April 25, 2011

Nothing happened today.

It was an uneventful day on the Canadian preferred share market, with PerpetualDiscounts gaining 4bp, FixedResets off 4bp and DeemedRetractibles up 3bp. There wasn’t a single entry for the Performance Highlights table; 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 0.0000 % 2,414.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,630.8
Floater 2.50 % 2.26 % 35,626 21.63 4 0.0000 % 2,606.6
OpRet 4.92 % 3.26 % 59,484 2.06 8 -0.0289 % 2,411.3
SplitShare 5.20 % -0.83 % 87,837 0.63 6 -0.1354 % 2,494.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0289 % 2,204.9
Perpetual-Premium 5.79 % 5.70 % 117,605 6.12 8 0.0348 % 2,050.5
Perpetual-Discount 5.58 % 5.57 % 134,153 14.38 16 0.0360 % 2,121.4
FixedReset 5.17 % 3.51 % 204,044 2.91 57 -0.0392 % 2,292.6
Deemed-Retractible 5.29 % 5.25 % 298,021 8.12 53 0.0276 % 2,074.1
Performance Highlights
Issue Index Change Notes
No individual gains or losses exceeding 1%!
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.D FixedReset 99,684 TD crossed 90,000 at 27.49.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-19
Maturity Price : 25.00
Evaluated at bid price : 27.42
Bid-YTW : 3.68 %
SLF.PR.C Deemed-Retractible 86,938 TD crossed 76,000 at 20.82.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.81
Bid-YTW : 6.74 %
GWO.PR.H Deemed-Retractible 75,595 Nesbitt crossed 70,000 at 22.34.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 6.38 %
BAM.PR.X FixedReset 66,709 RBC crossed 23,700 at 25.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-04-25
Maturity Price : 23.02
Evaluated at bid price : 24.76
Bid-YTW : 4.43 %
TD.PR.O Deemed-Retractible 56,325 Nesbitt crossed 43,000 at 24.72.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 5.07 %
TRI.PR.B Floater 51,320 RBC crossed 50,000 at 23.05.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-04-25
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 2.26 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.N FixedReset Quote: 26.50 – 26.85
Spot Rate : 0.3500
Average : 0.2289

Offer expires tomorrow.

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-09-14
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 2.58 %

GWO.PR.M Deemed-Retractible Quote: 25.01 – 25.64
Spot Rate : 0.6300
Average : 0.5119

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 5.88 %

FTS.PR.G FixedReset Quote: 26.38 – 26.99
Spot Rate : 0.6100
Average : 0.4938

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-01
Maturity Price : 25.00
Evaluated at bid price : 26.38
Bid-YTW : 3.17 %

HSB.PR.E FixedReset Quote: 27.12 – 27.50
Spot Rate : 0.3800
Average : 0.2671

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-30
Maturity Price : 25.00
Evaluated at bid price : 27.12
Bid-YTW : 4.04 %

NA.PR.M Deemed-Retractible Quote: 26.10 – 26.45
Spot Rate : 0.3500
Average : 0.2450

Offer expires tomorrow.

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-14
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 5.13 %

POW.PR.A Perpetual-Discount Quote: 24.33 – 24.63
Spot Rate : 0.3000
Average : 0.1994

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-04-25
Maturity Price : 24.07
Evaluated at bid price : 24.33
Bid-YTW : 5.79 %

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