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 |
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| 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 |
| MFC.PR.B | Deemed-Retractible | Quote: 21.13 – 21.40 Spot Rate : 0.2700 Average : 0.1829 YTW SCENARIO |
| TD.PR.R | Deemed-Retractible | Quote: 26.01 – 26.19 Spot Rate : 0.1800 Average : 0.1252 YTW SCENARIO |
| BMO.PR.K | Deemed-Retractible | Quote: 25.98 – 26.15 Spot Rate : 0.1700 Average : 0.1232 YTW SCENARIO |
| MFC.PR.C | Deemed-Retractible | Quote: 20.93 – 21.18 Spot Rate : 0.2500 Average : 0.2034 YTW SCENARIO |
| BAM.PF.D | Perpetual-Discount | Quote: 20.17 – 20.30 Spot Rate : 0.1300 Average : 0.0853 YTW SCENARIO |