Nothing happened today.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 28bp, FixedResets gaining 6bp and DeemedRetractibles off 2bp. Volatility was good, with both winners and losers dominated by FixedResets. 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 | 0.0836 % | 2,621.7 |
| FixedFloater | 4.17 % | 3.42 % | 27,786 | 18.55 | 1 | 0.0000 % | 4,156.5 |
| Floater | 2.93 % | 3.07 % | 49,079 | 19.50 | 4 | 0.0836 % | 2,711.1 |
| OpRet | 4.05 % | -2.54 % | 89,295 | 0.08 | 1 | 0.0791 % | 2,728.2 |
| SplitShare | 4.23 % | 3.86 % | 64,400 | 3.97 | 6 | -0.0058 % | 3,152.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0791 % | 2,494.6 |
| Perpetual-Premium | 5.49 % | -1.43 % | 83,572 | 0.08 | 19 | -0.0331 % | 2,436.8 |
| Perpetual-Discount | 5.21 % | 5.15 % | 111,858 | 15.21 | 17 | 0.2844 % | 2,603.5 |
| FixedReset | 4.23 % | 3.65 % | 186,331 | 6.57 | 74 | 0.0556 % | 2,572.0 |
| Deemed-Retractible | 4.99 % | 2.17 % | 104,114 | 0.34 | 42 | -0.0199 % | 2,560.4 |
| FloatingReset | 2.63 % | 1.92 % | 84,305 | 0.16 | 6 | 0.0918 % | 2,527.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.A | FixedReset | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-08-26 Maturity Price : 22.56 Evaluated at bid price : 22.95 Bid-YTW : 3.71 % |
| TRP.PR.C | FixedReset | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-08-26 Maturity Price : 21.82 Evaluated at bid price : 22.32 Bid-YTW : 3.55 % |
| IAG.PR.G | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-30 Maturity Price : 25.00 Evaluated at bid price : 26.46 Bid-YTW : 2.42 % |
| FTS.PR.F | Perpetual-Discount | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-08-26 Maturity Price : 24.23 Evaluated at bid price : 24.51 Bid-YTW : 5.01 % |
| GWO.PR.N | FixedReset | 1.87 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.75 Bid-YTW : 4.65 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.N | Deemed-Retractible | 304,700 | Nesbitt crossed blocks of 150,000 shares, 50,000 and 100,000, all at 26.15. Nice tickets! YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-25 Maturity Price : 25.75 Evaluated at bid price : 26.10 Bid-YTW : -6.84 % |
| BAM.PR.P | FixedReset | 202,718 | Indicated for redemption September 30. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.38 Bid-YTW : 2.51 % |
| BMO.PR.W | FixedReset | 120,357 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-08-26 Maturity Price : 23.17 Evaluated at bid price : 25.08 Bid-YTW : 3.66 % |
| BNS.PR.O | Deemed-Retractible | 84,418 | TD crossed blocks of 50,000 and 28,700, both at 26.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-25 Maturity Price : 25.75 Evaluated at bid price : 26.20 Bid-YTW : -10.69 % |
| TD.PF.B | FixedReset | 73,692 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-08-26 Maturity Price : 23.22 Evaluated at bid price : 25.16 Bid-YTW : 3.68 % |
| BAM.PR.C | Floater | 73,397 | Nesbitt crossed 70,700 at 17.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-08-26 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 3.07 % |
| There were 30 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| NEW.PR.D | SplitShare | Quote: 32.58 – 32.88 Spot Rate : 0.3000 Average : 0.2159 YTW SCENARIO |
| PVS.PR.C | SplitShare | Quote: 26.20 – 27.20 Spot Rate : 1.0000 Average : 0.9252 YTW SCENARIO |
| IAG.PR.G | FixedReset | Quote: 26.46 – 26.77 Spot Rate : 0.3100 Average : 0.2412 YTW SCENARIO |
| BAM.PR.R | FixedReset | Quote: 25.91 – 26.10 Spot Rate : 0.1900 Average : 0.1274 YTW SCENARIO |
| FTS.PR.H | FixedReset | Quote: 20.90 – 21.16 Spot Rate : 0.2600 Average : 0.2000 YTW SCENARIO |
| CGI.PR.D | SplitShare | Quote: 25.01 – 25.20 Spot Rate : 0.1900 Average : 0.1336 YTW SCENARIO |