Category: Market Action

Market Action

May 28, 2012

Interesting commentary from Fitch about possible changes in the money market:

In particular, we believe further MMF reform will likely lead managers to expand their product offerings beyond MMFs, possibly resulting in one unintended consequence. A potential decrease in information transparency for short-term market participants and regulators could occur, should more cash be moved from highly regulated and transparent MMFs into other parts of the financial system.

For example, corporate investors may shift liquid funds into separately managed cash accounts (SPA) as an alternative to MMFs. SPAs are one way a corporate treasurer could choose to diversify cash management activities without relying on MMFs. SPAs are managed in line with customized investment strategies that are designed to meet the investment objectives of a specific client. Importantly, SPAs are generally designed to provide liquidity from maturing securities with only minimum reliance on secondary market liquidity, which could be could be constrained during times of market stress. In contrast to MMFs which offer same-day liquidity, SPAs require corporate treasurers to have a high degree of confidence in their cash needs and cash flow forecasts.

This comes after revelations that the Fed is offering investment advice:

The Federal Reserve has warned U.S. money market funds to cut their investments in Europe, a top official says.

“The Fed and regulators have tried to stress to money market funds to reduce their exposure to European financial institutions,” Charles Plosser, the president of the Reserve Bank of Philadelphia, told the Wall Street Journal.

However, the Fed has not yet begun to centrally micromanage the economy:

Federal Labour Minister Lisa Raitt tabled a back-to-work bill on Monday, ordering an end to the strike within days at Canadian Pacific Railway Ltd. …

Ms. Raitt’s move comes as the economic impact mounts from the six-day strike by 4,800 members of the Teamsters Canada Rail Conference.

It was a negative day for the Canadian preferred share market, with PerpetualDiscounts flat, FixedResets off 5bp and DeemedRetractibles losing 17bp. SLF DeemedRetractibles performed shockingly badly, with all of them down far more than would have been predicted from knowing that they went ex-Dividend today; otherwise the Performance Highlights table shows fair volatility. Volume was light; no surprise given that it was a US holiday.

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	0.3347 %	2,473.6
FixedFloater	4.50 %	3.86 %	29,726	17.56	1	-1.3551 %	3,503.1
Floater	2.92 %	2.94 %	67,892	19.82	3	0.3347 %	2,670.8
OpRet	4.80 %	2.57 %	42,764	1.05	5	-0.0155 %	2,500.8
SplitShare	5.26 %	-4.64 %	51,029	0.55	4	0.1243 %	2,712.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0155 %	2,286.7
Perpetual-Premium	5.46 %	2.39 %	71,500	0.62	25	-0.0016 %	2,227.3
Perpetual-Discount	5.10 %	5.19 %	81,823	15.06	8	0.4776 %	2,434.4
FixedReset	5.06 %	3.18 %	192,541	4.25	69	-0.0458 %	2,392.2
Deemed-Retractible	4.99 %	3.69 %	164,892	2.72	45	-0.1733 %	2,312.2

Performance Highlights
Issue	Index	Change	Notes
SLF.PR.C	Deemed-Retractible	-1.68 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.29 Bid-YTW : 6.08 %
SLF.PR.D	Deemed-Retractible	-1.54 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 5.98 %
SLF.PR.B	Deemed-Retractible	-1.47 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.51 Bid-YTW : 5.75 %
SLF.PR.E	Deemed-Retractible	-1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.53 Bid-YTW : 5.99 %
SLF.PR.A	Deemed-Retractible	-1.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.41 Bid-YTW : 5.75 %
BAM.PR.G	FixedFloater	-1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-28 Maturity Price : 21.83 Evaluated at bid price : 21.11 Bid-YTW : 3.86 %
IAG.PR.E	Deemed-Retractible	-1.04 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-12-31 Maturity Price : 25.25 Evaluated at bid price : 25.60 Bid-YTW : 5.58 %
CIU.PR.A	Perpetual-Discount	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-28 Maturity Price : 24.55 Evaluated at bid price : 24.85 Bid-YTW : 4.63 %
BAM.PR.N	Perpetual-Discount	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-28 Maturity Price : 22.76 Evaluated at bid price : 23.16 Bid-YTW : 5.19 %
BAM.PR.M	Perpetual-Discount	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-28 Maturity Price : 22.72 Evaluated at bid price : 23.15 Bid-YTW : 5.19 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.X	FixedReset	116,303	National crossed 90,800 at 26.63. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-25 Maturity Price : 25.00 Evaluated at bid price : 26.62 Bid-YTW : 3.02 %
CIU.PR.B	FixedReset	95,500	RBC crossed blocks of 70,000 and 15,500, both at 26.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-01 Maturity Price : 25.00 Evaluated at bid price : 26.70 Bid-YTW : 3.18 %
CM.PR.L	FixedReset	95,334	National crossed 76,000 at 26.76; RBC crossed 10,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.76 Bid-YTW : 2.99 %
CU.PR.C	FixedReset	77,317	National crossed 35,000 at 25.95 and 33,000 at 25.90. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.81 Bid-YTW : 3.30 %
GWO.PR.G	Deemed-Retractible	66,064	Desjardins crossed 60,000 at 25.01. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.96 Bid-YTW : 5.37 %
MFC.PR.I	FixedReset	57,840	Recent new issue. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.76 Bid-YTW : 4.46 %
There were 17 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IAG.PR.E	Deemed-Retractible	Quote: 25.60 – 26.30 Spot Rate : 0.7000 Average : 0.5416 YTW SCENARIO Maturity Type : Call Maturity Date : 2017-12-31 Maturity Price : 25.25 Evaluated at bid price : 25.60 Bid-YTW : 5.58 %
TCA.PR.X	Perpetual-Premium	Quote: 51.66 – 52.37 Spot Rate : 0.7100 Average : 0.5600 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-10-15 Maturity Price : 50.00 Evaluated at bid price : 51.66 Bid-YTW : 3.47 %
NA.PR.P	FixedReset	Quote: 26.21 – 26.74 Spot Rate : 0.5300 Average : 0.3841 YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-15 Maturity Price : 25.00 Evaluated at bid price : 26.21 Bid-YTW : 3.83 %
RY.PR.B	Deemed-Retractible	Quote: 25.66 – 26.00 Spot Rate : 0.3400 Average : 0.2153 YTW SCENARIO Maturity Type : Call Maturity Date : 2015-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.66 Bid-YTW : 3.87 %
BAM.PR.C	Floater	Quote: 17.91 – 18.34 Spot Rate : 0.4300 Average : 0.3176 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-28 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 2.96 %
IAG.PR.C	FixedReset	Quote: 25.90 – 26.18 Spot Rate : 0.2800 Average : 0.2029 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 3.52 %

Market Action

May 25, 2012

Cheerful Greek thoughts from the Institute of International Finance (aka the Bankers’ Club):

The cost of Greece exiting the euro would be unmanageable and probably exceed the 1 trillion euros ($1.25 trillion) previously estimated by the Institute of International Finance, the group’s managing director said.

