March 13, 2014

Nothing happened today.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 34bp, FixedResets off 3bp and DeemedRetractibles gaining 3bp. Volatility was low. Volume was average, with the highlights comprised entirely of FixedResets.

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 -0.2679 % 2,451.7
FixedFloater 4.74 % 4.34 % 32,471 17.70 1 -0.6442 % 3,581.7
Floater 2.97 % 3.06 % 52,875 19.59 4 -0.2679 % 2,647.2
OpRet 4.66 % -0.03 % 86,267 0.22 3 -0.0259 % 2,683.1
SplitShare 4.82 % 4.25 % 59,920 4.33 5 0.1835 % 3,074.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0259 % 2,453.4
Perpetual-Premium 5.63 % -1.79 % 91,647 0.08 11 0.0322 % 2,352.3
Perpetual-Discount 5.45 % 5.50 % 126,675 14.54 26 0.3395 % 2,436.9
FixedReset 4.72 % 3.60 % 227,319 6.84 79 -0.0324 % 2,501.8
Deemed-Retractible 5.06 % 1.90 % 163,002 0.20 42 0.0347 % 2,466.2
FloatingReset 2.59 % 2.62 % 200,235 7.10 5 -0.1286 % 2,438.8
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-03-13
Maturity Price : 21.40
Evaluated at bid price : 21.73
Bid-YTW : 5.20 %
CU.PR.G Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-03-13
Maturity Price : 21.47
Evaluated at bid price : 21.75
Bid-YTW : 5.20 %
Volume Highlights
Issue Index Shares
Traded
Notes
ENB.PF.A FixedReset 496,550 New issue settled today.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-03-13
Maturity Price : 23.10
Evaluated at bid price : 24.95
Bid-YTW : 4.22 %
CIU.PR.C FixedReset 342,100 RBC crossed 72,000 and two blocks of 135,000 each, both at 21.50.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-03-13
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 3.60 %
CM.PR.L FixedReset 127,398 TD crossed blocks of 33,000 shares, 56,600 and 35,000, all at 25.37.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 1.21 %
BAM.PF.E FixedReset 78,180 New issue settled today.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-03-13
Maturity Price : 22.97
Evaluated at bid price : 24.60
Bid-YTW : 4.22 %
FTS.PR.G FixedReset 67,111 Nesbitt crossed blocks of 13,600 and 46,400, both at 24.51.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-03-13
Maturity Price : 23.02
Evaluated at bid price : 24.50
Bid-YTW : 3.77 %
FTS.PR.K FixedReset 56,440 Nesbitt crossed 37,800 at 24.69.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-03-13
Maturity Price : 23.04
Evaluated at bid price : 24.65
Bid-YTW : 3.71 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.E Perpetual-Discount Quote: 24.70 – 24.99
Spot Rate : 0.2900
Average : 0.1762

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-03-13
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 5.64 %

TRP.PR.C FixedReset Quote: 22.28 – 22.55
Spot Rate : 0.2700
Average : 0.1760

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-03-13
Maturity Price : 21.78
Evaluated at bid price : 22.28
Bid-YTW : 3.68 %

CIU.PR.C FixedReset Quote: 21.43 – 21.88
Spot Rate : 0.4500
Average : 0.3640

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-03-13
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 3.60 %

ENB.PR.A Perpetual-Premium Quote: 25.25 – 25.50
Spot Rate : 0.2500
Average : 0.1758

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-12
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -4.39 %

ELF.PR.F Perpetual-Discount Quote: 23.36 – 23.60
Spot Rate : 0.2400
Average : 0.1842

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-03-13
Maturity Price : 23.10
Evaluated at bid price : 23.36
Bid-YTW : 5.76 %

IFC.PR.C FixedReset Quote: 25.30 – 25.50
Spot Rate : 0.2000
Average : 0.1460

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.63 %

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