January 30, 2013

It was a mixed day for the Canadian preferred share market, with PerpetualPremiums down 2bp, FixedResets up 11bp and DeemedRetractibles off 1bp. Volatility was low. Volume was well 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 -0.0906 % 2,556.3
FixedFloater 4.18 % 3.50 % 28,179 18.36 1 0.4859 % 3,894.6
Floater 2.72 % 2.92 % 69,501 19.91 4 -0.0906 % 2,760.2
OpRet 4.63 % 1.57 % 57,426 0.38 4 -0.0191 % 2,595.3
SplitShare 4.57 % 4.42 % 43,219 4.29 2 0.2792 % 2,912.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0191 % 2,373.1
Perpetual-Premium 5.24 % 0.07 % 88,815 0.15 30 -0.0232 % 2,349.8
Perpetual-Discount 4.87 % 4.91 % 139,940 15.57 4 0.3377 % 2,635.3
FixedReset 4.91 % 2.88 % 263,289 3.40 78 0.1110 % 2,483.4
Deemed-Retractible 4.88 % 3.30 % 134,367 0.32 45 -0.0083 % 2,430.7
Performance Highlights
Issue Index Change Notes
TRI.PR.B Floater -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-01-30
Maturity Price : 22.76
Evaluated at bid price : 23.04
Bid-YTW : 2.26 %
FTS.PR.H FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-01-30
Maturity Price : 23.81
Evaluated at bid price : 25.97
Bid-YTW : 2.79 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.S FixedReset 97,890 TD crossed 39,400 at 25.10; National crossed 50,000 at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 3.13 %
MFC.PR.D FixedReset 70,517 TD crossed 25,100 at 26.72; Scotia bought blocks of 14,200 and 10,800 from Nesbitt at 26.70.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 2.32 %
MFC.PR.I FixedReset 64,270 National crossed 50,000 at 26.17.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-19
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 3.42 %
TCA.PR.Y Perpetual-Premium 58,825 Desjardins crossed 57,000 at 52.60.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-05
Maturity Price : 50.00
Evaluated at bid price : 52.45
Bid-YTW : 1.06 %
MFC.PR.G FixedReset 58,770 National crossed 50,000 at 26.33.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-19
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.12 %
BAM.PR.P FixedReset 53,850 Desjardins crossed 45,000 at 26.93.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-30
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 2.69 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.C Floater Quote: 18.00 – 18.64
Spot Rate : 0.6400
Average : 0.3474

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-01-30
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.93 %

PWF.PR.R Perpetual-Premium Quote: 26.68 – 27.00
Spot Rate : 0.3200
Average : 0.1922

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.68
Bid-YTW : 4.54 %

TRI.PR.B Floater Quote: 23.04 – 24.00
Spot Rate : 0.9600
Average : 0.8362

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-01-30
Maturity Price : 22.76
Evaluated at bid price : 23.04
Bid-YTW : 2.26 %

HSB.PR.C Deemed-Retractible Quote: 25.70 – 25.98
Spot Rate : 0.2800
Average : 0.2059

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-03-01
Maturity Price : 25.50
Evaluated at bid price : 25.70
Bid-YTW : 0.45 %

W.PR.J Perpetual-Premium Quote: 25.38 – 25.61
Spot Rate : 0.2300
Average : 0.1616

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : -9.75 %

BMO.PR.O FixedReset Quote: 26.44 – 26.64
Spot Rate : 0.2000
Average : 0.1349

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.44
Bid-YTW : 1.71 %

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