid-YTW : 4.34 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.L | FixedReset | 411,138 | Recent new issue. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 4.21 % |
| BNS.PR.Z | FixedReset | 77,877 | RBC crossed 28,200 at 23.93; Desjardins bought 30,000 from anonymous at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.93 Bid-YTW : 3.91 % |
| IAG.PR.G | FixedReset | 69,643 | Scotia crossed 40,000 at 25.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.73 Bid-YTW : 3.27 % |
| TD.PR.E | FixedReset | 52,979 | TD crossed 50,000 at 25.29. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : 2.05 % |
| ENB.PR.J | FixedReset | 38,389 | TD bought 10,900 from RBC at 25.09 and crossed 13,600 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-28 Maturity Price : 23.18 Evaluated at bid price : 25.06 Bid-YTW : 4.19 % |
| RY.PR.Z | FixedReset | 37,161 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-28 Maturity Price : 23.25 Evaluated at bid price : 25.32 Bid-YTW : 3.78 % |
| There were 33 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.G | FixedFloater | Quote: 20.20 – 20.77 Spot Rate : 0.5700 Average : 0.4367 YTW SCENARIO |
| BAM.PR.J | OpRet | Quote: 26.47 – 26.79 Spot Rate : 0.3200 Average : 0.1986 YTW SCENARIO |
| CIU.PR.C | FixedReset | Quote: 21.13 – 21.66 Spot Rate : 0.5300 Average : 0.4142 YTW SCENARIO |
| GWO.PR.N | FixedReset | Quote: 21.75 – 22.25 Spot Rate : 0.5000 Average : 0.3972 YTW SCENARIO |
| VNR.PR.A | FixedReset | Quote: 25.30 – 25.55 Spot Rate : 0.2500 Average : 0.1680 YTW SCENARIO |
| BNS.PR.L | Deemed-Retractible | Quote: 25.68 – 25.91 Spot Rate : 0.2300 Average : 0.1638 YTW SCENARIO |