April 28, 2011

Nothing happened today.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts losing 4bp, FixedResets up 10bp and DeemedRetractibles gaining 41bp. The Performance Highlights table was comprised entirely of strongly performing bank DeemedRetractibles, almost certainly due to news that CM will prioritize preferred share redemptions as a use of its excess capital. Volume was strong.

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 -0.0948 % 2,419.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0948 % 3,639.0
Floater 2.49 % 2.26 % 35,105 21.63 4 -0.0948 % 2,612.5
OpRet 4.91 % 3.40 % 57,138 2.05 8 0.1158 % 2,413.5
SplitShare 5.21 % -1.89 % 81,402 0.63 6 -0.1291 % 2,495.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1158 % 2,206.9
Perpetual-Premium 5.79 % 5.62 % 124,326 6.12 8 0.1441 % 2,052.6
Perpetual-Discount 5.58 % 5.58 % 133,843 14.38 16 -0.0412 % 2,122.6
FixedReset 5.18 % 3.46 % 218,011 2.90 57 0.1034 % 2,293.5
Deemed-Retractible 5.26 % 5.13 % 315,125 8.12 53 0.4070 % 2,085.4
Performance Highlights
Issue Index Change Notes
BMO.PR.K Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-25
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 4.98 %
RY.PR.D Deemed-Retractible 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.74
Bid-YTW : 5.10 %
RY.PR.C Deemed-Retractible 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 5.12 %
CM.PR.J Deemed-Retractible 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 5.05 %
CM.PR.H Deemed-Retractible 1.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.69
Bid-YTW : 4.98 %
CM.PR.I Deemed-Retractible 1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 5.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.D FixedReset 121,669 TD crossed blocks of 17,300 and 10,000, RBC crossed 50,000 and 25,000 and TD bought 10,000 from CIBC, all at 27.50. YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-19
Maturity Price : 25.00
Evaluated at bid price : 27.46
Bid-YTW : 3.64 %
TD.PR.R Deemed-Retractible 119,333 RBC crossed two blocks of 50,000 each, both at 25.98.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-30
Maturity Price : 25.00
Evaluated at bid price : 25.93
Bid-YTW : 4.91 %
BNS.PR.O Deemed-Retractible 103,700 Nesbitt and TD both crossed 50,000 at 25.60.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-26
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 5.13 %
MFC.PR.C Deemed-Retractible 65,043 RBC crossed 15,000 and TD crossed 24,300, both at 21.02.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.92
Bid-YTW : 6.76 %
RY.PR.R FixedReset 59,736 Nesbitt crossed 50,000 at 26.90.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 26.91
Bid-YTW : 3.39 %
CM.PR.D Deemed-Retractible 55,206 RBC crossed 48,600 at 25.43.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-05-30
Maturity Price : 25.25
Evaluated at bid price : 25.40
Bid-YTW : -1.43 %
There were 51 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.B Deemed-Retractible Quote: 24.13 – 24.58
Spot Rate : 0.4500
Average : 0.3186

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.13
Bid-YTW : 5.11 %

GWO.PR.F Deemed-Retractible Quote: 25.20 – 25.54
Spot Rate : 0.3400
Average : 0.2399

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-10-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.68 %

BAM.PR.J OpRet Quote: 26.89 – 27.20
Spot Rate : 0.3100
Average : 0.2183

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 26.00
Evaluated at bid price : 26.89
Bid-YTW : 4.13 %

PWF.PR.L Perpetual-Discount Quote: 22.95 – 23.23
Spot Rate : 0.2800
Average : 0.2011

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-04-28
Maturity Price : 22.76
Evaluated at bid price : 22.95
Bid-YTW : 5.58 %

BMO.PR.M FixedReset Quote: 25.93 – 26.18
Spot Rate : 0.2500
Average : 0.1724

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-09-24
Maturity Price : 25.00
Evaluated at bid price : 25.93
Bid-YTW : 3.16 %

BAM.PR.I OpRet Quote: 25.31 – 25.60
Spot Rate : 0.2900
Average : 0.2134

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-07-30
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.84 %

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