November 18, 2013

Nothing happened today.

However, I am having server problems. After having given sterling service on the farm for many years, IBM informs me that my server is getting unreliable. Rather than refurbish the old server, I have rented a new one and am in the process of copying files and installing software and, when that nightmare is over, will be changing the DNS. Ideally, this will be invisible to Assiduous Readers.

It was a modestly good day for the Canadian preferred share market, with PerpetualDiscounts winning 14bp, FixedResets gaining 1bp and DeemedRetractibles up 10bp. There was a relatively lengthy Performance Highlights table, with FixedResets scattered around like straws in the wind. 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 0.6137 % 2,548.8
FixedFloater 4.28 % 3.56 % 32,844 18.25 1 -1.6379 % 3,926.0
Floater 2.91 % 2.93 % 59,640 19.86 3 0.6137 % 2,752.0
OpRet 4.64 % 2.13 % 72,900 0.36 3 -0.0644 % 2,649.7
SplitShare 4.72 % 5.09 % 67,054 3.90 6 0.0928 % 2,970.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0644 % 2,422.9
Perpetual-Premium 5.58 % 4.72 % 125,539 0.29 11 -0.1241 % 2,305.0
Perpetual-Discount 5.56 % 5.58 % 180,403 14.51 27 0.1392 % 2,370.5
FixedReset 4.97 % 3.47 % 230,181 3.32 82 0.0103 % 2,480.3
Deemed-Retractible 5.06 % 3.96 % 193,651 1.39 42 0.1014 % 2,420.3
FloatingReset 2.65 % 2.42 % 317,392 4.47 5 0.0555 % 2,458.7
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-18
Maturity Price : 22.57
Evaluated at bid price : 23.07
Bid-YTW : 3.94 %
BAM.PR.G FixedFloater -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-18
Maturity Price : 22.55
Evaluated at bid price : 22.22
Bid-YTW : 3.56 %
MFC.PR.G FixedReset -1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 3.52 %
CIU.PR.A Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-18
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 5.41 %
BAM.PR.T FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-18
Maturity Price : 23.18
Evaluated at bid price : 24.60
Bid-YTW : 4.19 %
PWF.PR.L Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-18
Maturity Price : 23.36
Evaluated at bid price : 23.80
Bid-YTW : 5.38 %
CU.PR.E Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-18
Maturity Price : 23.41
Evaluated at bid price : 23.75
Bid-YTW : 5.16 %
TRP.PR.C FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-18
Maturity Price : 22.51
Evaluated at bid price : 22.80
Bid-YTW : 3.76 %
GWO.PR.N FixedReset 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 4.35 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.Z FloatingReset 182,050 Nesbitt crossed blocks of 25,000 and 153,400, both at 25.01.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 2.57 %
BMO.PR.L Deemed-Retractible 172,710 RBC crossed blocks of 100,000 shares, 20,000 and 30,000, all at 26.60.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-18
Maturity Price : 26.00
Evaluated at bid price : 26.52
Bid-YTW : -18.89 %
RY.PR.Y FixedReset 82,285 TD crossed 71,100 at 26.00.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-11-24
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 1.99 %
RY.PR.I FixedReset 44,870 Nesbitt crossed 40,000 at 25.18.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 2.00 %
BNS.PR.Z FixedReset 41,299 RBC crossed 23,300 at 23.70.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 4.08 %
BAM.PF.D Perpetual-Discount 37,520 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-18
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 6.32 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Quote: 25.56 – 26.19
Spot Rate : 0.6300
Average : 0.3605

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 3.52 %

BAM.PR.G FixedFloater Quote: 22.22 – 22.75
Spot Rate : 0.5300
Average : 0.3672

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-18
Maturity Price : 22.55
Evaluated at bid price : 22.22
Bid-YTW : 3.56 %

HSE.PR.A FixedReset Quote: 23.07 – 23.48
Spot Rate : 0.4100
Average : 0.2610

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-18
Maturity Price : 22.57
Evaluated at bid price : 23.07
Bid-YTW : 3.94 %

TD.PR.P Deemed-Retractible Quote: 26.02 – 26.39
Spot Rate : 0.3700
Average : 0.2405

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-18
Maturity Price : 25.75
Evaluated at bid price : 26.02
Bid-YTW : -4.52 %

FTS.PR.E OpRet Quote: 25.84 – 26.19
Spot Rate : 0.3500
Average : 0.2232

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-18
Maturity Price : 25.75
Evaluated at bid price : 25.84
Bid-YTW : -1.55 %

BMO.PR.P FixedReset Quote: 26.09 – 26.44
Spot Rate : 0.3500
Average : 0.2294

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.09
Bid-YTW : 1.84 %

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