Nothing happened today.
The Canadian preferred share market pulled back today, with PerpetualDiscounts losing 10bp, FixedResets off 2bp and DeemedRetractibles down 4bp. Floaters did quite well, but apart from them there was little volatility. Volume was pathetic.
| 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 | 3.13 % | 3.12 % | 23,187 | 19.43 | 1 | 0.1674 % | 2,536.2 |
| FixedFloater | 4.25 % | 3.53 % | 29,318 | 18.27 | 1 | 0.5851 % | 4,039.5 |
| Floater | 2.85 % | 2.94 % | 46,758 | 19.92 | 4 | 1.1795 % | 2,780.9 |
| OpRet | 4.02 % | -5.84 % | 87,870 | 0.08 | 1 | -0.0392 % | 2,720.0 |
| SplitShare | 4.67 % | 4.04 % | 89,288 | 4.07 | 7 | -0.2484 % | 3,121.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0392 % | 2,487.2 |
| Perpetual-Premium | 5.51 % | -4.51 % | 80,269 | 0.08 | 17 | -0.0392 % | 2,422.5 |
| Perpetual-Discount | 5.24 % | 5.15 % | 112,055 | 15.04 | 20 | -0.0980 % | 2,570.8 |
| FixedReset | 4.38 % | 3.59 % | 199,323 | 4.58 | 76 | -0.0198 % | 2,561.8 |
| Deemed-Retractible | 4.98 % | 1.46 % | 130,722 | 0.15 | 43 | -0.0433 % | 2,547.9 |
| FloatingReset | 2.67 % | 2.30 % | 118,659 | 3.91 | 6 | -0.0143 % | 2,508.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.X | FixedReset | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-07-04 Maturity Price : 22.05 Evaluated at bid price : 22.41 Bid-YTW : 3.93 % |
| TD.PR.S | FixedReset | 1.03 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : 3.07 % |
| BAM.PR.B | Floater | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-07-04 Maturity Price : 17.89 Evaluated at bid price : 17.89 Bid-YTW : 2.95 % |
| BAM.PR.K | Floater | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-07-04 Maturity Price : 17.82 Evaluated at bid price : 17.82 Bid-YTW : 2.96 % |
| BAM.PR.C | Floater | 1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-07-04 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 2.94 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNA.PR.F | SplitShare | 144,900 | New issue settled today. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 4.71 % |
| ENB.PF.C | FixedReset | 128,725 | TD bought 10,500 from Scotia at 25.33; Nesbitt bought 16,600 from anonymous at the same price; and RBC crossed 50,000 at the same price again. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-07-04 Maturity Price : 23.22 Evaluated at bid price : 25.31 Bid-YTW : 4.10 % |
| CM.PR.M | FixedReset | 72,913 | Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 24.99 Bid-YTW : 3.82 % |
| MFC.PR.G | FixedReset | 64,029 | Nesbitt crossed 63,500 at 26.10. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 2.79 % |
| BMO.PR.J | Deemed-Retractible | 52,740 | TD crossed two blocks of 25,000 each, both at 25.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-03 Maturity Price : 25.50 Evaluated at bid price : 25.71 Bid-YTW : 0.27 % |
| PWF.PR.S | Perpetual-Discount | 51,513 | Scotia crossed 40,000 at 23.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-07-04 Maturity Price : 23.38 Evaluated at bid price : 23.71 Bid-YTW : 5.13 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.C | Floater | Quote: 17.95 – 18.95 Spot Rate : 1.0000 Average : 0.5416 YTW SCENARIO |
| MFC.PR.H | FixedReset | Quote: 26.24 – 27.50 Spot Rate : 1.2600 Average : 0.9471 YTW SCENARIO |
| CU.PR.D | Perpetual-Discount | Quote: 24.22 – 24.74 Spot Rate : 0.5200 Average : 0.3296 YTW SCENARIO |
| BAM.PR.R | FixedReset | Quote: 25.40 – 25.84 Spot Rate : 0.4400 Average : 0.2645 YTW SCENARIO |
| RY.PR.E | Deemed-Retractible | Quote: 25.56 – 25.97 Spot Rate : 0.4100 Average : 0.2670 YTW SCENARIO |
| TD.PR.P | Deemed-Retractible | Quote: 26.00 – 26.37 Spot Rate : 0.3700 Average : 0.2347 YTW SCENARIO |