Nothing happened today.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 10bp, FixedResets gaining 7bp and DeemedRetractibles up 8bp. Volatility was low. 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 | 0.3445 % | 2,409.2 |
| FixedFloater | 4.78 % | 4.38 % | 31,091 | 17.67 | 1 | -0.4511 % | 3,547.7 |
| Floater | 3.00 % | 3.11 % | 54,485 | 19.41 | 4 | 0.3445 % | 2,601.3 |
| OpRet | 4.62 % | -3.09 % | 68,978 | 0.10 | 3 | 0.0848 % | 2,693.2 |
| SplitShare | 4.88 % | 4.80 % | 59,104 | 4.36 | 5 | 0.0404 % | 3,026.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0848 % | 2,462.7 |
| Perpetual-Premium | 5.66 % | 2.15 % | 97,664 | 0.08 | 12 | 0.0644 % | 2,338.3 |
| Perpetual-Discount | 5.54 % | 5.61 % | 149,569 | 14.36 | 26 | -0.0963 % | 2,396.4 |
| FixedReset | 4.80 % | 3.72 % | 209,072 | 6.30 | 80 | 0.0685 % | 2,494.4 |
| Deemed-Retractible | 5.10 % | 3.92 % | 163,892 | 1.37 | 42 | 0.0759 % | 2,435.1 |
| FloatingReset | 2.65 % | 2.61 % | 158,712 | 7.14 | 6 | -0.0201 % | 2,436.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CIU.PR.A | Perpetual-Discount | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-24 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 5.48 % |
| MFC.PR.F | FixedReset | -1.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.19 Bid-YTW : 4.69 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.Y | FixedReset | 124,430 | RBC crossed 119,500 at 25.15. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.11 Bid-YTW : 3.48 % |
| NA.PR.S | FixedReset | 91,539 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-24 Maturity Price : 23.19 Evaluated at bid price : 25.12 Bid-YTW : 3.98 % |
| MFC.PR.B | Deemed-Retractible | 83,339 | Scotia crossed 75,000 at 21.60. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.55 Bid-YTW : 6.42 % |
| RY.PR.Z | FixedReset | 80,220 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-24 Maturity Price : 23.21 Evaluated at bid price : 25.20 Bid-YTW : 3.80 % |
| CU.PR.G | Perpetual-Discount | 75,290 | Scotia crossed blocks of 28,000 and 30,000, both at 21.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-02-24 Maturity Price : 21.09 Evaluated at bid price : 21.09 Bid-YTW : 5.36 % |
| MFC.PR.H | FixedReset | 70,775 | TD crossed 21,000 at 25.85. Scotia crossed 40,000 at 25.90. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 3.27 % |
| There were 31 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CIU.PR.A | Perpetual-Discount | Quote: 21.11 – 21.59 Spot Rate : 0.4800 Average : 0.3205 YTW SCENARIO |
| PWF.PR.A | Floater | Quote: 18.91 – 19.45 Spot Rate : 0.5400 Average : 0.3929 YTW SCENARIO |
| MFC.PR.F | FixedReset | Quote: 22.19 – 22.49 Spot Rate : 0.3000 Average : 0.2023 YTW SCENARIO |
| GWO.PR.F | Deemed-Retractible | Quote: 25.45 – 25.73 Spot Rate : 0.2800 Average : 0.1870 YTW SCENARIO |
| PWF.PR.L | Perpetual-Discount | Quote: 23.36 – 23.68 Spot Rate : 0.3200 Average : 0.2412 YTW SCENARIO |
| PWF.PR.P | FixedReset | Quote: 22.94 – 23.14 Spot Rate : 0.2000 Average : 0.1215 YTW SCENARIO |