June 28, 2013

Nothing happened today.

It was another day of solid, if slowing, recovery for the Canadian preferred share market, with PerpetualPremiums winning 22bp, FixedResets up 15bp and DeemedRetractibles gaining 5bp. There is another lengthy Performance Highlights table, which pales in comparison only to how long it has been in previous weeks. Volume was above 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 0.5603 % 2,579.3
FixedFloater 4.18 % 3.51 % 45,931 18.26 1 2.4775 % 3,934.5
Floater 2.72 % 2.88 % 77,857 20.02 4 0.5603 % 2,784.9
OpRet 4.86 % 3.43 % 68,439 0.08 5 -0.0860 % 2,609.9
SplitShare 4.68 % 4.25 % 81,261 3.98 6 0.1930 % 2,960.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0860 % 2,386.5
Perpetual-Premium 5.46 % 5.16 % 131,477 14.39 33 0.2245 % 2,273.0
Perpetual-Discount 5.50 % 5.55 % 252,898 14.64 5 0.4836 % 2,382.8
FixedReset 4.96 % 3.41 % 244,669 3.62 83 0.1535 % 2,479.4
Deemed-Retractible 5.06 % 4.86 % 177,914 7.06 44 0.0523 % 2,384.2
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset -3.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-06-28
Maturity Price : 22.57
Evaluated at bid price : 23.41
Bid-YTW : 3.96 %
GWO.PR.F Deemed-Retractible -1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.63
Bid-YTW : 6.12 %
BAM.PF.A FixedReset -1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.35 %
IAG.PR.G FixedReset 1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.99
Bid-YTW : 3.25 %
CIU.PR.C FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-06-28
Maturity Price : 23.14
Evaluated at bid price : 24.35
Bid-YTW : 3.21 %
GWO.PR.N FixedReset 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 3.53 %
BAM.PR.K Floater 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-06-28
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 2.96 %
HSE.PR.A FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-06-28
Maturity Price : 23.26
Evaluated at bid price : 24.56
Bid-YTW : 3.59 %
TRP.PR.B FixedReset 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-06-28
Maturity Price : 22.82
Evaluated at bid price : 23.15
Bid-YTW : 3.35 %
BAM.PR.G FixedFloater 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-06-28
Maturity Price : 23.00
Evaluated at bid price : 22.75
Bid-YTW : 3.51 %
TCA.PR.X Perpetual-Premium 4.95 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-15
Maturity Price : 50.00
Evaluated at bid price : 49.85
Bid-YTW : 5.00 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.S Perpetual-Premium 80,348 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-06-28
Maturity Price : 23.43
Evaluated at bid price : 23.75
Bid-YTW : 5.12 %
MFC.PR.D FixedReset 44,803 RBC crossed 25,000 at 25.91.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.04 %
ENB.PR.Y FixedReset 43,005 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-06-28
Maturity Price : 23.05
Evaluated at bid price : 24.86
Bid-YTW : 4.01 %
MFC.PR.I FixedReset 41,996 National bought 15,000 from Scotia at 25.70.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 3.80 %
ENB.PR.F FixedReset 36,507 TD crossed 24,900 at 25.00.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.09 %
SLF.PR.D Deemed-Retractible 20,003 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.26
Bid-YTW : 5.79 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Quote: 23.41 – 24.27
Spot Rate : 0.8600
Average : 0.5617

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-06-28
Maturity Price : 22.57
Evaluated at bid price : 23.41
Bid-YTW : 3.96 %

GWO.PR.F Deemed-Retractible Quote: 24.63 – 25.34
Spot Rate : 0.7100
Average : 0.4644

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.63
Bid-YTW : 6.12 %

CU.PR.G Perpetual-Premium Quote: 22.15 – 22.79
Spot Rate : 0.6400
Average : 0.4113

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-06-28
Maturity Price : 21.82
Evaluated at bid price : 22.15
Bid-YTW : 5.13 %

CIU.PR.C FixedReset Quote: 24.35 – 25.00
Spot Rate : 0.6500
Average : 0.5067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-06-28
Maturity Price : 23.14
Evaluated at bid price : 24.35
Bid-YTW : 3.21 %

BMO.PR.O FixedReset Quote: 26.10 – 26.49
Spot Rate : 0.3900
Average : 0.2496

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 2.22 %

BNS.PR.K Deemed-Retractible Quote: 25.04 – 25.47
Spot Rate : 0.4300
Average : 0.3134

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-28
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.06 %

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