Nothing happened today.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 16bp, FixedResets off 3bp and DeemedRetractibles gaining 3bp. Volatility was minimal. Volume was very low.
| 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 | 0.7074 % | 2,665.7 |
| FixedFloater | 4.14 % | 3.40 % | 25,854 | 18.56 | 1 | 0.0000 % | 4,185.8 |
| Floater | 2.89 % | 3.03 % | 46,407 | 19.65 | 4 | 0.7074 % | 2,756.6 |
| OpRet | 4.04 % | -1.77 % | 91,665 | 0.08 | 1 | 0.1975 % | 2,732.5 |
| SplitShare | 4.28 % | 3.72 % | 110,343 | 3.92 | 5 | 0.0626 % | 3,157.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1975 % | 2,498.6 |
| Perpetual-Premium | 5.46 % | 1.75 % | 70,587 | 0.09 | 20 | 0.0000 % | 2,440.0 |
| Perpetual-Discount | 5.22 % | 5.14 % | 102,449 | 15.20 | 16 | 0.1583 % | 2,612.7 |
| FixedReset | 4.26 % | 3.80 % | 177,882 | 6.49 | 74 | -0.0329 % | 2,558.7 |
| Deemed-Retractible | 5.00 % | 1.90 % | 102,068 | 0.29 | 42 | 0.0323 % | 2,565.7 |
| FloatingReset | 2.63 % | 1.92 % | 75,135 | 0.08 | 6 | -0.1048 % | 2,525.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.A | Floater | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-09-15 Maturity Price : 20.87 Evaluated at bid price : 20.87 Bid-YTW : 2.53 % |
| FTS.PR.J | Perpetual-Discount | 1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-09-15 Maturity Price : 23.68 Evaluated at bid price : 24.06 Bid-YTW : 4.95 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.L | Deemed-Retractible | 41,912 | RBC bought blocks of 10,000 and 10,600 from anonymous, both at 25.75, then crossed 10,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-15 Maturity Price : 25.50 Evaluated at bid price : 25.75 Bid-YTW : -0.75 % |
| NA.PR.S | FixedReset | 31,373 | National crossed 19,100 at 25.74. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-05-15 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 3.59 % |
| TD.PR.P | Deemed-Retractible | 22,247 | RBC crossed two blocks of 10,000 each, both at 25.96. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-11-01 Maturity Price : 25.50 Evaluated at bid price : 25.90 Bid-YTW : -2.04 % |
| TD.PF.A | FixedReset | 21,500 | Scotia crossed 15,000 at 25.31. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 3.55 % |
| BNS.PR.Z | FixedReset | 20,384 | TD crossed 10,000 at 24.50. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.43 Bid-YTW : 3.60 % |
| IFC.PR.C | FixedReset | 20,305 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.46 Bid-YTW : 3.19 % |
| There were 16 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: 32.79 – 33.28 Spot Rate : 0.4900 Average : 0.3644 YTW SCENARIO |
| SLF.PR.G | FixedReset | Quote: 22.15 – 22.42 Spot Rate : 0.2700 Average : 0.1724 YTW SCENARIO |
| PVS.PR.C | SplitShare | Quote: 25.99 – 26.90 Spot Rate : 0.9100 Average : 0.8292 YTW SCENARIO |
| MFC.PR.F | FixedReset | Quote: 22.70 – 23.00 Spot Rate : 0.3000 Average : 0.2286 YTW SCENARIO |
| RY.PR.Z | FixedReset | Quote: 25.34 – 25.51 Spot Rate : 0.1700 Average : 0.1047 YTW SCENARIO |
| SLF.PR.A | Deemed-Retractible | Quote: 23.62 – 23.81 Spot Rate : 0.1900 Average : 0.1395 YTW SCENARIO |