February 2, 2009

Spend-Every-Penny is urging Canadian investors to ignore banks’ capital ratios:

“We have said that we’ll do what’s necessary to protect the Canadian banking system,” Mr. Flaherty reiterated on Saturday from Davos during a conference call with reporters.

It seems like only a few months back he was saying that his government would no more run a deficit than a man could have a baby.

With a hat-tip to Econbrowser, a graph from Calculated Risk puts the current crash in perspective:


Click for big

Volume was off today – month-end window dressing is done for another three weeks? – and PerpetualDiscounts eased off slightly. Recent increases in the Canada 5-year yield have triggered legitimate expectations (subject to volatility!) of five-year calls in the Fixed-Reset market.

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 5.42 % 3.91 % 25,470 17.54 2 0.0000 % 851.6
FixedFloater 7.27 % 7.01 % 65,980 13.88 7 -0.3021 % 1,380.5
Floater 5.41 % 4.51 % 32,457 16.37 4 2.8624 % 970.7
OpRet 5.31 % 4.78 % 164,009 4.02 15 -0.0334 % 2,023.0
SplitShare 6.24 % 10.18 % 73,501 4.09 15 -0.2611 % 1,785.1
Interest-Bearing 7.08 % 8.17 % 37,095 0.87 2 -0.2880 % 1,998.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0234 % 1,561.8
Perpetual-Discount 6.88 % 6.87 % 220,391 12.67 71 -0.0234 % 1,438.4
FixedReset 6.10 % 5.64 % 740,671 14.10 26 0.1287 % 1,800.2
Performance Highlights
Issue Index Change Notes
DFN.PR.A SplitShare -4.29 % Asset coverage of 1.7-:1 as of January 15, according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2014-12-01
Maturity Price : 10.00
Evaluated at bid price : 8.71
Bid-YTW : 8.14 %
ENB.PR.A Perpetual-Discount -3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 22.70
Evaluated at bid price : 22.99
Bid-YTW : 6.09 %
PWF.PR.E Perpetual-Discount -3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.12 %
GWO.PR.G Perpetual-Discount -3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 7.45 %
ELF.PR.G Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 8.46 %
BNA.PR.A SplitShare -1.61 % Asset coverage of 1.8+:1 as of December 31, according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2010-09-30
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 10.18 %
BCE.PR.R FixedFloater -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 25.00
Evaluated at bid price : 15.27
Bid-YTW : 7.06 %
BCE.PR.G FixedFloater -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 7.23 %
TD.PR.P Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.71 %
TD.PR.A FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 21.91
Evaluated at bid price : 21.95
Bid-YTW : 4.92 %
BAM.PR.N Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 12.42
Evaluated at bid price : 12.42
Bid-YTW : 9.77 %
TD.PR.C FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 23.26
Evaluated at bid price : 23.30
Bid-YTW : 5.44 %
BAM.PR.K Floater 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 7.65
Evaluated at bid price : 7.65
Bid-YTW : 6.97 %
MFC.PR.C Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 6.67 %
W.PR.H Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 7.13 %
BNS.PR.K Perpetual-Discount 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 6.51 %
POW.PR.A Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 6.64 %
RY.PR.G Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.37 %
HSB.PR.C Perpetual-Discount 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 7.39 %
BNS.PR.R FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 21.96
Evaluated at bid price : 22.00
Bid-YTW : 4.85 %
PPL.PR.A SplitShare 1.92 % Asset coverage of 1.4+:1 as of January 15 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2012-12-01
Maturity Price : 10.00
Evaluated at bid price : 9.02
Bid-YTW : 8.01 %
DF.PR.A SplitShare 1.93 % Asset coverage of 1.4-:1 as of January 15, according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2014-12-01
Maturity Price : 10.00
Evaluated at bid price : 8.96
Bid-YTW : 7.55 %
NA.PR.L Perpetual-Discount 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 6.83 %
GWO.PR.H Perpetual-Discount 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.14 %
BAM.PR.B Floater 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 7.56
Evaluated at bid price : 7.56
Bid-YTW : 7.05 %
PWF.PR.A Floater 7.14 % Basically, reversing Friday’s nonsense.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-02
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 4.43 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.X FixedReset 127,375 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 6.41 %
NA.PR.P FixedReset 78,398 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-17
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 6.77 %
TD.PR.G FixedReset 63,070 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-30
Maturity Price : 25.00
Evaluated at bid price : 24.86
Bid-YTW : 6.45 %
RY.PR.R FixedReset 59,340 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 6.40 %
BAM.PR.H OpRet 53,151 Desjardins crossed 50,000 at 22.15.
YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2012-03-30
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 10.43 %
RY.PR.P FixedReset 26,115 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 6.26 %
There were 12 other index-included issues trading in excess of 10,000 shares.

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