The Washington-based IIF’s projection from earlier this year is “a bit dated now” and “probably on the low side,” Charles Dallara said in an interview in Rome today. “Those who think that Europe, and more broadly the global economy, are really prepared for a Greek exit should think again.”

The European Central Bank’s exposure to Greek liabilities is more than twice as big as the ECB’s capital, said Dallara, who represented banks in their negotiations with the Greek government on its debt restructuring. As a result, he predicted the bank would be unable to provide liquidity and stabilize the euro-area financial sector.
…
For Greece, in its fifth year of recession, it may be more effective to offer extra money to help its battered economy recover, Dallara said. Because Greece’s economy has shrunk so much faster than expected, it may need more time to meet its budget targets and repay its international loans, he said.

Greece’s shrinking economy could be aided “at a cost” of an additional 10 billion euros. “We’re talking about very modest sums compared to what’s already on the table,” he said.

It was a mildly positive day for the Canadian preferred share market, with PerpetualPremiums gaining 1bp, FixedResets up 12bp and DeemedRetractibles winning 14bp. Volatility was muted. Volume was well below average.

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	-0.0372 %	2,465.3
FixedFloater	4.44 %	3.81 %	29,689	17.69	1	0.0000 %	3,551.2
Floater	2.93 %	2.95 %	68,910	19.80	3	-0.0372 %	2,661.9
OpRet	4.80 %	2.88 %	44,534	1.06	5	0.0000 %	2,501.2
SplitShare	5.27 %	-5.77 %	51,696	0.56	4	0.3742 %	2,709.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0000 %	2,287.1
Perpetual-Premium	5.46 %	2.36 %	72,175	0.63	25	0.0110 %	2,227.3
Perpetual-Discount	5.12 %	5.25 %	82,858	14.98	8	-0.4084 %	2,422.8
FixedReset	5.05 %	3.17 %	189,041	2.33	69	0.1248 %	2,393.3
Deemed-Retractible	4.98 %	3.52 %	170,986	1.90	45	0.1367 %	2,316.3

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.M	Perpetual-Discount	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-25 Maturity Price : 22.51 Evaluated at bid price : 22.90 Bid-YTW : 5.25 %
BAM.PR.N	Perpetual-Discount	-1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-25 Maturity Price : 22.54 Evaluated at bid price : 22.91 Bid-YTW : 5.25 %
HSE.PR.A	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-25 Maturity Price : 23.50 Evaluated at bid price : 25.75 Bid-YTW : 3.17 %
IAG.PR.A	Deemed-Retractible	3.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.01 Bid-YTW : 5.65 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.I	FixedReset	128,885	Recent new issue. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 4.49 %
NA.PR.K	Deemed-Retractible	97,138	TD crossed 48,000 at 25.50; Desjardins crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-06-24 Maturity Price : 25.00 Evaluated at bid price : 25.46 Bid-YTW : -13.92 %
RY.PR.D	Deemed-Retractible	77,685	TD crossed blocks of 40,000 and 25,000, both at 25.67. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.66 Bid-YTW : 3.76 %
SLF.PR.A	Deemed-Retractible	66,976	Nesbitt crossed 56,400 at 23.76. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.74 Bid-YTW : 5.56 %
SLF.PR.D	Deemed-Retractible	63,403	Nesbitt crossed 56,400 at 22.76. Gee, I wonder if that’s related to the cross in SLF.PR.A, above! YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 5.77 %
TD.PR.G	FixedReset	59,665	National crossed 48,400 at 26.62. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.63 Bid-YTW : 2.99 %
There were 19 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IGM.PR.B	Perpetual-Premium	Quote: 25.78 – 26.30 Spot Rate : 0.5200 Average : 0.4548 YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.78 Bid-YTW : 5.44 %
BAM.PR.T	FixedReset	Quote: 25.06 – 25.24 Spot Rate : 0.1800 Average : 0.1173 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-25 Maturity Price : 23.19 Evaluated at bid price : 25.06 Bid-YTW : 3.84 %
IAG.PR.E	Deemed-Retractible	Quote: 25.87 – 26.30 Spot Rate : 0.4300 Average : 0.3678 YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.87 Bid-YTW : 5.30 %
BNA.PR.C	SplitShare	Quote: 22.81 – 23.00 Spot Rate : 0.1900 Average : 0.1326 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 22.81 Bid-YTW : 5.97 %
RY.PR.I	FixedReset	Quote: 25.64 – 25.87 Spot Rate : 0.2300 Average : 0.1786 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.64 Bid-YTW : 3.39 %
GWO.PR.P	Deemed-Retractible	Quote: 25.95 – 26.09 Spot Rate : 0.1400 Average : 0.0986 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.95 Bid-YTW : 5.11 %

Market Action

May 24, 2012

I may be a little dense, but one point about housing prices has just struck me:

If you had to earn a living predicting home prices and could use just one indicator to do it, which would you choose?

I asked two top economists that question. Their answer was the same: housing affordability.
…
Affordability – a type of debt service ratio – gauges the average percentage of income needed to carry a mortgage. This is closely linked to how much homeowners can borrow.

It’s a rather paradoxical statistic. You would think, for instance, that with home prices doubling in the last 10 years, affordability would be getting worse.

Actually, national affordability is almost the same or better than 20 years ago, according to measures by the Bank of Canada and major economists.

For that, we can thank both falling interest rates and rising incomes. Discounted mortgage rates, for example, have dropped more than five percentage points in the last 20 years.

So, to the extent that affordability, as defined, is an accurate gauge of housing value, then once you strip out the relatively volatile interest rate denominator, you’re left with a linear dependence upon nominal incomes. Which will not only capture inflation but also capture productivity gains. And, what’s more, those aren’t just the productivity gains of the average person, but (in Toronto and Vancouver, anyway) are the productivity gains of professionals. Which have been awesome in the last twenty years and which I would expect will continue to be awesome.

Would anybody happen to have any data that tests this idea?

