February 10, 2014

Nothing happened today.

It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts off 17bp, FixedResets up 10bp and DeemedRetractibles gaining 6bp. The Performance Highlights table is dominated by losing Floating Rate issues. Volume was extremely low.

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 -0.4849 % 2,334.1
FixedFloater 4.69 % 4.26 % 28,732 17.85 1 -2.0319 % 3,617.4
Floater 3.10 % 3.21 % 55,507 19.17 4 -0.4849 % 2,520.2
OpRet 4.60 % 0.96 % 72,762 0.30 3 -0.0128 % 2,682.1
SplitShare 4.87 % 4.99 % 62,204 4.35 5 0.0483 % 3,011.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0128 % 2,452.5
Perpetual-Premium 5.66 % 0.11 % 98,478 0.08 12 -0.0099 % 2,335.2
Perpetual-Discount 5.55 % 5.59 % 153,319 14.49 26 -0.1658 % 2,388.8
FixedReset 4.90 % 3.70 % 211,866 6.25 82 0.1052 % 2,484.4
Deemed-Retractible 5.13 % 4.11 % 167,540 1.94 42 0.0567 % 2,417.4
FloatingReset 2.65 % 2.63 % 178,722 7.17 6 -0.0134 % 2,439.9
Performance Highlights
Issue Index Change Notes
BAM.PR.G FixedFloater -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-10
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 4.26 %
CU.PR.D Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-10
Maturity Price : 22.30
Evaluated at bid price : 22.64
Bid-YTW : 5.41 %
BAM.PR.K Floater -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-10
Maturity Price : 16.28
Evaluated at bid price : 16.28
Bid-YTW : 3.25 %
BAM.PR.B Floater -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-10
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 3.21 %
CIU.PR.C FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-10
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 3.75 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.I FixedReset 131,295 RBC crossed 125,000 at 25.50.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : 2.62 %
RY.PR.Z FixedReset 124,708 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-10
Maturity Price : 23.14
Evaluated at bid price : 25.00
Bid-YTW : 3.75 %
NA.PR.S FixedReset 116,035 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-10
Maturity Price : 23.12
Evaluated at bid price : 24.92
Bid-YTW : 3.93 %
CM.PR.L FixedReset 72,051 RBC crossed 70,000 at 25.28.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 1.84 %
TRP.PR.E FixedReset 71,225 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-10
Maturity Price : 23.09
Evaluated at bid price : 24.92
Bid-YTW : 3.95 %
SLF.PR.G FixedReset 50,083 Desjardins crossed 34,600 at 22.00.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.22
Bid-YTW : 4.56 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.D Perpetual-Discount Quote: 22.64 – 23.01
Spot Rate : 0.3700
Average : 0.2410

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-10
Maturity Price : 22.30
Evaluated at bid price : 22.64
Bid-YTW : 5.41 %

GWO.PR.G Deemed-Retractible Quote: 23.49 – 23.83
Spot Rate : 0.3400
Average : 0.2226

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.49
Bid-YTW : 6.07 %

BAM.PF.A FixedReset Quote: 25.23 – 25.60
Spot Rate : 0.3700
Average : 0.2533

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-10
Maturity Price : 23.26
Evaluated at bid price : 25.23
Bid-YTW : 4.39 %

TRP.PR.A FixedReset Quote: 23.07 – 23.34
Spot Rate : 0.2700
Average : 0.1652

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-10
Maturity Price : 22.52
Evaluated at bid price : 23.07
Bid-YTW : 3.87 %

IFC.PR.A FixedReset Quote: 24.00 – 24.25
Spot Rate : 0.2500
Average : 0.1582

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 4.19 %

VNR.PR.A FixedReset Quote: 25.20 – 25.44
Spot Rate : 0.2400
Average : 0.1569

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.23 %

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