September 18, 2014

Nothing happened today.

It was a mixed day for the Canadian preferred share market, with PerptualDiscounts down 15bp, FixedResets up 10bp and DeemedRetractibles gaining 2bp. Volatility was minimal. Volume was 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 0.4171 % 2,651.8
FixedFloater 4.17 % 3.42 % 24,543 18.51 1 0.2198 % 4,163.9
Floater 2.91 % 3.04 % 55,250 19.64 4 0.4171 % 2,742.1
OpRet 4.05 % 1.03 % 89,746 0.08 1 -0.0395 % 2,727.1
SplitShare 4.30 % 3.76 % 109,801 3.91 5 0.0930 % 3,150.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0395 % 2,493.7
Perpetual-Premium 5.47 % 1.80 % 70,538 0.09 20 0.0138 % 2,437.7
Perpetual-Discount 5.27 % 5.19 % 100,980 15.15 16 -0.1483 % 2,591.3
FixedReset 4.26 % 3.80 % 186,561 6.57 74 0.1011 % 2,557.0
Deemed-Retractible 5.01 % 1.76 % 109,953 0.28 42 0.0200 % 2,562.5
FloatingReset 2.61 % 0.00 % 70,068 0.08 6 0.3534 % 2,539.0
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-09-18
Maturity Price : 23.06
Evaluated at bid price : 24.81
Bid-YTW : 4.22 %
MFC.PR.M FixedReset 1.59 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 3.55 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.S FixedReset 378,400 Scotia crossed 368,200 at 25.60. Nice ticket!
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 3.63 %
NA.PR.Q FixedReset 104,238 Scotia crossed 100,000 at 25.77.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 2.80 %
TRP.PR.E FixedReset 97,670 RBC crossed 50,000 at 25.39; Scotia crossed 40,000 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-09-18
Maturity Price : 23.28
Evaluated at bid price : 25.39
Bid-YTW : 3.93 %
BMO.PR.W FixedReset 91,875 RBC crosse 50,000 at 25.08.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-09-18
Maturity Price : 23.18
Evaluated at bid price : 25.08
Bid-YTW : 3.78 %
FTS.PR.G FixedReset 73,870 Nesbitt crossed 62,300at 24.80.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-09-18
Maturity Price : 23.15
Evaluated at bid price : 24.70
Bid-YTW : 3.79 %
GWO.PR.N FixedReset 55,160 Nesbitt crossed 50,000 at 21.84.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 4.67 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.A FixedReset Quote: 25.32 – 25.74
Spot Rate : 0.4200
Average : 0.2394

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 4.14 %

PVS.PR.C SplitShare Quote: 25.92 – 26.90
Spot Rate : 0.9800
Average : 0.8722

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-12-10
Maturity Price : 25.50
Evaluated at bid price : 25.92
Bid-YTW : 3.52 %

MFC.PR.K FixedReset Quote: 24.70 – 25.05
Spot Rate : 0.3500
Average : 0.2436

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 4.02 %

BAM.PR.R FixedReset Quote: 25.33 – 25.59
Spot Rate : 0.2600
Average : 0.1712

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-09-18
Maturity Price : 23.76
Evaluated at bid price : 25.33
Bid-YTW : 3.96 %

MFC.PR.F FixedReset Quote: 22.70 – 23.00
Spot Rate : 0.3000
Average : 0.2244

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 4.44 %

TRP.PR.A FixedReset Quote: 22.41 – 22.60
Spot Rate : 0.1900
Average : 0.1304

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-09-18
Maturity Price : 21.91
Evaluated at bid price : 22.41
Bid-YTW : 4.02 %

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