July 16, 2013

Nothing happened today.

It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts up 15bp, FixedResets down 9bp and DeemedRetractibles gaining 1bp. Volatility was average – by long-term standards! – but comprised entirely of losers. Volume was average.

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 0.0259 % 2,581.3
FixedFloater 4.20 % 3.49 % 39,724 18.43 1 0.0000 % 3,952.1
Floater 2.72 % 2.92 % 89,985 19.95 4 0.0259 % 2,787.1
OpRet 4.61 % 3.29 % 73,721 0.85 3 -0.1023 % 2,617.4
SplitShare 4.67 % 4.50 % 63,775 3.93 6 -0.0132 % 2,971.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1023 % 2,393.3
Perpetual-Premium 5.59 % 4.17 % 99,112 0.77 12 0.0692 % 2,293.6
Perpetual-Discount 5.33 % 5.25 % 138,113 14.81 26 0.1488 % 2,418.0
FixedReset 4.96 % 3.46 % 231,600 3.56 83 -0.0918 % 2,483.2
Deemed-Retractible 5.04 % 4.47 % 186,565 7.00 43 0.0141 % 2,393.7
Performance Highlights
Issue Index Change Notes
CIU.PR.A Perpetual-Discount -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-07-16
Maturity Price : 22.14
Evaluated at bid price : 22.52
Bid-YTW : 5.16 %
SLF.PR.G FixedReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.21
Bid-YTW : 3.73 %
MFC.PR.F FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 3.60 %
FTS.PR.J Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-07-16
Maturity Price : 23.15
Evaluated at bid price : 23.45
Bid-YTW : 5.12 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.H Deemed-Retractible 149,231 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 5.49 %
SLF.PR.H FixedReset 61,540 National crossed 40,000 at 25.15.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.77 %
TRP.PR.D FixedReset 55,933 TD crossed 28,000 at 25.30.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-07-16
Maturity Price : 23.17
Evaluated at bid price : 25.15
Bid-YTW : 3.98 %
GWO.PR.Q Deemed-Retractible 55,660 Scotia crossed 52,800 at 24.75.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.78
Bid-YTW : 5.31 %
CM.PR.M FixedReset 51,675 Nesbitt crossed 50,000 at 26.05.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 2.37 %
MFC.PR.K FixedReset 47,363 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 3.71 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.G Perpetual-Discount Quote: 23.00 – 23.24
Spot Rate : 0.2400
Average : 0.1582

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-07-16
Maturity Price : 22.66
Evaluated at bid price : 23.00
Bid-YTW : 4.95 %

MFC.PR.C Deemed-Retractible Quote: 22.50 – 22.79
Spot Rate : 0.2900
Average : 0.2113

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 5.77 %

BNS.PR.K Deemed-Retractible Quote: 25.06 – 25.29
Spot Rate : 0.2300
Average : 0.1682

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-28
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 4.21 %

MFC.PR.F FixedReset Quote: 24.70 – 24.95
Spot Rate : 0.2500
Average : 0.1889

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 3.60 %

BNS.PR.O Deemed-Retractible Quote: 25.91 – 26.13
Spot Rate : 0.2200
Average : 0.1603

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-28
Maturity Price : 25.75
Evaluated at bid price : 25.91
Bid-YTW : 4.31 %

CIU.PR.A Perpetual-Discount Quote: 22.52 – 22.90
Spot Rate : 0.3800
Average : 0.3253

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-07-16
Maturity Price : 22.14
Evaluated at bid price : 22.52
Bid-YTW : 5.16 %

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