December 20, 2013

Nothing happened today.

It was a fine day for the Canadian preferred share market, with PerpetualDiscounts winning 37bp, FixedResets gaining 21bp and DeemedRetractibles up 22bp. Volatility was average. Volume was very high.

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 0.1899 % 2,504.5
FixedFloater 4.58 % 3.87 % 37,780 17.62 1 -1.1429 % 3,668.0
Floater 2.98 % 2.98 % 60,310 19.78 3 0.1899 % 2,704.2
OpRet 4.64 % 1.78 % 87,570 0.44 3 0.0000 % 2,661.2
SplitShare 4.88 % 4.79 % 79,415 4.49 5 -0.0161 % 2,998.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,433.4
Perpetual-Premium 5.62 % 5.45 % 141,972 4.18 13 0.2041 % 2,305.2
Perpetual-Discount 5.71 % 5.68 % 189,918 14.40 25 0.3699 % 2,310.8
FixedReset 5.00 % 3.52 % 241,470 3.47 84 0.2117 % 2,464.1
Deemed-Retractible 5.16 % 4.37 % 209,440 1.53 42 0.2187 % 2,388.6
FloatingReset 2.63 % 2.35 % 292,045 4.39 5 0.0237 % 2,464.9
Performance Highlights
Issue Index Change Notes
BAM.PR.G FixedFloater -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 21.50
Evaluated at bid price : 20.76
Bid-YTW : 3.87 %
PWF.PR.L Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 22.73
Evaluated at bid price : 23.01
Bid-YTW : 5.62 %
PWF.PR.K Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 22.08
Evaluated at bid price : 22.41
Bid-YTW : 5.59 %
BAM.PR.M Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.36 %
SLF.PR.G FixedReset 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 4.80 %
MFC.PR.F FixedReset 1.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 4.97 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.G Deemed-Retractible 78,255 RBC crossed 65,400 at 22.75.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.34 %
GWO.PR.M Deemed-Retractible 53,790 TD crossed 50,000 at 25.30.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 5.71 %
GWO.PR.J FixedReset 52,795 TD crossed 50,000 at 24.99.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.79 %
ENB.PR.F FixedReset 50,576 Scotia crossed 17,200 at 23.40.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 22.55
Evaluated at bid price : 23.44
Bid-YTW : 4.52 %
BAM.PF.C Perpetual-Discount 47,478 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 19.24
Evaluated at bid price : 19.24
Bid-YTW : 6.34 %
BAM.PR.X FixedReset 46,370 Desjardins crossed 10,000 at 20.81.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.66 %
There were 67 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.C FixedReset Quote: 21.51 – 21.84
Spot Rate : 0.3300
Average : 0.2016

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 4.09 %

SLF.PR.G FixedReset Quote: 22.01 – 22.28
Spot Rate : 0.2700
Average : 0.1733

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 4.80 %

TCA.PR.Y Perpetual-Premium Quote: 50.43 – 50.75
Spot Rate : 0.3200
Average : 0.2276

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-05
Maturity Price : 50.00
Evaluated at bid price : 50.43
Bid-YTW : 5.04 %

CU.PR.G Perpetual-Discount Quote: 20.60 – 20.94
Spot Rate : 0.3400
Average : 0.2493

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-20
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.52 %

TD.PR.S FixedReset Quote: 24.91 – 25.23
Spot Rate : 0.3200
Average : 0.2319

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 3.52 %

FTS.PR.E OpRet Quote: 25.80 – 26.08
Spot Rate : 0.2800
Average : 0.1939

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-01
Maturity Price : 25.50
Evaluated at bid price : 25.80
Bid-YTW : 2.76 %

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