There are some interesting polls from Greece:

A Greek opinion poll showed the Syriza party, which is opposed to implementing Greece’s international financial rescue, building on its lead in voter support ahead of elections to be held on June 17.

Syriza got 30 percent support, compared with the 28 percent in a previous reading a week earlier, according to a Public Issue poll presented on Athens-based Skai TV today. That was ahead of pro-bailout party New Democracy which polled 26 percent compared to 24 percent a week earlier, according to the survey.
…
The poll showed 85 percent of Greeks wanted to keep the euro, compared with 12 percent who were opposed to keeping the currency.

There could be some bare-knuckle diplomacy coming if Syriza has the twin objectives of renegotiating the bail-out while staying in the Euro!

It was a negative day for the Canadian preferred share market, with PerpetualPremiums off 2bp, FixedResets down 7bp and DeemedRetractibles losing 24bp. There was a good amount of volatility with no clear pattern – although optimists might wish to assert that the IAG new issue prompted a revaluation of that issuer’s extant issues. Volume was quite 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	0.2235 %	2,466.2
FixedFloater	4.44 %	3.81 %	29,855	17.70	1	0.6585 %	3,551.2
Floater	2.93 %	2.96 %	65,950	19.79	3	0.2235 %	2,662.9
OpRet	4.80 %	2.83 %	45,257	1.06	5	0.1625 %	2,501.2
SplitShare	5.29 %	-2.35 %	51,938	0.56	4	-0.3827 %	2,699.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1625 %	2,287.1
Perpetual-Premium	5.46 %	1.85 %	73,087	0.63	25	-0.0211 %	2,227.1
Perpetual-Discount	5.10 %	5.16 %	85,910	15.12	8	0.0673 %	2,432.7
FixedReset	5.06 %	3.22 %	188,247	2.19	69	-0.0669 %	2,390.4
Deemed-Retractible	4.99 %	3.67 %	170,712	1.91	45	-0.2361 %	2,313.1

Performance Highlights
Issue	Index	Change	Notes
IAG.PR.A	Deemed-Retractible	-4.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 6.09 %
BNA.PR.E	SplitShare	-1.41 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 5.22 %
IAG.PR.C	FixedReset	-1.33 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 3.49 %
SLF.PR.D	Deemed-Retractible	-1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.61 Bid-YTW : 5.88 %
BAM.PR.R	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-24 Maturity Price : 23.57 Evaluated at bid price : 26.15 Bid-YTW : 3.78 %
IAG.PR.F	Deemed-Retractible	1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 5.33 %
SLF.PR.I	FixedReset	1.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.21 Bid-YTW : 4.20 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.I	FixedReset	263,530	New issue settled today. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.76 Bid-YTW : 4.51 %
BNS.PR.T	FixedReset	218,208	National sold 25,000 to RBC at 26.61, then crossed 187,400 at 26.57. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-25 Maturity Price : 25.00 Evaluated at bid price : 26.58 Bid-YTW : 3.09 %
TD.PR.E	FixedReset	212,301	National crossed 170,700 at 26.55. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.64 Bid-YTW : 2.97 %
RY.PR.X	FixedReset	67,424	National crossed 23,200 at 26.65; RBC crossed 16,900 at 26.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.73 Bid-YTW : 3.07 %
RY.PR.Y	FixedReset	56,275	RBC crossed 50,000 at 26.80. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-11-24 Maturity Price : 25.00 Evaluated at bid price : 26.82 Bid-YTW : 3.08 %
GWO.PR.H	Deemed-Retractible	51,748	TD crossed 50,000 at 24.45. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 5.33 %
There were 17 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IAG.PR.A	Deemed-Retractible	Quote: 22.25 – 23.50 Spot Rate : 1.2500 Average : 0.6881 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 6.09 %
IAG.PR.E	Deemed-Retractible	Quote: 25.87 – 26.30 Spot Rate : 0.4300 Average : 0.2996 YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.87 Bid-YTW : 5.30 %
BAM.PR.N	Perpetual-Discount	Quote: 23.22 – 23.65 Spot Rate : 0.4300 Average : 0.3095 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-24 Maturity Price : 22.81 Evaluated at bid price : 23.22 Bid-YTW : 5.17 %
BNA.PR.E	SplitShare	Quote: 24.55 – 24.89 Spot Rate : 0.3400 Average : 0.2245 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 5.22 %
HSB.PR.D	Deemed-Retractible	Quote: 25.65 – 26.00 Spot Rate : 0.3500 Average : 0.2351 YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.25 Evaluated at bid price : 25.65 Bid-YTW : 4.41 %
BAM.PR.B	Floater	Quote: 18.00 – 18.34 Spot Rate : 0.3400 Average : 0.2451 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-24 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 2.94 %

Market Action

May 23, 2012

I’m not sure what Spain’s debt maturity profile looks like – but there’s one good reason for issuing long-term debt:

Spain can’t continue much longer with its current high borrowing rates, the prime minister warned Wednesday as he urged a joint European response to keep the region’s debt problems from getting worse.

Mariano Rajoy and newly elected French President Francois Hollande, heading later in the evening to meet other European Union leaders, also stressed their commitment to keeping Greece in the euro despite its political uncertainty.

It was another mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 9bp, FixedResets off 3bp and DeemedRetractibles losing 16bp. Volatility was average. Volume was above average.

PerpetualDiscounts now yield 5.16%, equivalent to 6.71% interest at the standard equivalency factor of 1.3x. Long corporate yields … are delayed.

Update: Long corporates are at about 4.40% (maybe just a hairsbreadth over), so the pre-tax interest-equivalent spread (in this context, the Seniority Spread) is now about 230bp, a sharp widening from the 210bp reported May 9.

