Nothing happened today.
It was an off day for the Canadian preferred share market, with PerpetualDiscounts down 7bp, FixedResets losing 11bp and DeemedRetractibles off 5bp. Volatility was minor. Volume was average.
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 | 0.2287 % | 2,429.9 |
FixedFloater | 4.72 % | 4.27 % | 33,541 | 17.93 | 1 | -0.5432 % | 3,640.1 |
Floater | 3.00 % | 3.11 % | 51,033 | 19.45 | 4 | 0.2287 % | 2,623.6 |
OpRet | 4.36 % | -6.53 % | 34,879 | 0.13 | 2 | 0.1358 % | 2,693.7 |
SplitShare | 4.81 % | 4.39 % | 64,765 | 4.24 | 5 | 0.0318 % | 3,086.4 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1358 % | 2,463.1 |
Perpetual-Premium | 5.55 % | -4.53 % | 105,697 | 0.09 | 13 | 0.0242 % | 2,384.1 |
Perpetual-Discount | 5.43 % | 5.39 % | 116,527 | 14.60 | 23 | -0.0730 % | 2,482.0 |
FixedReset | 4.68 % | 3.65 % | 199,362 | 4.19 | 79 | -0.1147 % | 2,529.7 |
Deemed-Retractible | 5.03 % | -0.58 % | 145,125 | 0.12 | 42 | -0.0498 % | 2,490.0 |
FloatingReset | 2.64 % | 2.43 % | 192,420 | 4.26 | 5 | 0.0000 % | 2,480.0 |
Performance Highlights | |||
Issue | Index | Change | Notes |
TRP.PR.C | FixedReset | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-04-15 Maturity Price : 22.14 Evaluated at bid price : 22.45 Bid-YTW : 3.65 % |
FTS.PR.H | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-04-15 Maturity Price : 21.32 Evaluated at bid price : 21.61 Bid-YTW : 3.68 % |
PWF.PR.A | Floater | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-04-15 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 2.71 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
RY.PR.Z | FixedReset | 282,650 | Scotia bought blocks of 14,000 and 16,600 from Instinet at 25.52 and crossed 35,000 at the same price. RBC crossed 99,900 and TD crossed blocks of 25,000 and 50,000, all at the same price again. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-04-15 Maturity Price : 23.32 Evaluated at bid price : 25.52 Bid-YTW : 3.72 % |
TRP.PR.A | FixedReset | 56,288 | TD crossed 50,000 at 23.53. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-04-15 Maturity Price : 22.85 Evaluated at bid price : 23.50 Bid-YTW : 3.80 % |
GWO.PR.N | FixedReset | 54,775 | Nesbitt crossed 50,000 at 22.40. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 4.37 % |
TD.PR.K | FixedReset | 52,334 | RBC crossed 50,000 at 25.31. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.27 Bid-YTW : 1.69 % |
TD.PR.I | FixedReset | 51,979 | TD crossed 40,000 at 25.30. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : 1.42 % |
CU.PR.G | Perpetual-Discount | 43,207 | TD crossed 25,000 at 21.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-04-15 Maturity Price : 21.39 Evaluated at bid price : 21.72 Bid-YTW : 5.23 % |
There were 30 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
FTS.PR.H | FixedReset | Quote: 21.61 – 21.89 Spot Rate : 0.2800 Average : 0.1896 YTW SCENARIO |
IGM.PR.B | Perpetual-Premium | Quote: 25.93 – 26.15 Spot Rate : 0.2200 Average : 0.1446 YTW SCENARIO |
POW.PR.D | Perpetual-Discount | Quote: 23.15 – 23.39 Spot Rate : 0.2400 Average : 0.1647 YTW SCENARIO |
TRP.PR.E | FixedReset | Quote: 25.30 – 25.45 Spot Rate : 0.1500 Average : 0.0927 YTW SCENARIO |
BNS.PR.K | Deemed-Retractible | Quote: 25.35 – 25.56 Spot Rate : 0.2100 Average : 0.1531 YTW SCENARIO |
GWO.PR.I | Deemed-Retractible | Quote: 21.88 – 22.08 Spot Rate : 0.2000 Average : 0.1438 YTW SCENARIO |