September 30, 2013

The US government is heading towards shut-down:

The U.S. government stands poised for its first partial shutdown in 17 years at midnight tonight, after a weekend with no signs of negotiations or compromise from the Congress or the White House.

House Republicans, led by Speaker John Boehner, want to delay President Barack Obama’s Affordable Care Act for a year and make other changes to the law. Democrats, led by Obama, say that won’t happen. Republicans and Democrats say they don’t want to close the government, though neither side is budging from their positions.

A brief government closure won’t lead to any significant change of the Treasury Department’s forecast for when the U.S. will breach the debt limit, a Treasury spokeswoman said yesterday in an e-mail. The Treasury has said measures to avoid breaching the debt ceiling will be exhausted on Oct. 17.

It was a very, very slightly negative day for the Canadian preferred share market, with PerpetualDiscounts and DeemedRetractibles off 1bp and FixedResets off 2bp. Considering the modesty of the overall moves the Performance Highlights table is surprisingly lengthy, with BAM issues notable on the winning side. Volume was above average.

And that’s it for another month!

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 -0.1628 % 2,527.6
FixedFloater 4.32 % 3.64 % 30,916 18.02 1 -1.0356 % 3,841.9
Floater 2.67 % 2.84 % 66,159 20.12 5 -0.1628 % 2,729.1
OpRet 4.63 % 3.09 % 64,489 0.49 3 -0.2953 % 2,633.4
SplitShare 4.77 % 4.96 % 60,488 4.04 6 -0.1958 % 2,941.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2953 % 2,408.0
Perpetual-Premium 5.88 % 5.56 % 124,474 4.52 2 0.0989 % 2,273.1
Perpetual-Discount 5.56 % 5.55 % 145,009 14.32 36 -0.0095 % 2,352.9
FixedReset 4.93 % 3.65 % 240,346 3.63 85 -0.0190 % 2,457.3
Deemed-Retractible 5.12 % 4.47 % 199,971 6.78 43 -0.0124 % 2,380.4
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 2.32 %
CIU.PR.A Perpetual-Discount -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.60 %
BNS.PR.Y FixedReset -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 3.92 %
FTS.PR.J Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 22.80
Evaluated at bid price : 23.21
Bid-YTW : 5.15 %
SLF.PR.E Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.62
Bid-YTW : 6.21 %
BAM.PR.G FixedFloater -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 22.41
Evaluated at bid price : 21.98
Bid-YTW : 3.64 %
BAM.PR.J OpRet -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-31
Maturity Price : 26.00
Evaluated at bid price : 26.26
Bid-YTW : 3.22 %
BAM.PF.C Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 6.00 %
BAM.PR.B Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 2.84 %
IAG.PR.A Deemed-Retractible 1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.81
Bid-YTW : 5.69 %
FTS.PR.H FixedReset 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.99 %
BAM.PF.D Perpetual-Discount 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 5.79 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.C Deemed-Retractible 72,005 RBC crossed 57,100 at 21.35.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.26
Bid-YTW : 6.43 %
BNS.PR.Q FixedReset 63,445 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 3.70 %
GWO.PR.R Deemed-Retractible 51,938 Desjardins crossed 30,000 at 22.50.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.07 %
BAM.PF.D Perpetual-Discount 37,430 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 5.79 %
ENB.PR.Y FixedReset 35,105 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 22.71
Evaluated at bid price : 23.95
Bid-YTW : 4.32 %
TD.PR.A FixedReset 31,190 Nesbitt crossed 15,000 at 25.40.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.29 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Quote: 22.76 – 23.90
Spot Rate : 1.1400
Average : 0.7851

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.76
Bid-YTW : 4.59 %

CGI.PR.D SplitShare Quote: 23.60 – 24.23
Spot Rate : 0.6300
Average : 0.4009

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 4.51 %

CIU.PR.A Perpetual-Discount Quote: 20.80 – 21.50
Spot Rate : 0.7000
Average : 0.5171

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.60 %

FTS.PR.J Perpetual-Discount Quote: 23.21 – 23.74
Spot Rate : 0.5300
Average : 0.3879

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-30
Maturity Price : 22.80
Evaluated at bid price : 23.21
Bid-YTW : 5.15 %

BNS.PR.Z FixedReset Quote: 23.58 – 23.91
Spot Rate : 0.3300
Average : 0.1981

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.58
Bid-YTW : 4.15 %

BNS.PR.O Deemed-Retractible Quote: 25.70 – 25.99
Spot Rate : 0.2900
Average : 0.1758

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.62 %

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