Nothing happened today.
The Canadian preferred share market got smacked again, with PerpetualDiscounts losing 113bp, FixedResets down 34bp and DeemedRetractibles off 28bp. BAM issues were prominent on the very lengthy Performance Highlights list, and not on the good part of it either! Mind you, the good part wasn’t all that lengthy. Volume was quite high.
HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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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 | 0.4772 % | 2,643.0 |
FixedFloater | 4.34 % | 3.63 % | 32,466 | 18.10 | 1 | -0.9950 % | 3,826.2 |
Floater | 2.54 % | 2.83 % | 73,324 | 20.12 | 5 | 0.4772 % | 2,853.7 |
OpRet | 4.69 % | 3.50 % | 75,900 | 2.22 | 3 | -1.2982 % | 2,573.5 |
SplitShare | 4.68 % | 4.69 % | 55,350 | 4.13 | 6 | 0.1667 % | 2,959.6 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.2982 % | 2,353.2 |
Perpetual-Premium | 5.73 % | 5.79 % | 91,977 | 14.17 | 12 | -0.4571 % | 2,260.1 |
Perpetual-Discount | 5.62 % | 5.70 % | 154,715 | 14.31 | 25 | -1.1309 % | 2,293.5 |
FixedReset | 5.04 % | 3.94 % | 241,056 | 7.20 | 85 | -0.3388 % | 2,421.5 |
Deemed-Retractible | 5.23 % | 5.26 % | 182,841 | 6.96 | 43 | -0.2831 % | 2,312.7 |
Performance Highlights | |||
Issue | Index | Change | Notes |
BAM.PF.D | Perpetual-Discount | -4.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 20.49 Evaluated at bid price : 20.49 Bid-YTW : 6.10 % |
BAM.PR.J | OpRet | -3.81 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 25.27 Bid-YTW : 5.32 % |
BAM.PR.M | Perpetual-Discount | -3.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.97 % |
BAM.PF.B | FixedReset | -3.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 22.28 Evaluated at bid price : 23.06 Bid-YTW : 4.71 % |
ENB.PR.H | FixedReset | -3.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 22.30 Evaluated at bid price : 23.05 Bid-YTW : 4.27 % |
GWO.PR.N | FixedReset | -3.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.47 Bid-YTW : 4.42 % |
BAM.PF.C | Perpetual-Discount | -2.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 20.09 Evaluated at bid price : 20.09 Bid-YTW : 6.13 % |
BMO.PR.L | Deemed-Retractible | -2.71 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 5.65 % |
GWO.PR.H | Deemed-Retractible | -2.67 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.24 Bid-YTW : 6.33 % |
BAM.PR.N | Perpetual-Discount | -2.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 19.98 Evaluated at bid price : 19.98 Bid-YTW : 6.04 % |
TRP.PR.C | FixedReset | -2.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 21.41 Evaluated at bid price : 21.75 Bid-YTW : 3.96 % |
ELF.PR.G | Perpetual-Discount | -2.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 5.63 % |
ELF.PR.H | Perpetual-Discount | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 23.43 Evaluated at bid price : 23.77 Bid-YTW : 5.84 % |
MFC.PR.K | FixedReset | -2.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.86 Bid-YTW : 4.49 % |
SLF.PR.H | FixedReset | -1.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.12 Bid-YTW : 4.39 % |
PWF.PR.F | Perpetual-Discount | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 22.53 Evaluated at bid price : 22.78 Bid-YTW : 5.80 % |
CU.PR.G | Perpetual-Discount | -1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 5.50 % |
BAM.PR.T | FixedReset | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 23.11 Evaluated at bid price : 24.50 Bid-YTW : 4.21 % |
PWF.PR.R | Perpetual-Discount | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 23.72 Evaluated at bid price : 24.09 Bid-YTW : 5.74 % |
PWF.PR.L | Perpetual-Discount | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 21.89 Evaluated at bid price : 21.89 Bid-YTW : 5.88 % |
BAM.PR.X | FixedReset | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 21.80 Evaluated at bid price : 22.15 Bid-YTW : 4.29 % |
GWO.PR.F | Deemed-Retractible | -1.52 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-09-11 Maturity Price : 25.00 Evaluated at bid price : 25.22 Bid-YTW : 3.64 % |
TRP.PR.B | FixedReset | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 3.78 % |
BNS.PR.R | FixedReset | -1.44 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.71 Bid-YTW : 3.93 % |
GWO.PR.G | Deemed-Retractible | -1.34 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.60 Bid-YTW : 5.99 % |
