April 15, 2014

Nothing happened today.

It was an off day for the Canadian preferred share market, with PerpetualDiscounts down 7bp, FixedResets losing 11bp and DeemedRetractibles off 5bp. Volatility was minor. 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 0.2287 % 2,429.9
FixedFloater 4.72 % 4.27 % 33,541 17.93 1 -0.5432 % 3,640.1
Floater 3.00 % 3.11 % 51,033 19.45 4 0.2287 % 2,623.6
OpRet 4.36 % -6.53 % 34,879 0.13 2 0.1358 % 2,693.7
SplitShare 4.81 % 4.39 % 64,765 4.24 5 0.0318 % 3,086.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1358 % 2,463.1
Perpetual-Premium 5.55 % -4.53 % 105,697 0.09 13 0.0242 % 2,384.1
Perpetual-Discount 5.43 % 5.39 % 116,527 14.60 23 -0.0730 % 2,482.0
FixedReset 4.68 % 3.65 % 199,362 4.19 79 -0.1147 % 2,529.7
Deemed-Retractible 5.03 % -0.58 % 145,125 0.12 42 -0.0498 % 2,490.0
FloatingReset 2.64 % 2.43 % 192,420 4.26 5 0.0000 % 2,480.0
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-04-15
Maturity Price : 22.14
Evaluated at bid price : 22.45
Bid-YTW : 3.65 %
FTS.PR.H FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-04-15
Maturity Price : 21.32
Evaluated at bid price : 21.61
Bid-YTW : 3.68 %
PWF.PR.A Floater 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-04-15
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 2.71 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset 282,650 Scotia bought blocks of 14,000 and 16,600 from Instinet at 25.52 and crossed 35,000 at the same price. RBC crossed 99,900 and TD crossed blocks of 25,000 and 50,000, all at the same price again.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-04-15
Maturity Price : 23.32
Evaluated at bid price : 25.52
Bid-YTW : 3.72 %
TRP.PR.A FixedReset 56,288 TD crossed 50,000 at 23.53.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-04-15
Maturity Price : 22.85
Evaluated at bid price : 23.50
Bid-YTW : 3.80 %
GWO.PR.N FixedReset 54,775 Nesbitt crossed 50,000 at 22.40.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 4.37 %
TD.PR.K FixedReset 52,334 RBC crossed 50,000 at 25.31.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 1.69 %
TD.PR.I FixedReset 51,979 TD crossed 40,000 at 25.30.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 1.42 %
CU.PR.G Perpetual-Discount 43,207 TD crossed 25,000 at 21.80.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-04-15
Maturity Price : 21.39
Evaluated at bid price : 21.72
Bid-YTW : 5.23 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.H FixedReset Quote: 21.61 – 21.89
Spot Rate : 0.2800
Average : 0.1896

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-04-15
Maturity Price : 21.32
Evaluated at bid price : 21.61
Bid-YTW : 3.68 %

IGM.PR.B Perpetual-Premium Quote: 25.93 – 26.15
Spot Rate : 0.2200
Average : 0.1446

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.25
Evaluated at bid price : 25.93
Bid-YTW : 5.00 %

POW.PR.D Perpetual-Discount Quote: 23.15 – 23.39
Spot Rate : 0.2400
Average : 0.1647

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-04-15
Maturity Price : 22.89
Evaluated at bid price : 23.15
Bid-YTW : 5.42 %

TRP.PR.E FixedReset Quote: 25.30 – 25.45
Spot Rate : 0.1500
Average : 0.0927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-04-15
Maturity Price : 23.22
Evaluated at bid price : 25.30
Bid-YTW : 3.88 %

BNS.PR.K Deemed-Retractible Quote: 25.35 – 25.56
Spot Rate : 0.2100
Average : 0.1531

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-28
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -8.51 %

GWO.PR.I Deemed-Retractible Quote: 21.88 – 22.08
Spot Rate : 0.2000
Average : 0.1438

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.88
Bid-YTW : 6.15 %

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