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 -0.2416 % 2,460.7

FixedFloater 4.47 % 3.84 % 30,239 17.64 1 -0.7470 % 3,528.0

Floater 2.93 % 2.96 % 66,711 19.79 3 -0.2416 % 2,656.9

OpRet 4.81 % 2.79 % 47,120 1.07 5 -0.0619 % 2,497.1

SplitShare 5.27 % -3.03 % 52,037 0.56 4 -0.0596 % 2,709.8

Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0619 % 2,283.4

Perpetual-Premium 5.45 % 2.03 % 73,256 0.64 25 0.0909 % 2,227.6

Perpetual-Discount 5.10 % 5.16 % 86,836 15.11 8 0.0518 % 2,431.1

FixedReset 5.07 % 3.19 % 187,535 2.19 68 -0.0291 % 2,392.0

Deemed-Retractible 4.98 % 3.62 % 168,457 2.73 45 -0.1621 % 2,318.6

Performance Highlights

Issue Index Change Notes

BAM.PR.K Floater -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-23
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 2.98 %

SLF.PR.I FixedReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.40 %

BAM.PR.M Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-23
Maturity Price : 22.74
Evaluated at bid price : 23.17
Bid-YTW : 5.18 %

BAM.PR.C Floater 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-23
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 2.96 %

BAM.PR.N Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-23
Maturity Price : 22.84
Evaluated at bid price : 23.25
Bid-YTW : 5.16 %

Volume Highlights

Issue Index Shares
Traded Notes

PWF.PR.I Perpetual-Premium 196,260 Nesbitt crossed blocks of 150,000 and 43,200, both at 25.50.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-22
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -13.11 %

PWF.PR.R Perpetual-Premium 116,277 Nesbitt crossed 112,900 at 25.90.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 5.10 %

CM.PR.K FixedReset 86,465 Nesbitt crossed 83,000 at 26.25.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 3.19 %

TD.PR.Y FixedReset 62,427 Desjardins crossed 39,800 at 26.00.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 2.81 %

BMO.PR.P FixedReset 61,741 Nesbitt crossed 49,800 at 26.70.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.66
Bid-YTW : 2.88 %

RY.PR.P FixedReset 45,078 Scotia crossed 10,000 at 26.50; RBC crossed 25,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.41
Bid-YTW : 2.94 %

There were 36 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights

Issue Index Quote Data and Yield Notes

IAG.PR.F Deemed-Retractible Quote: 25.65 – 26.37
Spot Rate : 0.7200
Average : 0.4752

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 5.38 %

MFC.PR.A OpRet Quote: 25.12 – 25.49
Spot Rate : 0.3700
Average : 0.2487

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2015-12-18
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 3.88 %

CIU.PR.A Perpetual-Discount Quote: 24.53 – 25.00
Spot Rate : 0.4700
Average : 0.3510

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-23
Maturity Price : 24.23
Evaluated at bid price : 24.53
Bid-YTW : 4.69 %

NA.PR.P FixedReset Quote: 26.33 – 26.70
Spot Rate : 0.3700
Average : 0.2623

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-15
Maturity Price : 25.00
Evaluated at bid price : 26.33
Bid-YTW : 3.51 %

ENB.PR.D FixedReset Quote: 25.12 – 25.40
Spot Rate : 0.2800
Average : 0.1792

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-23
Maturity Price : 23.16
Evaluated at bid price : 25.12
Bid-YTW : 3.71 %

RY.PR.L FixedReset Quote: 26.04 – 26.34
Spot Rate : 0.3000
Average : 0.2181

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 3.15 %

Read More
May 24, 2012
jiHymas
1 Comment on May 23, 2012

Market Action
May 22, 2012

BC Hydro couldn’t care less about operating on a cost-recovery basis. That’s not important:

Energy Minister Rich Coleman says he has cut expected BC Hydro rate increases by 50 per cent over three years.

Mr. Coleman says he made the decision based on a government-ordered review of hydro services and because the government wants to keep rates affordable for families.

DBRS put Spain, Italy, Portugal and Ireland on Review-Negative:

This action reflects DBRS’s assessment that downside risks to growth in the Euro area have intensified as a result of systemic concerns emanating from Greece. Recent political developments have called into question the Greek government’s willingness and capacity to comply with its EU-IMF adjustment programme and sustain its membership in the European Monetary Union. DBRS will assess, over the next three months, the risks stemming from Greece and to what extent uncertainty over the future of Greece, combined with concerns over sovereign debt sustainability and financial sector fragility in the Euro area, may adversely affect Ireland’s efforts to stabilise its public debt.

It was a mixed day for the Canadian preferred share market, with PerpetualPremiums down 9bp, FixedResets winning 12bp and DeemedRetractibles gaining 4bp. The Performance Highlights table was well populated, entirely with winners. Volume was below average.

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 2.0288 % 2,466.7

FixedFloater 4.44 % 3.81 % 29,182 17.71 1 0.0000 % 3,554.6

Floater 2.93 % 2.94 % 61,752 19.83 3 2.0288 % 2,663.4

OpRet 4.81 % 2.92 % 48,954 1.07 5 -0.3315 % 2,498.7

SplitShare 5.27 % -1.88 % 51,801 0.57 4 -0.1686 % 2,711.4

Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3315 % 2,284.8

Perpetual-Premium 5.46 % 2.02 % 74,560 0.64 25 -0.0924 % 2,225.5

Perpetual-Discount 5.11 % 5.24 % 87,909 15.00 8 0.5517 % 2,429.8

FixedReset 5.06 % 3.13 % 189,087 2.16 68 0.1175 % 2,392.7

Deemed-Retractible 4.96 % 3.64 % 174,398 1.38 45 0.0436 % 2,322.3

Performance Highlights

Issue Index Change Notes

BAM.PF.A FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-22
Maturity Price : 23.19
Evaluated at bid price : 25.30
Bid-YTW : 4.27 %

TD.PR.P Deemed-Retractible 1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-11-01
Maturity Price : 26.00
Evaluated at bid price : 26.54
Bid-YTW : 1.05 %

BAM.PR.M Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-22
Maturity Price : 22.51
Evaluated at bid price : 22.90
Bid-YTW : 5.24 %

MFC.PR.D FixedReset 1.73 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 3.37 %

BAM.PR.N Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-22
Maturity Price : 22.53
Evaluated at bid price : 22.90
Bid-YTW : 5.25 %

BAM.PR.K Floater 5.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-22
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 2.91 %

Volume Highlights

Issue Index Shares
Traded Notes

PWF.PR.I Perpetual-Premium 103,259 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-21
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -13.29 %

GWO.PR.G Deemed-Retractible 87,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 5.37 %

BNS.PR.Q FixedReset 75,770 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 3.13 %

ENB.PR.F FixedReset 75,085 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 3.69 %

RY.PR.Y FixedReset 70,760 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-11-24
Maturity Price : 25.00
Evaluated at bid price : 26.81
Bid-YTW : 3.09 %

MFC.PR.D FixedReset 66,995 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 3.37 %

There were 24 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights

Issue Index Quote Data and Yield Notes

TCA.PR.Y Perpetual-Premium Quote: 52.15 – 52.65
Spot Rate : 0.5000
Average : 0.3696

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-05
Maturity Price : 50.00
Evaluated at bid price : 52.15
Bid-YTW : 3.29 %