TD.PR.P | Deemed-Retractible | -1.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 5.24 % |
ENB.PR.B | FixedReset | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 22.76 Evaluated at bid price : 23.75 Bid-YTW : 4.36 % |
PWF.PR.O | Perpetual-Premium | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 24.43 Evaluated at bid price : 24.90 Bid-YTW : 5.85 % |
FTS.PR.F | Perpetual-Discount | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 22.66 Evaluated at bid price : 22.90 Bid-YTW : 5.44 % |
GWO.PR.M | Deemed-Retractible | -1.13 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.41 Bid-YTW : 5.64 % |
PWF.PR.E | Perpetual-Discount | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 23.38 Evaluated at bid price : 23.67 Bid-YTW : 5.85 % |
MFC.PR.I | FixedReset | -1.07 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.03 Bid-YTW : 4.57 % |
BMO.PR.Q | FixedReset | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 3.99 % |
SLF.PR.D | Deemed-Retractible | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.92 Bid-YTW : 6.60 % |
CU.PR.D | Perpetual-Discount | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 22.34 Evaluated at bid price : 22.66 Bid-YTW : 5.40 % |
CM.PR.G | Perpetual-Premium | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 24.46 Evaluated at bid price : 24.70 Bid-YTW : 5.50 % |
BAM.PR.K | Floater | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 2.87 % |
BNS.PR.K | Deemed-Retractible | 1.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.59 Bid-YTW : 5.09 % |
GWO.PR.I | Deemed-Retractible | 2.49 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.85 Bid-YTW : 6.14 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
BNS.PR.P | FixedReset | 61,700 | TD crossed 10,000 at 24.22; Nesbitt crossed 41,200 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.21 Bid-YTW : 4.02 % |
RY.PR.L | FixedReset | 58,900 | RBC crossed 44,700 at 25.26; GMP bought 10,000 from UBS at 25.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 3.74 % |
MFC.PR.E | FixedReset | 54,407 | Nesbitt crossed blocks of 24,000 and 25,000, both at 25.68. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.67 Bid-YTW : 3.90 % |
ENB.PR.Y | FixedReset | 47,900 | RBC crossed 32,600 at 23.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-12 Maturity Price : 22.54 Evaluated at bid price : 23.59 Bid-YTW : 4.35 % |
TD.PR.C | FixedReset | 46,400 | TD crossed 40,000 at 25.28. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 3.84 % |
BNS.PR.R | FixedReset | 41,900 | RBC crossed 27,000 at 24.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.71 Bid-YTW : 3.93 % |
There were 54 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
BAM.PR.J | OpRet | Quote: 25.27 – 26.20 Spot Rate : 0.9300 Average : 0.5922 YTW SCENARIO |
TD.PR.S | FixedReset | Quote: 24.20 – 24.70 Spot Rate : 0.5000 Average : 0.2767 YTW SCENARIO |
PWF.PR.R | Perpetual-Discount | Quote: 24.09 – 24.77 Spot Rate : 0.6800 Average : 0.4957 YTW SCENARIO |
GWO.PR.F | Deemed-Retractible | Quote: 25.22 – 25.73 Spot Rate : 0.5100 Average : 0.3268 YTW SCENARIO |
CU.PR.E | Perpetual-Discount | Quote: 22.62 – 23.25 Spot Rate : 0.6300 Average : 0.4485 YTW SCENARIO |
BAM.PR.X | FixedReset | Quote: 22.15 – 22.61 Spot Rate : 0.4600 Average : 0.3096 YTW SCENARIO |
FTN.PR.A Semi-Annual Report 13H1
August 11th, 2013Financial 15 Split Corp. has released its Semi-Annual Report to May 31, 2013.
Figures of interest are:
MER: 1.19%
Average Net Assets: We need this to calculate portfolio yield. The Total Assets of the fund at year end was $133.2-million, compared to $147.0-million on May 31, so call it an average of $140.1-million. Total Preferred Share Distribution for the six months was $2.427-million, at $0.525/share p.a. implies an average of 9.25-million units, at an average NAV of ((15.89 + 14.37) / 2 = 15.13, so call it $140.0-million. Pretty close! Call the average net assets $140-million
Underlying Portfolio Yield: Semi-annual dividends received (net of withholding) of 2,066,050 divided by average net assets of 140-million is 2.95%
Income Coverage: Net Investment Income of 1,218,283, divided by Preferred Share Distributions of 2,426,598 is 50.2%.
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