January 13, 2014

Nothing happened today. Bloomberg has a nice piece on Chinese MMFs, but it’s not written in such a way that I can convey the gist by extracting a few paragraphs. It will be most interesting to see what, if any, mechanisms are introduced to forestall disruptive panic after a major default.

It was a negative day for the Canadian preferred share market, with PerpetualDiscounts off 3bp, FixedResets flat and DeemedRetractibles down 16bp. The Performance Highlights table is heavily skewed to the downside and notable for the presence of two TRP issues, hit with fallout from the new issue. Volume was 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 0.5379 % 2,572.4
FixedFloater 4.42 % 3.65 % 32,843 18.11 1 0.2190 % 3,840.7
Floater 2.91 % 2.91 % 68,260 19.96 3 0.5379 % 2,777.4
OpRet 4.62 % 0.70 % 78,617 0.08 3 0.0642 % 2,672.5
SplitShare 4.85 % 4.73 % 67,975 4.43 5 -0.0240 % 3,023.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0642 % 2,443.7
Perpetual-Premium 5.63 % 2.66 % 128,740 0.14 13 0.0000 % 2,322.2
Perpetual-Discount 5.63 % 5.64 % 169,236 14.46 25 -0.0286 % 2,357.7
FixedReset 4.95 % 3.49 % 215,443 3.45 82 -0.0044 % 2,485.5
Deemed-Retractible 5.14 % 4.40 % 165,760 2.00 42 -0.1594 % 2,404.9
FloatingReset 2.60 % 2.33 % 233,147 4.33 5 -0.0633 % 2,472.3
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-13
Maturity Price : 23.19
Evaluated at bid price : 23.76
Bid-YTW : 3.91 %
BAM.PR.T FixedReset -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-13
Maturity Price : 22.70
Evaluated at bid price : 23.50
Bid-YTW : 4.39 %
TRP.PR.D FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-13
Maturity Price : 23.09
Evaluated at bid price : 24.85
Bid-YTW : 4.02 %
ELF.PR.H Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-13
Maturity Price : 23.45
Evaluated at bid price : 23.81
Bid-YTW : 5.79 %
GWO.PR.Q Deemed-Retractible -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.13
Bid-YTW : 6.16 %
CIU.PR.C FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-13
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 3.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.D FixedReset 624,178 Added to TXPL.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-13
Maturity Price : 23.09
Evaluated at bid price : 24.85
Bid-YTW : 4.02 %
TD.PR.A FixedReset 224,779 Scotia crossed 73,800 at 24.98 and 98,000 at 24.97. TD crossed 50,000 at 24.98.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.77 %
BNS.PR.R FixedReset 121,597 Will Reset at 3.83%. Yield to DeemedMaturity is 3.57%.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : -3.28 %
PWF.PR.M FixedReset 118,586 Scotia crossed 40,000 at 24.98 and 75,000 at 24.97.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-02
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 4.58 %
TD.PR.C FixedReset 92,696 Scotia crossed 36,400 at 24.98 and 55,000 at 24.97.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-02
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 4.33 %
TD.PR.G FixedReset 88,667 Scotia crossed 76,400 at 25.22.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 2.26 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ELF.PR.G Perpetual-Discount Quote: 21.35 – 21.79
Spot Rate : 0.4400
Average : 0.3387

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-13
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.60 %

MFC.PR.B Deemed-Retractible Quote: 21.13 – 21.40
Spot Rate : 0.2700
Average : 0.1829

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.13
Bid-YTW : 6.74 %

TD.PR.R Deemed-Retractible Quote: 26.01 – 26.19
Spot Rate : 0.1800
Average : 0.1252

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.75
Evaluated at bid price : 26.01
Bid-YTW : 1.02 %

BMO.PR.K Deemed-Retractible Quote: 25.98 – 26.15
Spot Rate : 0.1700
Average : 0.1232

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-12
Maturity Price : 25.75
Evaluated at bid price : 25.98
Bid-YTW : 2.54 %

MFC.PR.C Deemed-Retractible Quote: 20.93 – 21.18
Spot Rate : 0.2500
Average : 0.2034

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.93
Bid-YTW : 6.69 %

BAM.PF.D Perpetual-Discount Quote: 20.17 – 20.30
Spot Rate : 0.1300
Average : 0.0853

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-13
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 6.14 %

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