FTS.PR.E OpRet Quote: 26.20 – 26.65
Spot Rate : 0.4500
Average : 0.3579

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-06-01
Maturity Price : 25.75
Evaluated at bid price : 26.20
Bid-YTW : 2.92 %

BNS.PR.T FixedReset Quote: 26.59 – 26.85
Spot Rate : 0.2600
Average : 0.1729

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.59
Bid-YTW : 3.06 %

TRP.PR.C FixedReset Quote: 25.81 – 26.09
Spot Rate : 0.2800
Average : 0.1993

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-22
Maturity Price : 23.53
Evaluated at bid price : 25.81
Bid-YTW : 2.95 %

TCA.PR.X Perpetual-Premium Quote: 52.06 – 52.49
Spot Rate : 0.4300
Average : 0.3497

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-15
Maturity Price : 50.00
Evaluated at bid price : 52.06
Bid-YTW : 2.85 %

PWF.PR.R Perpetual-Premium Quote: 25.77 – 26.00
Spot Rate : 0.2300
Average : 0.1543

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 5.15 %

Read More
May 23, 2012
jiHymas
Comment on May 22, 2012

Market Action
May 18, 2012

Never mind Greece and Spain, here’s some commentary about an old friend:

Ireland may be forced into a second bailout by mounting loan losses in its banking system, according to Deutsche Bank AG.

Ireland’s bailed-out banks may need capital to cover as much as 4 billion euros ($5.1 billion) more bad-loan provisions than assumed in stress tests last year, Deutsche Bank analysts David Lock and Jason Napier said in a report published today.
…
“Although resilient during 2009 and 2010, mortgage arrears have risen sharply over the past year, house prices are continuing to fall, market liquidity is limited, and over half of customers are now in negative equity,” the analysts said. “We fear the size of negative equity balances for some mortgage holders may greatly reduce their incentive to cooperate, pushing them towards default.”

Meanwhile, on the other side of the world:

Australia and New Zealand Banking Group said volatile conditions in global markets have caused the wholesale funding market for Australian banks to freeze again, a worrying echo of the global financial crisis.
…
“Right now, markets are closed again, and this is what happens in this sort of situation,” ANZ Chief Executive Mike Smith said after a speech to a business group.
…
Australian banks raise about $100 billion annually from wholesale funding markets to bridge a gap between total loans and deposits.

Here’s a story you don’t see too often:

Investors Group Inc., which sells mutual funds through its own financial adviser network, plans to chop fees on many of its offerings in a bid to woo fee-conscious clients.

The move comes after the company saw net fund sales plunge to $175-million in the first quarter during the key registered retirement savings plan (RRSP) from $504-million a year earlier.

Reductions in management fees will range from .05-to 0.40-per-cent annually on the asset value of select funds, the Winnipeg-based firm said in a statement on Friday.

There’s some alarmist talk from S&P:

In a report last week, Standard & Poor’s said the world faces a mountain of roughly $46-trillion (U.S.) in corporate debt needs between now and the end of 2016. In addition to a $30-trillion “wall” of corporate debt that will come due and require refinancing, S&P estimated that corporations worldwide will need between $13-trillion and $16-trillion of new debt to meet their capital spending and working-capital needs – essentially, to finance growth.
…
“This demand for funds will potentially compound the credit rationing that may occur as banks seek to restructure their balance sheets, and bond and equity investors reassess their risk-return thresholds. These factors, amid the current euro zone crisis, a soft U.S. economic recovery following the Great Recession, and the prospect of slowing Chinese growth, raise the downside risk of a perfect storm for credit markets, in our view,” S&P wrote.

The Canadian preferred share market got thumped today, with PerpetualPremiums off 10bp, FixedResets losing 45bp and DeemedRetractibles down 37bp. There is quite a lengthy list of Performance Highlights, all of them losers – the only pattern I see at first glance is that banks are relatively unscathed. Volume was below average.

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 -3.2471 % 2,417.6

FixedFloater 4.44 % 3.80 % 29,122 17.72 1 -1.1537 % 3,554.6

Floater 2.99 % 3.02 % 59,452 19.63 3 -3.2471 % 2,610.4

OpRet 4.79 % 2.32 % 50,980 1.08 5 -0.2308 % 2,507.0

SplitShare 5.26 % -4.17 % 53,930 0.58 4 -0.0595 % 2,716.0

Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2308 % 2,292.4

Perpetual-Premium 5.45 % 2.82 % 75,243 0.65 25 -0.0962 % 2,227.6

Perpetual-Discount 5.13 % 5.24 % 88,318 15.03 8 -0.8924 % 2,416.5

FixedReset 5.07 % 3.16 % 175,865 2.34 68 -0.4533 % 2,389.8

Deemed-Retractible 4.97 % 3.65 % 176,465 1.54 45 -0.3713 % 2,321.3

Performance Highlights

Issue Index Change Notes

BAM.PR.K Floater -6.05 % Not a real loss … the Last Quote was 17.23-18.60, but the issue traded 21,495 shares in a range of 18.00-20. Virtually all the volume was at 18.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-18
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 3.07 %

BAM.PR.N Perpetual-Discount -4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-18
Maturity Price : 22.16
Evaluated at bid price : 22.50
Bid-YTW : 5.34 %

BAM.PR.M Perpetual-Discount -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-18
Maturity Price : 22.27
Evaluated at bid price : 22.59
Bid-YTW : 5.32 %

BAM.PR.C Floater -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-18
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 3.02 %

MFC.PR.D FixedReset -2.65 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.23 %

MFC.PR.B Deemed-Retractible -2.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.26
Bid-YTW : 5.57 %

TCA.PR.X Perpetual-Premium -1.59 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-15
Maturity Price : 50.00
Evaluated at bid price : 52.06
Bid-YTW : 2.83 %

SLF.PR.B Deemed-Retractible -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.11
Bid-YTW : 5.39 %

TRP.PR.C FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-18
Maturity Price : 23.54
Evaluated at bid price : 25.85
Bid-YTW : 2.99 %

SLF.PR.A Deemed-Retractible -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.40 %

BAM.PF.A FixedReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-18
Maturity Price : 23.11
Evaluated at bid price : 25.03
Bid-YTW : 4.37 %

BMO.PR.Q FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.12 %

MFC.PR.F FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 3.81 %

BAM.PR.G FixedFloater -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-18
Maturity Price : 22.25
Evaluated at bid price : 21.42
Bid-YTW : 3.80 %

TD.PR.P Deemed-Retractible -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-11-01
Maturity Price : 26.00
Evaluated at bid price : 26.21
Bid-YTW : 3.81 %

