May 17, 2013

Nothing happened today either, just like yesterday.

It was a day of modest gains for the Canadian preferred share market, with PerpetualPremiums gaining 2bp and both FixedResets and DeemedRetractibles up 5bp. Volatility was minimal. Volume was quite low.

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 0.3243 % 2,563.2
FixedFloater 3.86 % 3.07 % 31,903 18.89 1 0.0000 % 4,259.7
Floater 2.71 % 2.94 % 80,917 19.84 4 0.3243 % 2,767.6
OpRet 4.82 % 2.27 % 67,547 0.13 5 -0.0543 % 2,615.2
SplitShare 4.80 % 4.01 % 104,633 4.10 5 0.3881 % 2,984.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0543 % 2,391.3
Perpetual-Premium 5.20 % 3.33 % 96,734 0.53 32 0.0206 % 2,379.2
Perpetual-Discount 4.84 % 4.88 % 189,506 15.62 4 0.0914 % 2,686.2
FixedReset 4.88 % 2.72 % 250,644 3.14 81 0.0458 % 2,520.2
Deemed-Retractible 4.87 % 3.30 % 134,236 0.76 44 0.0529 % 2,462.3
Performance Highlights
Issue Index Change Notes
BNA.PR.E SplitShare 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.G Perpetual-Premium 137,414 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.45 %
TRP.PR.A FixedReset 79,275 Nesbitt crossed 40,000 at 25.48; TD crossed 30,000 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-05-17
Maturity Price : 23.86
Evaluated at bid price : 25.49
Bid-YTW : 3.14 %
GWO.PR.R Deemed-Retractible 55,171 RBC crossed 34,200 at 25.55.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.57 %
BAM.PR.O OpRet 28,850 YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 4.59 %
BAM.PF.C Perpetual-Discount 27,835 RBC crossed 10,000 at 24.90.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-05-17
Maturity Price : 24.49
Evaluated at bid price : 24.88
Bid-YTW : 4.92 %
BMO.PR.M FixedReset 25,370 Nesbitt crossed 20,000 at 25.20.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 1.67 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Quote: 25.12 – 25.48
Spot Rate : 0.3600
Average : 0.2680

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 3.04 %

BMO.PR.K Deemed-Retractible Quote: 26.11 – 26.34
Spot Rate : 0.2300
Average : 0.1471

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-06-16
Maturity Price : 26.00
Evaluated at bid price : 26.11
Bid-YTW : -1.44 %

TCA.PR.X Perpetual-Premium Quote: 50.60 – 51.00
Spot Rate : 0.4000
Average : 0.3184

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-15
Maturity Price : 50.00
Evaluated at bid price : 50.60
Bid-YTW : 3.33 %

BNS.PR.P FixedReset Quote: 25.68 – 25.89
Spot Rate : 0.2100
Average : 0.1352

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 2.81 %

BNA.PR.C SplitShare Quote: 25.02 – 25.23
Spot Rate : 0.2100
Average : 0.1419

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.31 %

TRP.PR.C FixedReset Quote: 25.54 – 25.72
Spot Rate : 0.1800
Average : 0.1177

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-05-17
Maturity Price : 23.61
Evaluated at bid price : 25.54
Bid-YTW : 2.79 %

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