Nothing happened today.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 34bp, FixedResets off 3bp and DeemedRetractibles gaining 3bp. Volatility was low. Volume was average, with the highlights comprised entirely of FixedResets.
| 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 | -0.2679 % | 2,451.7 |
| FixedFloater | 4.74 % | 4.34 % | 32,471 | 17.70 | 1 | -0.6442 % | 3,581.7 |
| Floater | 2.97 % | 3.06 % | 52,875 | 19.59 | 4 | -0.2679 % | 2,647.2 |
| OpRet | 4.66 % | -0.03 % | 86,267 | 0.22 | 3 | -0.0259 % | 2,683.1 |
| SplitShare | 4.82 % | 4.25 % | 59,920 | 4.33 | 5 | 0.1835 % | 3,074.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0259 % | 2,453.4 |
| Perpetual-Premium | 5.63 % | -1.79 % | 91,647 | 0.08 | 11 | 0.0322 % | 2,352.3 |
| Perpetual-Discount | 5.45 % | 5.50 % | 126,675 | 14.54 | 26 | 0.3395 % | 2,436.9 |
| FixedReset | 4.72 % | 3.60 % | 227,319 | 6.84 | 79 | -0.0324 % | 2,501.8 |
| Deemed-Retractible | 5.06 % | 1.90 % | 163,002 | 0.20 | 42 | 0.0347 % | 2,466.2 |
| FloatingReset | 2.59 % | 2.62 % | 200,235 | 7.10 | 5 | -0.1286 % | 2,438.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CU.PR.F | Perpetual-Discount | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-03-13 Maturity Price : 21.40 Evaluated at bid price : 21.73 Bid-YTW : 5.20 % |
| CU.PR.G | Perpetual-Discount | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-03-13 Maturity Price : 21.47 Evaluated at bid price : 21.75 Bid-YTW : 5.20 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PF.A | FixedReset | 496,550 | New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-03-13 Maturity Price : 23.10 Evaluated at bid price : 24.95 Bid-YTW : 4.22 % |
| CIU.PR.C | FixedReset | 342,100 | RBC crossed 72,000 and two blocks of 135,000 each, both at 21.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-03-13 Maturity Price : 21.43 Evaluated at bid price : 21.43 Bid-YTW : 3.60 % |
| CM.PR.L | FixedReset | 127,398 | TD crossed blocks of 33,000 shares, 56,600 and 35,000, all at 25.37. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.36 Bid-YTW : 1.21 % |
| BAM.PF.E | FixedReset | 78,180 | New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-03-13 Maturity Price : 22.97 Evaluated at bid price : 24.60 Bid-YTW : 4.22 % |
| FTS.PR.G | FixedReset | 67,111 | Nesbitt crossed blocks of 13,600 and 46,400, both at 24.51. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-03-13 Maturity Price : 23.02 Evaluated at bid price : 24.50 Bid-YTW : 3.77 % |
| FTS.PR.K | FixedReset | 56,440 | Nesbitt crossed 37,800 at 24.69. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-03-13 Maturity Price : 23.04 Evaluated at bid price : 24.65 Bid-YTW : 3.71 % |
| There were 34 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.E | Perpetual-Discount | Quote: 24.70 – 24.99 Spot Rate : 0.2900 Average : 0.1762 YTW SCENARIO |
| TRP.PR.C | FixedReset | Quote: 22.28 – 22.55 Spot Rate : 0.2700 Average : 0.1760 YTW SCENARIO |
| CIU.PR.C | FixedReset | Quote: 21.43 – 21.88 Spot Rate : 0.4500 Average : 0.3640 YTW SCENARIO |
| ENB.PR.A | Perpetual-Premium | Quote: 25.25 – 25.50 Spot Rate : 0.2500 Average : 0.1758 YTW SCENARIO |
| ELF.PR.F | Perpetual-Discount | Quote: 23.36 – 23.60 Spot Rate : 0.2400 Average : 0.1842 YTW SCENARIO |
| IFC.PR.C | FixedReset | Quote: 25.30 – 25.50 Spot Rate : 0.2000 Average : 0.1460 YTW SCENARIO |