BNS.PR.L Deemed-Retractible -1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-04-28
Maturity Price : 25.25
Evaluated at bid price : 25.91
Bid-YTW : 3.62 %

Volume Highlights

Issue Index Shares
Traded Notes

RY.PR.L FixedReset 79,450 National crossed 75,000 at 26.10.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.08
Bid-YTW : 3.03 %

CU.PR.A Perpetual-Premium 52,550 TD crossed 47,400 at 25.45.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-17
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -11.11 %

MFC.PR.H FixedReset 48,780 Scotia sold 23,100 to anonymous at 25.25, and another 13,500 to RBC at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.68 %

TRP.PR.C FixedReset 46,192 Nesbitt crossed 40,000 at 26.05.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-18
Maturity Price : 23.54
Evaluated at bid price : 25.85
Bid-YTW : 2.99 %

TD.PR.O Deemed-Retractible 41,459 Nesbitt crossed 30,000 at 26.10.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-17
Maturity Price : 25.75
Evaluated at bid price : 25.87
Bid-YTW : 1.86 %

SLF.PR.A Deemed-Retractible 36,400 Nesbitt crossed 29,400 at 24.25.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.40 %

There were 26 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights

Issue Index Quote Data and Yield Notes

BAM.PR.K Floater Quote: 17.23 – 18.60
Spot Rate : 1.3700
Average : 0.9391

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-18
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 3.07 %

MFC.PR.D FixedReset Quote: 26.05 – 26.74
Spot Rate : 0.6900
Average : 0.4086

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.23 %

BAM.PR.C Floater Quote: 17.51 – 18.35
Spot Rate : 0.8400
Average : 0.5723

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-18
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 3.02 %

NA.PR.O FixedReset Quote: 26.68 – 27.25
Spot Rate : 0.5700
Average : 0.3605

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-15
Maturity Price : 25.00
Evaluated at bid price : 26.68
Bid-YTW : 2.68 %

TCA.PR.X Perpetual-Premium Quote: 52.06 – 52.50
Spot Rate : 0.4400
Average : 0.2617

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-15
Maturity Price : 50.00
Evaluated at bid price : 52.06
Bid-YTW : 2.83 %

MFC.PR.B Deemed-Retractible Quote: 23.26 – 23.69
Spot Rate : 0.4300
Average : 0.2522

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.26
Bid-YTW : 5.57 %

Read More
May 18, 2012
jiHymas
Comment on May 18, 2012

Market Action
May 17, 2012

Fitch downgraded Greece:

Greece’s credit rating was downgraded one level by Fitch Ratings on “heightened risk” that the country will not be able to sustain its membership of the euro area after inconclusive elections left the country without a stable government.

Greece was cut to CCC from B- by Fitch, according to an e- mailed statement today in London. The country’s ceiling was revised to B-, Fitch said in the statement.

“The strong showing of ‘anti-austerity’ parties in the May 6 parliamentary elections and subsequent failure to form a government underscores the lack of public and political support for” the country’s bailout from the European Union and the International Monetary Fund, Fitch said in the statement.

Moody’s downgraded a swathe of Spanish banks:

Banco Santander (SAN) SA and Banco Bilbao Vizcaya Argentaria SA, Spain’s biggest lenders, were cut three levels by Moody’s Investors Service, which cited a recession and mounting loan losses in downgrading 16 of the nation’s banks.

Nine firms were cut three notches and seven were kept on review for further reductions, Moody’s said yesterday in a statement. Santander’s U.K.-based subsidiary also was cut.

The moves followed Moody’s May 14 downgrade of 26 Italian banks and its Feb. 13 cut of Spain’s sovereign debt. The main drivers for the Spanish bank downgrades were a surge in soured loans, the recession, restricted funding access and the reduced ability of the government to support lenders as its own creditworthiness diminishes, Moody’s said.

Nexen, proud issuer of NXY.PR.A was confirmed at Pfd-3 by DBRS:

DBRS has today confirmed the ratings of Nexen Inc.’s (Nexen or the Company) Long-Term Unsecured Debt at BBB, Subordinated Unsecured Notes at BBB (low) and Preferred Shares at Pfd-3, all with Stable trends. The rating confirmations reflect the Company’s adequate credit metrics and potential future reserve and production growth profile.

Nexen’s financial profile continued to improve in 2011 and Q1 2012, mainly attributable to top-of-cycle oil prices and execution on its aggressive debt reduction strategy. Nexen has used proceeds of asset sales to reduce its debt-to-capital ratio to 33% at March 31, 2012, down from 49% at year-end 2009. Nexen’s debt-to-cash flow ratios have decreased substantially, from 2.64 times (x) in 2010 to 1.93x in the 12 months ending March 31, 2012. Continued improvement will depend largely on Nexen’s ability to successfully ramp-up production at Long Lake, and to ensure reliability of production at Buzzard. Going forward, DBRS expects Nexen to continue to manage its debt levels in a manner consistent with its BBB rating category.

It was an uneventful day for the Canadian preferred share market,with PerpetualPremiums down 1bp, FixedResets up 4bp and DeemedRetractibles gaining 2bp. Lots of volatility, heavily skewed to the downside. Volume was average.

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 0.9444 % 2,498.8

FixedFloater 4.38 % 3.75 % 30,310 17.81 1 0.0924 % 3,596.1

Floater 2.89 % 2.91 % 55,079 19.92 3 0.9444 % 2,698.0

OpRet 4.78 % 2.75 % 52,878 1.08 5 0.0154 % 2,512.8

SplitShare 5.25 % -5.95 % 56,146 0.58 4 0.4516 % 2,717.6

Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0154 % 2,297.7

Perpetual-Premium 5.45 % 1.64 % 78,355 0.65 25 -0.0133 % 2,229.7

Perpetual-Discount 5.09 % 5.07 % 87,897 15.22 8 -0.0876 % 2,438.3

FixedReset 5.05 % 2.97 % 175,097 2.13 68 0.0396 % 2,400.7

Deemed-Retractible 4.95 % 3.49 % 177,181 0.99 45 0.0183 % 2,330.0

Performance Highlights

Issue Index Change Notes

HSE.PR.A FixedReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-17
Maturity Price : 23.43
Evaluated at bid price : 25.53
Bid-YTW : 3.26 %

PWF.PR.O Perpetual-Premium -1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 5.11 %

GWO.PR.I Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.64
Bid-YTW : 5.33 %

