No commentary today! Sorry!
It was quite the day for FixedResets on the Canadian preferred share market, as the issuer bid for NA.PR.N, NA.PR.O and NA.PR.P seems to have ignited some speculative buying. PerpetualDiscounts gained 1bp, FixedResets leaped upwards by 62bp and DeemedRetractibles were basically flat. Volume was heavy.
| 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 | -0.1669 % | 2,388.2 |
| FixedFloater | 4.74 % | 3.46 % | 15,937 | 19.09 | 1 | 0.1746 % | 3,592.3 |
| Floater | 2.51 % | 2.27 % | 50,015 | 21.56 | 4 | -0.1669 % | 2,578.6 |
| OpRet | 4.83 % | 4.01 % | 88,535 | 2.19 | 8 | -0.0725 % | 2,385.6 |
| SplitShare | 5.32 % | 0.19 % | 245,110 | 0.79 | 4 | 0.2516 % | 2,480.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0725 % | 2,181.4 |
| Perpetual-Premium | 5.75 % | 5.52 % | 122,476 | 1.20 | 9 | -0.0155 % | 2,031.2 |
| Perpetual-Discount | 5.55 % | 5.62 % | 127,891 | 14.39 | 15 | 0.0142 % | 2,109.1 |
| FixedReset | 5.23 % | 3.69 % | 193,453 | 3.01 | 54 | 0.6206 % | 2,269.5 |
| Deemed-Retractible | 5.22 % | 5.26 % | 387,043 | 8.25 | 53 | 0.0040 % | 2,079.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TD.PR.E | FixedReset | 1.19 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.26 Bid-YTW : 3.52 % |
| TD.PR.K | FixedReset | 1.22 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 27.27 Bid-YTW : 3.64 % |
| IAG.PR.F | Deemed-Retractible | 1.24 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.57 Bid-YTW : 5.50 % |
| RY.PR.L | FixedReset | 1.29 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 26.70 Bid-YTW : 3.26 % |
| BNS.PR.X | FixedReset | 1.34 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 27.26 Bid-YTW : 3.53 % |
| BNS.PR.T | FixedReset | 1.49 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 27.26 Bid-YTW : 3.50 % |
| IAG.PR.E | Deemed-Retractible | 1.54 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.62 Bid-YTW : 5.56 % |
| NA.PR.P | FixedReset | 3.33 % | Issuer Bid YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-17 Maturity Price : 25.00 Evaluated at bid price : 28.27 Bid-YTW : 2.29 % |
| NA.PR.O | FixedReset | 3.36 % | Issuer Bid YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-17 Maturity Price : 25.00 Evaluated at bid price : 28.27 Bid-YTW : 2.28 % |
| NA.PR.N | FixedReset | 4.09 % | Issuer Bid YTW SCENARIO Maturity Type : Call Maturity Date : 2013-09-14 Maturity Price : 25.00 Evaluated at bid price : 26.96 Bid-YTW : 2.21 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| NA.PR.P | FixedReset | 156,400 | Issuer Bid. National bought 13,200 from CIBC at 28.27; anonymous bought 13,900 from TD at 28.22; anonymous crossed (?) 25,000 at 28.25; National crossed 25,000 at 28.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-17 Maturity Price : 25.00 Evaluated at bid price : 28.27 Bid-YTW : 2.29 % |
| NA.PR.O | FixedReset | 152,991 | Issuer Bid. Anonymous bought 19,500 from Nesbitt at 28.24; National crossed blocks of 52,300 and 25,000, both at 28.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-17 Maturity Price : 25.00 Evaluated at bid price : 28.27 Bid-YTW : 2.28 % |
| NA.PR.N | FixedReset | 95,520 | Issuer Bid. Anonymous bought 10,000 from RBC at 26.95; National crossed 27,900 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-09-14 Maturity Price : 25.00 Evaluated at bid price : 26.96 Bid-YTW : 2.21 % |
| BNS.PR.R | FixedReset | 74,243 | Desjardins crossed 44,100 at 26.10; RBC crossed 11,800 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.08 Bid-YTW : 3.58 % |
| BMO.PR.O | FixedReset | 57,706 | TD bought 17,900 from Raymond James at 27.25, then crossed 25,000 at 27.40. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-24 Maturity Price : 25.00 Evaluated at bid price : 27.43 Bid-YTW : 3.47 % |
| MFC.PR.D | FixedReset | 55,724 | Desjardins bought 10,100 from anonymous at 27.10; TD bought 15,000 from anonymous at the same price; and anonymous crossed (?) 14,200 at the same price again. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 27.12 Bid-YTW : 3.85 % |
| There were 57 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CM.PR.K | FixedReset | Quote: 26.56 – 26.99 Spot Rate : 0.4300 Average : 0.2758 YTW SCENARIO |
| BAM.PR.H | OpRet | Quote: 25.50 – 25.93 Spot Rate : 0.4300 Average : 0.3086 YTW SCENARIO |
| PWF.PR.A | Floater | Quote: 23.20 – 23.59 Spot Rate : 0.3900 Average : 0.2922 YTW SCENARIO |
| RY.PR.N | FixedReset | Quote: 26.90 – 27.15 Spot Rate : 0.2500 Average : 0.1609 YTW SCENARIO |
| PWF.PR.M | FixedReset | Quote: 26.66 – 27.00 Spot Rate : 0.3400 Average : 0.2543 YTW SCENARIO |
| PWF.PR.O | Perpetual-Premium | Quote: 25.02 – 25.25 Spot Rate : 0.2300 Average : 0.1678 YTW SCENARIO |