A day enlivened by the settlement of IAG.PR.E.
Otherwise, we were back to same-old, same-old, with PerpetualDiscounts losing 26bp and FixedResets gaining 4bp, total return. Volume was good, with PerpetualDiscounts being the majority of the volume highlights table.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| 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 | -1.1791 % | 1,465.8 |
| FixedFloater | 5.74 % | 3.90 % | 44,438 | 18.98 | 1 | 3.7240 % | 2,713.4 |
| Floater | 2.66 % | 3.09 % | 109,408 | 19.51 | 3 | -1.1791 % | 1,831.2 |
| OpRet | 4.91 % | -1.94 % | 121,831 | 0.09 | 15 | -0.1543 % | 2,276.8 |
| SplitShare | 6.43 % | 6.50 % | 604,968 | 3.97 | 2 | 0.0888 % | 2,056.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1543 % | 2,081.9 |
| Perpetual-Premium | 5.93 % | 5.95 % | 145,818 | 13.93 | 11 | -0.2427 % | 1,843.9 |
| Perpetual-Discount | 5.94 % | 6.02 % | 223,360 | 13.88 | 63 | -0.2601 % | 1,741.9 |
| FixedReset | 5.52 % | 4.19 % | 472,577 | 4.03 | 41 | 0.0391 % | 2,106.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| ELF.PR.F | Perpetual-Discount | -2.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-15 Maturity Price : 19.52 Evaluated at bid price : 19.52 Bid-YTW : 6.84 % |
| ELF.PR.G | Perpetual-Discount | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-15 Maturity Price : 17.61 Evaluated at bid price : 17.61 Bid-YTW : 6.80 % |
| HSB.PR.C | Perpetual-Discount | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-15 Maturity Price : 21.61 Evaluated at bid price : 21.61 Bid-YTW : 5.96 % |
| ACO.PR.A | OpRet | -1.49 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2009-12-31 Maturity Price : 25.50 Evaluated at bid price : 25.81 Bid-YTW : 3.11 % |
| BAM.PR.K | Floater | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-15 Maturity Price : 12.76 Evaluated at bid price : 12.76 Bid-YTW : 3.10 % |
| BAM.PR.B | Floater | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-15 Maturity Price : 12.81 Evaluated at bid price : 12.81 Bid-YTW : 3.09 % |
| PWF.PR.G | Perpetual-Premium | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-15 Maturity Price : 23.37 Evaluated at bid price : 23.66 Bid-YTW : 6.25 % |
| IGM.PR.A | OpRet | -1.14 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2009-11-14 Maturity Price : 26.00 Evaluated at bid price : 26.91 Bid-YTW : -30.95 % |
| CM.PR.G | Perpetual-Discount | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-15 Maturity Price : 21.67 Evaluated at bid price : 22.02 Bid-YTW : 6.14 % |
| PWF.PR.L | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-15 Maturity Price : 20.88 Evaluated at bid price : 20.88 Bid-YTW : 6.13 % |
| RY.PR.D | Perpetual-Discount | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-15 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 5.63 % |
| BAM.PR.G | FixedFloater | 3.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-15 Maturity Price : 25.00 Evaluated at bid price : 18.94 Bid-YTW : 3.90 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| IAG.PR.E | Perpetual-Discount | 170,412 | New issue settled today. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-15 Maturity Price : 24.07 Evaluated at bid price : 24.26 Bid-YTW : 6.22 % |
| MFC.PR.B | Perpetual-Discount | 99,708 | Nesbitt crossed 37,000 at 19.48; RBC bought two blocks from anonymous, 15,300 at 19.35 and 22,900 at 19.37. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-15 Maturity Price : 19.39 Evaluated at bid price : 19.39 Bid-YTW : 6.07 % |
| RY.PR.X | FixedReset | 79,890 | Nesbitt crossed 50,000 at 27.65. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 27.62 Bid-YTW : 4.16 % |
| SLF.PR.A | Perpetual-Discount | 76,410 | Desjardins crossed 60,000 at 19.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-15 Maturity Price : 19.74 Evaluated at bid price : 19.74 Bid-YTW : 6.08 % |
| TD.PR.K | FixedReset | 66,560 | National crossed 25,000 at 27.20; RBC crossed 32,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 27.20 Bid-YTW : 4.24 % |
| TD.PR.P | Perpetual-Discount | 59,825 | Nesbitt crossed 48,100 at 22.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-10-15 Maturity Price : 22.42 Evaluated at bid price : 22.55 Bid-YTW : 5.84 % |
| There were 48 other index-included issues trading in excess of 10,000 shares. | |||