FTS.PR.F Perpetual-Premium -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-17
Maturity Price : 24.39
Evaluated at bid price : 24.72
Bid-YTW : 4.95 %

SLF.PR.H FixedReset -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 4.06 %

MFC.PR.C Deemed-Retractible -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.17
Bid-YTW : 5.46 %

TCA.PR.X Perpetual-Premium 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-15
Maturity Price : 50.00
Evaluated at bid price : 52.90
Bid-YTW : 1.64 %

TRP.PR.C FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-17
Maturity Price : 23.64
Evaluated at bid price : 26.22
Bid-YTW : 2.93 %

BNA.PR.E SplitShare 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 24.88
Bid-YTW : 4.92 %

BAM.PR.K Floater 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-17
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 2.88 %

Volume Highlights

Issue Index Shares
Traded Notes

TD.PR.I FixedReset 111,780 National crossed 100,000 at 26.89.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.89
Bid-YTW : 2.85 %

ENB.PR.H FixedReset 73,797 Nesbitt crossed 53,800 at 25.53.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-17
Maturity Price : 23.25
Evaluated at bid price : 25.50
Bid-YTW : 3.54 %

RY.PR.Y FixedReset 55,170 RBC crossed 23,100 at 26.86.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-11-24
Maturity Price : 25.00
Evaluated at bid price : 26.81
Bid-YTW : 3.07 %

ENB.PR.D FixedReset 46,991 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 3.67 %

HSB.PR.C Deemed-Retractible 41,878 Scotia crossed 16,600 at 25.75; RBC crossed 16,300 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-30
Maturity Price : 25.50
Evaluated at bid price : 25.80
Bid-YTW : 0.46 %

TD.PR.O Deemed-Retractible 39,365 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-16
Maturity Price : 25.75
Evaluated at bid price : 26.13
Bid-YTW : -10.21 %

There were 31 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights

Issue Index Quote Data and Yield Notes

BAM.PR.K Floater Quote: 18.34 – 19.00
Spot Rate : 0.6600
Average : 0.4667

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-17
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 2.88 %

TCA.PR.Y Perpetual-Premium Quote: 52.50 – 52.99
Spot Rate : 0.4900
Average : 0.3218

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-05
Maturity Price : 50.00
Evaluated at bid price : 52.50
Bid-YTW : 2.87 %

FTS.PR.F Perpetual-Premium Quote: 24.72 – 25.20
Spot Rate : 0.4800
Average : 0.3391

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-17
Maturity Price : 24.39
Evaluated at bid price : 24.72
Bid-YTW : 4.95 %

FTS.PR.E OpRet Quote: 26.65 – 27.12
Spot Rate : 0.4700
Average : 0.3302

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-06-01
Maturity Price : 25.75
Evaluated at bid price : 26.65
Bid-YTW : 1.20 %

IGM.PR.B Perpetual-Premium Quote: 25.73 – 26.30
Spot Rate : 0.5700
Average : 0.4311

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 5.45 %

RY.PR.H Deemed-Retractible Quote: 26.61 – 27.03
Spot Rate : 0.4200
Average : 0.2811

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-24
Maturity Price : 26.00
Evaluated at bid price : 26.61
Bid-YTW : 2.96 %

Read More
May 17, 2012
jiHymas
Comment on May 17, 2012

Market Action
May 16, 2012

There are fears the Greek bank run is accellerating:

Greek President Karolos Papoulias was told by the nation’s central bank chief that financial institutions are worried about their survival as Greeks pull out euros amid a deepening political crisis.

Central bank head George Provopoulos told Papoulias that Greeks have withdrawn as much as 700 million euros ($891 million) and the situation could worsen, according to the transcript of the president’s meeting with party leaders on May 14 that was published yesterday.
…
Banks in downtown in Athens were open as normal today with no signs of unusual activity. Deposits by businesses and households held in Greek banks stood at 165.4 billion euros in March, according to the last available data from the Bank of Greece. (TELL) In 2011, deposits declined 35.4 billion euros, or 17 percent.

The report of the Office of the Independent Police Review Director regarding police conduct during the G-20 has been released. In a nutshell (nut’s hell?) the police acted like maniacs. Unfortunately, Blair and his thugs still have jobs.

It was a mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 4bp, FixedResets losing 6bp and DeemedRetractibles down 2bp. Volatility was minor. Volume was well above average.

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 -0.7535 % 2,475.4

FixedFloater 4.39 % 3.75 % 30,604 17.81 1 0.6977 % 3,592.7

Floater 2.92 % 2.94 % 54,323 19.85 3 -0.7535 % 2,672.8

OpRet 4.78 % 2.49 % 54,983 1.09 5 0.1001 % 2,512.4

SplitShare 5.22 % -2.62 % 58,016 0.58 4 -0.4758 % 2,705.4

Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1001 % 2,297.3

Perpetual-Premium 5.45 % 2.47 % 72,527 0.13 25 0.0438 % 2,230.0

Perpetual-Discount 5.08 % 5.04 % 86,336 15.25 8 -0.2775 % 2,440.4

FixedReset 5.05 % 2.98 % 174,804 2.08 68 -0.0605 % 2,399.8

Deemed-Retractible 4.95 % 3.26 % 177,020 1.00 45 -0.0235 % 2,329.5

Performance Highlights

Issue Index Change Notes

FBS.PR.C SplitShare -1.74 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-12-15
Maturity Price : 10.00
Evaluated at bid price : 10.72
Bid-YTW : -5.93 %

BAM.PR.K Floater -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.94 %

MFC.PR.G FixedReset -1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.32 %

Volume Highlights

Issue Index Shares
Traded Notes

RY.PR.X FixedReset 102,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.81
Bid-YTW : 2.90 %

ENB.PR.D FixedReset 98,349 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 3.69 %

TD.PR.K FixedReset 95,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 2.83 %

BAM.PR.B Floater 89,778 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.94 %

TRP.PR.A FixedReset 83,997 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 3.18 %

BMO.PR.J Deemed-Retractible 65,040 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-15
Maturity Price : 26.00
Evaluated at bid price : 26.20
Bid-YTW : -6.21 %

There were 41 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights

Issue Index Quote Data and Yield Notes

BAM.PR.B Floater Quote: 18.00 – 18.35
Spot Rate : 0.3500
Average : 0.2546

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.94 %

BAM.PR.K Floater Quote: 18.00 – 18.35
Spot Rate : 0.3500
Average : 0.2548

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.94 %

BAM.PR.Z FixedReset Quote: 25.90 – 26.18
Spot Rate : 0.2800
Average : 0.1923

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.22 %

BNA.PR.D SplitShare Quote: 26.55 – 26.75
Spot Rate : 0.2000
Average : 0.1366

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-15
Maturity Price : 26.00
Evaluated at bid price : 26.55
Bid-YTW : -2.62 %

