January 14, 2014

Nothing happened today, either.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 20bp, FixedResets gaining 2bp and DeemedRetractibles off 4bp. The Performance Highlights table is notable for a fine complement of winning BAM PerpetualDiscounts. Volume was high, with many issues trading over 100,000 shares.

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 -0.6458 % 2,555.7
FixedFloater 4.42 % 3.65 % 32,591 18.10 1 0.0000 % 3,840.7
Floater 2.92 % 2.94 % 67,263 19.90 3 -0.6458 % 2,759.5
OpRet 4.62 % 0.34 % 75,815 0.08 3 0.0642 % 2,674.2
SplitShare 4.85 % 4.73 % 67,323 4.43 5 -0.0882 % 3,020.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0642 % 2,445.3
Perpetual-Premium 5.63 % 3.61 % 128,187 0.14 13 0.0061 % 2,322.3
Perpetual-Discount 5.62 % 5.64 % 166,660 14.48 25 0.1967 % 2,362.4
FixedReset 4.95 % 3.49 % 221,783 3.45 82 0.0242 % 2,486.1
Deemed-Retractible 5.14 % 4.33 % 164,652 1.99 42 -0.0382 % 2,403.9
FloatingReset 2.60 % 2.25 % 225,169 4.33 5 0.1347 % 2,475.7
Performance Highlights
Issue Index Change Notes
PWF.PR.S Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 21.81
Evaluated at bid price : 22.13
Bid-YTW : 5.42 %
FTS.PR.F Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 22.13
Evaluated at bid price : 22.41
Bid-YTW : 5.53 %
BAM.PF.D Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.07 %
BAM.PF.C Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 6.07 %
BAM.PR.M Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.14 %
BAM.PR.N Perpetual-Discount 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 6.13 %
CIU.PR.C FixedReset 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 3.88 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset 300,560 Called for redemption.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 1.89 %
TRP.PR.D FixedReset 263,134 Added to TXPL.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 23.08
Evaluated at bid price : 24.82
Bid-YTW : 4.03 %
BNS.PR.Q FixedReset 173,800 RBC crossed blocks of 98,100 and 63,200, both at 25.10.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.49 %
MFC.PR.E FixedReset 154,215 RBC crossed blocks of 48,400, 26,600 and 74,800, all at 25.62.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 2.76 %
TD.PR.G FixedReset 146,700 Scotia crossed 80,000 at 25.22; Nesbitt crossed 64,300 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 2.14 %
BNS.PR.R FixedReset 138,115 Will reset at 3.83%. Yield to Deemed Maturity is 3.58%.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : -3.02 %
TD.PR.Y FixedReset 136,000 RBC crossed 124,900 at 25.10.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 3.49 %
CM.PR.L FixedReset 127,435 Scotia crossed 70,000 at 25.24; Desjardins crossed 55,800 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 2.20 %
BMO.PR.R FloatingReset 101,460 Nesbitt crossed 100,000 at 25.20.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 2.33 %
RY.PR.N FixedReset 100,505 Called for redemption.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.60 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.E Deemed-Retractible Quote: 21.07 – 21.28
Spot Rate : 0.2100
Average : 0.1370

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.07
Bid-YTW : 6.58 %

CIU.PR.A Perpetual-Discount Quote: 21.51 – 21.79
Spot Rate : 0.2800
Average : 0.2102

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 5.43 %

FTS.PR.F Perpetual-Discount Quote: 22.41 – 22.64
Spot Rate : 0.2300
Average : 0.1621

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 22.13
Evaluated at bid price : 22.41
Bid-YTW : 5.53 %

SLF.PR.A Deemed-Retractible Quote: 22.01 – 22.28
Spot Rate : 0.2700
Average : 0.2041

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 6.33 %

CGI.PR.D SplitShare Quote: 24.65 – 25.01
Spot Rate : 0.3600
Average : 0.3042

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 3.99 %

FTS.PR.J Perpetual-Discount Quote: 22.00 – 22.27
Spot Rate : 0.2700
Average : 0.2193

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-01-14
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.46 %

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