September 26, 2013

Nothing happened today.

It was a poor day for the Canadian preferred share market, with PerpetualDiscounts down 20bp, FixedResets gaining 6bp and DeemedRetractibles off 19bp; the FixedReset figure is affected by a reversal of yesterday’s nonsense with FTS.PR.K; the ridiculous gain computed from Toronto Stock Exchange data was worth a little in excess of 20bp to the FixedReset subindex – account for that and relative figures are more reasonable. Volatility was fairly high with BAM issues notable amongst the losers. 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 -0.8268 % 2,533.0
FixedFloater 4.29 % 3.60 % 31,436 18.09 1 -4.0693 % 3,873.4
Floater 2.67 % 2.87 % 64,312 20.04 5 -0.8268 % 2,734.9
OpRet 4.62 % 1.63 % 67,809 0.50 3 -0.1794 % 2,640.5
SplitShare 4.75 % 4.63 % 59,894 4.05 6 0.0890 % 2,953.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1794 % 2,414.5
Perpetual-Premium 5.89 % -0.13 % 109,647 0.08 2 0.1770 % 2,268.6
Perpetual-Discount 5.55 % 5.53 % 146,108 14.27 36 -0.2003 % 2,351.8
FixedReset 4.93 % 3.71 % 243,057 3.66 85 0.0634 % 2,456.0
Deemed-Retractible 5.11 % 4.47 % 197,947 3.03 43 -0.1887 % 2,381.8
Performance Highlights
Issue Index Change Notes
BAM.PR.G FixedFloater -4.07 % Not real – just more bullshit from Bullshit Central. This issue traded 800 shares today in two trades, both at 23.10, which happens to be yesterday’s last bid. The last quote was 22.16-00, 1×5. Since the last offer is below the trades, one may infer that there is some real weakness, but it’s hard to tell how much.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.53
Evaluated at bid price : 22.16
Bid-YTW : 3.60 %
BNS.PR.Y FixedReset -1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 3.91 %
SLF.PR.G FixedReset -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.11
Bid-YTW : 4.42 %
BAM.PR.M Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 5.96 %
BAM.PR.N Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.96 %
CIU.PR.A Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 5.40 %
BAM.PR.K Floater -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.91 %
BNS.PR.Z FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.78
Bid-YTW : 4.24 %
HSE.PR.A FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.65
Evaluated at bid price : 23.25
Bid-YTW : 4.08 %
PWF.PR.A Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.78
Evaluated at bid price : 23.06
Bid-YTW : 2.26 %
FTS.PR.J Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.63
Evaluated at bid price : 23.00
Bid-YTW : 5.20 %
TCA.PR.X Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-11-14
Maturity Price : 50.00
Evaluated at bid price : 50.53
Bid-YTW : -6.05 %
FTS.PR.K FixedReset 19.39 % Not real. Just a reversal of yesterday’s nonsense.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.84
Evaluated at bid price : 24.20
Bid-YTW : 4.10 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.S Perpetual-Discount 105,876 TD crossed 10,000 at 22.71; Desjardins crossed 78,000 at 22.55.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.26
Evaluated at bid price : 22.55
Bid-YTW : 5.39 %
BNS.PR.Q FixedReset 94,084 To be extended or converted.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 3.74 %
BAM.PR.T FixedReset 57,144 TD crossed 55,000 at 24.22.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.97
Evaluated at bid price : 24.13
Bid-YTW : 4.43 %
GWO.PR.J FixedReset 55,800 Nesbitt crossed 50,000 at 25.12.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.10 %
SLF.PR.A Deemed-Retractible 54,942 Scotia crossed blocks of 25,000 and 24,700, both at 22.65.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.52
Bid-YTW : 6.00 %
MFC.PR.A OpRet 52,578 TD crossed 50,000 at 25.55.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.25
Evaluated at bid price : 25.51
Bid-YTW : 2.77 %
There were 51 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.G FixedFloater Quote: 22.16 – 23.00
Spot Rate : 0.8400
Average : 0.6017

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.53
Evaluated at bid price : 22.16
Bid-YTW : 3.60 %

PWF.PR.A Floater Quote: 23.06 – 23.97
Spot Rate : 0.9100
Average : 0.6735

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-09-26
Maturity Price : 22.78
Evaluated at bid price : 23.06
Bid-YTW : 2.26 %

RY.PR.F Deemed-Retractible Quote: 25.10 – 25.46
Spot Rate : 0.3600
Average : 0.2200

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.47 %

VNR.PR.A FixedReset Quote: 25.15 – 25.56
Spot Rate : 0.4100
Average : 0.2788

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.45 %

IAG.PR.A Deemed-Retractible Quote: 22.19 – 22.74
Spot Rate : 0.5500
Average : 0.4253

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.19
Bid-YTW : 6.01 %

BNS.PR.Y FixedReset Quote: 23.85 – 24.15
Spot Rate : 0.3000
Average : 0.1982

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 3.91 %

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