December 9, 2010

No commentary at all today … it’s PrefLetter week! I have been grateful for the response to my request for spreadsheet testers, but the more the merrier! I need comments prior to about 11:59pm Sunday, but the need is there until then.

Volume on the Canadian preferred share market eased off to merely above average levels, but prices took a beating, with PerpetualDiscounts down 25bp and FixedResets losing 20bp.

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 0.2876 % 2,274.0
FixedFloater 4.73 % 3.21 % 28,829 19.02 1 0.0000 % 3,557.5
Floater 2.62 % 2.40 % 54,547 21.24 4 0.2876 % 2,455.3
OpRet 4.81 % 3.47 % 71,718 2.37 8 -0.0529 % 2,371.2
SplitShare 5.46 % 0.72 % 120,921 1.00 3 0.3017 % 2,463.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0529 % 2,168.2
Perpetual-Premium 5.70 % 5.53 % 152,546 5.43 27 -0.0329 % 2,010.4
Perpetual-Discount 5.38 % 5.40 % 280,094 14.77 51 -0.2475 % 2,022.4
FixedReset 5.25 % 3.54 % 367,935 3.12 52 -0.2025 % 2,252.3
Performance Highlights
Issue Index Change Notes
BAM.PR.J OpRet -1.59 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 26.61
Bid-YTW : 4.55 %
SLF.PR.A Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-09
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.60 %
CM.PR.K FixedReset -1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-30
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 3.74 %
TRP.PR.C FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-09
Maturity Price : 25.13
Evaluated at bid price : 25.18
Bid-YTW : 4.00 %
GWO.PR.H Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-09
Maturity Price : 22.60
Evaluated at bid price : 22.79
Bid-YTW : 5.32 %
IAG.PR.C FixedReset -1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 4.08 %
BAM.PR.K Floater 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-09
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.94 %
CM.PR.M FixedReset 2.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-30
Maturity Price : 25.00
Evaluated at bid price : 27.89
Bid-YTW : 3.40 %
BAM.PR.I OpRet 2.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-01-08
Maturity Price : 25.50
Evaluated at bid price : 25.85
Bid-YTW : 1.13 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.B Perpetual-Discount 98,407 Nesbitt crossed three blocks, each of 25,000 at 20.75.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-09
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.66 %
FTS.PR.H FixedReset 90,961 Nesbitt crossed 80,000 at 25.35.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-09
Maturity Price : 25.30
Evaluated at bid price : 25.35
Bid-YTW : 3.83 %
NA.PR.N FixedReset 80,990 Desjadins crossed blocks of 50,000 and 27,900, both at 26.40.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-09-14
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 3.37 %
BNS.PR.P FixedReset 57,143 Nesbitt crossed 38,500 at 26.00.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 3.70 %
BNS.PR.K Perpetual-Discount 55,840 Nesbitt bought 10,000 from RBC at 23,50, then crossed 25,000 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-09
Maturity Price : 23.15
Evaluated at bid price : 23.39
Bid-YTW : 5.19 %
PWF.PR.K Perpetual-Discount 55,573 Nesbitt crossed 50,000 at 23.15.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-12-09
Maturity Price : 22.80
Evaluated at bid price : 23.00
Bid-YTW : 5.44 %
There were 40 other index-included issues trading in excess of 10,000 shares.

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