August 28, 2014

Nothing happened today, either.

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 -0.1254 % 2,617.7
FixedFloater 4.16 % 3.40 % 28,162 18.57 1 0.2633 % 4,173.0
Floater 2.93 % 3.09 % 52,359 19.45 4 -0.1254 % 2,706.9
OpRet 4.05 % -2.28 % 96,444 0.08 1 -0.0395 % 2,728.2
SplitShare 4.24 % 3.79 % 61,157 3.97 6 -0.2341 % 3,149.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0395 % 2,494.6
Perpetual-Premium 5.49 % -2.21 % 82,500 0.09 19 -0.0124 % 2,437.4
Perpetual-Discount 5.21 % 5.12 % 113,505 15.20 17 0.0451 % 2,607.3
FixedReset 4.24 % 3.65 % 184,467 6.57 74 -0.0264 % 2,569.1
Deemed-Retractible 5.00 % 1.97 % 103,986 0.24 42 0.0610 % 2,565.9
FloatingReset 2.63 % 1.20 % 80,499 0.16 6 0.1638 % 2,531.8
Performance Highlights
Issue Index Change Notes
CIU.PR.C FixedReset -3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-28
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 3.65 %
TRP.PR.A FixedReset -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-28
Maturity Price : 22.01
Evaluated at bid price : 22.57
Bid-YTW : 3.82 %
PVS.PR.C SplitShare -1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-12-10
Maturity Price : 25.50
Evaluated at bid price : 25.81
Bid-YTW : 3.70 %
GWO.PR.N FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 4.67 %
GWO.PR.Q Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 5.10 %
PWF.PR.P FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-28
Maturity Price : 22.73
Evaluated at bid price : 23.16
Bid-YTW : 3.48 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.P FixedReset 203,692 Indicated for redemption September 30.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : 2.22 %
GWO.PR.R Deemed-Retractible 55,585 Scotia crossed 30,000 at 23.88; Desjardins crossed 12,000 at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.95
Bid-YTW : 5.31 %
MFC.PR.K FixedReset 52,680 RBC crossed 50,000 at 24.97.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.80 %
TD.PF.B FixedReset 51,134 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-28
Maturity Price : 23.23
Evaluated at bid price : 25.18
Bid-YTW : 3.68 %
BNS.PR.Y FixedReset 43,080 TD crossed 35,000 at 23.89.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.89
Bid-YTW : 3.41 %
BAM.PF.F FixedReset 25,070 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.26 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CIU.PR.C FixedReset Quote: 20.52 – 21.45
Spot Rate : 0.9300
Average : 0.5262

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-28
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 3.65 %

TRP.PR.A FixedReset Quote: 22.57 – 23.09
Spot Rate : 0.5200
Average : 0.3302

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-28
Maturity Price : 22.01
Evaluated at bid price : 22.57
Bid-YTW : 3.82 %

GWO.PR.R Deemed-Retractible Quote: 23.95 – 24.45
Spot Rate : 0.5000
Average : 0.3298

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.95
Bid-YTW : 5.31 %

FTS.PR.J Perpetual-Discount Quote: 24.08 – 24.54
Spot Rate : 0.4600
Average : 0.3282

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-28
Maturity Price : 23.70
Evaluated at bid price : 24.08
Bid-YTW : 4.94 %

IAG.PR.E Deemed-Retractible Quote: 26.02 – 26.39
Spot Rate : 0.3700
Average : 0.2493

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-31
Maturity Price : 26.00
Evaluated at bid price : 26.02
Bid-YTW : 4.05 %

BAM.PR.X FixedReset Quote: 22.53 – 22.80
Spot Rate : 0.2700
Average : 0.1616

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-08-28
Maturity Price : 22.15
Evaluated at bid price : 22.53
Bid-YTW : 3.95 %

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