Nothing happened today.
It was a modestly good day for the Canadian preferred share market, with PerpetualDiscounts and DeemedRetractibles both up 5bp and FixedResets winning 9bp. Volatility was modest. 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 | 3.26 % | 3.27 % | 19,340 | 19.07 | 1 | -2.1277 % | 2,560.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3424 % | 3,996.4 |
| Floater | 2.99 % | 3.11 % | 64,412 | 19.45 | 4 | 0.3424 % | 2,683.5 |
| OpRet | 4.03 % | -0.30 % | 105,534 | 0.08 | 1 | 0.0000 % | 2,743.3 |
| SplitShare | 4.29 % | 3.92 % | 72,329 | 3.80 | 5 | 0.1829 % | 3,158.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 2,508.4 |
| Perpetual-Premium | 5.47 % | -1.10 % | 69,035 | 0.09 | 18 | 0.0765 % | 2,463.2 |
| Perpetual-Discount | 5.28 % | 5.12 % | 98,182 | 15.17 | 18 | 0.0545 % | 2,613.1 |
| FixedReset | 4.21 % | 3.66 % | 171,752 | 8.61 | 75 | 0.0949 % | 2,561.5 |
| Deemed-Retractible | 5.01 % | 2.52 % | 100,125 | 0.32 | 42 | 0.0514 % | 2,573.2 |
| FloatingReset | 2.55 % | 1.86 % | 72,944 | 3.59 | 6 | -0.0261 % | 2,546.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.E | Ratchet | -2.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-10-28 Maturity Price : 22.85 Evaluated at bid price : 23.00 Bid-YTW : 3.27 % |
| CIU.PR.C | FixedReset | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-10-28 Maturity Price : 20.46 Evaluated at bid price : 20.46 Bid-YTW : 3.62 % |
| MFC.PR.C | Deemed-Retractible | -1.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.35 Bid-YTW : 5.99 % |
| BAM.PF.E | FixedReset | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-10-28 Maturity Price : 23.14 Evaluated at bid price : 25.00 Bid-YTW : 4.05 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| NA.PR.W | FixedReset | 607,573 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-10-28 Maturity Price : 23.13 Evaluated at bid price : 24.96 Bid-YTW : 3.68 % |
| CM.PR.E | Perpetual-Premium | 408,545 | Desjardins crossed 398,200 at 25.12. Nice ticket! YTW SCENARIO Maturity Type : Call Maturity Date : 2014-11-27 Maturity Price : 25.00 Evaluated at bid price : 25.13 Bid-YTW : -1.10 % |
| BAM.PF.G | FixedReset | 101,540 | Scotia crossed 30,000 at 25.25; RBC crossed 14,200 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-10-28 Maturity Price : 23.20 Evaluated at bid price : 25.25 Bid-YTW : 4.24 % |
| CM.PR.G | Perpetual-Premium | 101,355 | Desjardins crossed 95,500 at 25.12. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-11-27 Maturity Price : 25.00 Evaluated at bid price : 25.17 Bid-YTW : -3.20 % |
| MFC.PR.M | FixedReset | 78,180 | Desjardins crossed 54,500 at 25.28. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-12-19 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 3.83 % |
| CM.PR.O | FixedReset | 74,446 | Nesbitt crossed 30,000 at 25.25; RBC crossed 30,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-10-28 Maturity Price : 23.26 Evaluated at bid price : 25.25 Bid-YTW : 3.66 % |
| There were 15 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.E | Ratchet | Quote: 23.00 – 23.55 Spot Rate : 0.5500 Average : 0.3905 YTW SCENARIO |
| CIU.PR.C | FixedReset | Quote: 20.46 – 20.89 Spot Rate : 0.4300 Average : 0.2960 YTW SCENARIO |
| MFC.PR.C | Deemed-Retractible | Quote: 22.35 – 22.75 Spot Rate : 0.4000 Average : 0.2681 YTW SCENARIO |
| CGI.PR.D | SplitShare | Quote: 25.28 – 25.95 Spot Rate : 0.6700 Average : 0.5678 YTW SCENARIO |
| FTS.PR.M | FixedReset | Quote: 25.34 – 25.59 Spot Rate : 0.2500 Average : 0.1642 YTW SCENARIO |
| BAM.PR.N | Perpetual-Discount | Quote: 21.28 – 21.55 Spot Rate : 0.2700 Average : 0.1999 YTW SCENARIO |