Nothing happened today.
It was another good day for the Canadian preferred share market, with PerpetualDiscounts gaining 3bp, FixedResets up 10bp and DeemedRetractibles winning 17bp. A lengthy Performance Highlights table is comprised entirely of winners. 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 | -0.0827 % | 2,530.2 |
| FixedFloater | 4.32 % | 3.59 % | 30,715 | 18.17 | 1 | 0.0000 % | 3,978.1 |
| Floater | 2.90 % | 2.98 % | 44,578 | 19.77 | 4 | -0.0827 % | 2,731.9 |
| OpRet | 4.37 % | -12.43 % | 21,532 | 0.08 | 2 | -0.0194 % | 2,715.8 |
| SplitShare | 4.70 % | 3.74 % | 57,477 | 3.16 | 6 | 0.5547 % | 3,123.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0194 % | 2,483.3 |
| Perpetual-Premium | 5.52 % | -0.68 % | 80,932 | 0.08 | 17 | 0.2925 % | 2,415.8 |
| Perpetual-Discount | 5.27 % | 5.23 % | 114,014 | 15.01 | 20 | 0.0322 % | 2,557.6 |
| FixedReset | 4.44 % | 3.67 % | 203,250 | 4.66 | 78 | 0.1038 % | 2,553.7 |
| Deemed-Retractible | 4.98 % | 0.33 % | 139,691 | 0.09 | 43 | 0.1713 % | 2,545.4 |
| FloatingReset | 2.67 % | 2.32 % | 124,490 | 3.93 | 6 | 0.0647 % | 2,504.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.H | FixedReset | 1.04 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 3.34 % |
| GWO.PR.R | Deemed-Retractible | 1.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.92 Bid-YTW : 5.37 % |
| HSB.PR.D | Deemed-Retractible | 1.57 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-27 Maturity Price : 25.25 Evaluated at bid price : 25.84 Bid-YTW : -22.33 % |
| MFC.PR.B | Deemed-Retractible | 1.70 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.31 Bid-YTW : 5.55 % |
| BNA.PR.C | SplitShare | 1.71 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.93 Bid-YTW : 4.50 % |
| W.PR.J | Perpetual-Premium | 1.85 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-27 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 3.73 % |
| W.PR.H | Perpetual-Premium | 1.90 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-27 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 2.21 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.M | FixedReset | 142,179 | Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 0.19 % |
| MFC.PR.H | FixedReset | 108,910 | RBC crossed 61,400 at 26.25. Nesbitt crossed 20,000 at 26.25 and 25,000 at 26.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 26.20 Bid-YTW : 2.81 % |
| ENB.PR.B | FixedReset | 84,404 | RBC crossed 78,200 at 24.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-06-27 Maturity Price : 23.29 Evaluated at bid price : 24.72 Bid-YTW : 4.00 % |
| BAM.PF.B | FixedReset | 57,142 | RBC crossed 46,400 at 25.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-06-27 Maturity Price : 23.18 Evaluated at bid price : 24.99 Bid-YTW : 4.13 % |
| BMO.PR.S | FixedReset | 56,183 | RBC crossed 50,000 at 25.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 3.73 % |
| MFC.PR.L | FixedReset | 48,145 | RBC crossed 40,000 at 25.10. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.11 Bid-YTW : 3.82 % |
| There were 31 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CIU.PR.C | FixedReset | Quote: 21.59 – 22.25 Spot Rate : 0.6600 Average : 0.4035 YTW SCENARIO |
| PWF.PR.A | Floater | Quote: 19.99 – 20.40 Spot Rate : 0.4100 Average : 0.2806 YTW SCENARIO |
| GWO.PR.I | Deemed-Retractible | Quote: 22.66 – 23.09 Spot Rate : 0.4300 Average : 0.3112 YTW SCENARIO |
| W.PR.H | Perpetual-Premium | Quote: 25.00 – 25.37 Spot Rate : 0.3700 Average : 0.2546 YTW SCENARIO |
| POW.PR.D | Perpetual-Discount | Quote: 24.04 – 24.39 Spot Rate : 0.3500 Average : 0.2372 YTW SCENARIO |
| W.PR.J | Perpetual-Premium | Quote: 24.97 – 25.30 Spot Rate : 0.3300 Average : 0.2450 YTW SCENARIO |