CU.PR.A Perpetual-Premium Quote: 25.52 – 25.70
Spot Rate : 0.1800
Average : 0.1166

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-15
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : -21.16 %

ELF.PR.F Perpetual-Discount Quote: 24.66 – 24.96
Spot Rate : 0.3000
Average : 0.2438

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-16
Maturity Price : 24.35
Evaluated at bid price : 24.66
Bid-YTW : 5.42 %

Read More
May 17, 2012
jiHymas
Comment on May 16, 2012

Market Action
May 15, 2012

There will be new elections in Greece:

Greece will hold new elections after President Karolos Papoulias failed to broker a governing coalition following an inconclusive May 6 vote, raising concern it may exit the euro. The currency and euro-area stocks fell.

“The country is once again headed to elections in a few days under adverse conditions,” Evangelos Venizelos, the leader of the socialist Pasok party said. “The Greek people told us they didn’t want elections but a coalition government, that they want Greece in the euro.”
…
Greece’s political impasse means the new vote will have to be held as early as next month, with polls showing that could boost the anti-bailout Syriza party to the top spot. The country may run out of money by early July.

If the Greeks are playing good cop bad cop, it’s working:

German Chancellor Angela Merkel and French President Francois Hollande said they would consider measures to spur economic growth in Greece as long as voters there committed to the austerity demanded to stay in the euro.

Requests for measures to bolster growth will be “considered” and the European Union may also “approach Greece with proposals,” Merkel said late yesterday at a joint press conference with Hollande during his first official visit to Berlin. “Greece can stay in the euro area,” and “Greek citizens will be voting on exactly that.”

Smoke and mirrors? I wouldn’t be surprised.

All the fuss about Greece has me thinking … much the same sort of thing applies to Canadian provinces. They, too, can borrow cheaply with a generally narrow spread off Canadas; they, too, do not have the ability to devalue their currency. What would happen if Quebec – just to pick a provincial name at random – were to start to drown under its own debt? What then?

It was a negative day for the Canadian preferred share market, with PerpetualPremiums down 5bp and both FixedResets and DeemedRetractibles losing 9bp. Volatility was muted. It was Enbridge Day as far as blocks were concerned, but otherwise volume was below average.

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 0.5173 % 2,494.2

FixedFloater 4.42 % 3.79 % 29,542 17.76 1 0.7026 % 3,567.8

Floater 2.89 % 2.91 % 53,372 19.91 3 0.5173 % 2,693.1

OpRet 4.78 % 2.71 % 55,865 1.09 5 0.0283 % 2,509.9

SplitShare 5.20 % -2.84 % 60,268 0.59 4 0.8309 % 2,718.3

Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0283 % 2,295.0

Perpetual-Premium 5.45 % 2.54 % 71,934 0.13 25 -0.0522 % 2,229.1

Perpetual-Discount 5.07 % 5.05 % 86,083 15.31 8 -0.2665 % 2,447.2

FixedReset 5.05 % 3.01 % 175,619 2.13 68 -0.0889 % 2,401.2

Deemed-Retractible 4.95 % 3.56 % 177,064 2.75 45 -0.0912 % 2,330.1

Performance Highlights

Issue Index Change Notes

BAM.PR.N Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-15
Maturity Price : 23.23
Evaluated at bid price : 23.70
Bid-YTW : 5.05 %

IAG.PR.C FixedReset 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 2.77 %

BAM.PR.K Floater 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-15
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 2.90 %

FBS.PR.C SplitShare 2.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-12-15
Maturity Price : 10.00
Evaluated at bid price : 10.91
Bid-YTW : -8.83 %

Volume Highlights

Issue Index Shares
Traded Notes

ENB.PR.H FixedReset 89,430 RBC crossed 41,000 at 25.40.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-15
Maturity Price : 23.20
Evaluated at bid price : 25.33
Bid-YTW : 3.57 %

ENB.PR.F FixedReset 62,106 RBC crossed 24,100 at 25.40.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.72 %

ENB.PR.B FixedReset 50,550 TD crossed two blocks of 10,000 each, both at 25.40.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.67 %

ENB.PR.D FixedReset 37,647 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-15
Maturity Price : 23.23
Evaluated at bid price : 25.35
Bid-YTW : 3.71 %

BNS.PR.Z FixedReset 36,083 Desjardins crossed 10,000 at 25.00.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 3.21 %

PWF.PR.P FixedReset 35,700 RBC crossed 34,200 at 25.65.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-15
Maturity Price : 23.44
Evaluated at bid price : 25.50
Bid-YTW : 3.13 %

There were 26 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights

Issue Index Quote Data and Yield Notes

FTS.PR.C OpRet Quote: 25.40 – 25.80
Spot Rate : 0.4000
Average : 0.2484

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-07-01
Maturity Price : 25.25
Evaluated at bid price : 25.40
Bid-YTW : -1.16 %

IGM.PR.B Perpetual-Premium Quote: 25.56 – 26.00
Spot Rate : 0.4400
Average : 0.3323

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 5.57 %

MFC.PR.C Deemed-Retractible Quote: 23.52 – 23.75
Spot Rate : 0.2300
Average : 0.1403

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.52
Bid-YTW : 5.26 %

POW.PR.C Perpetual-Premium Quote: 25.46 – 25.72
Spot Rate : 0.2600
Average : 0.1832

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : -10.37 %

BNS.PR.T FixedReset Quote: 26.70 – 26.96
Spot Rate : 0.2600
Average : 0.1888

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 2.80 %

PWF.PR.P FixedReset Quote: 25.50 – 25.75
Spot Rate : 0.2500
Average : 0.1888

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-15
Maturity Price : 23.44
Evaluated at bid price : 25.50
Bid-YTW : 3.13 %

Read More
May 16, 2012
jiHymas
Comment on May 15, 2012

Market Action
May 14, 2012

Having destroyed Europe, the politicians are working on banking:

Banks may face tougher bonus curbs including a ban on awards stemming from carry-trade profits on cheap European Central Bank loans under proposed changes to a law on Basel capital rules endorsed by European Union lawmakers.

Lenders should also be forbidden from giving staff bonus awards that exceed fixed salaries, in the proposals approved by members of the European Parliament’s economic and monetary affairs committee in Brussels today. The amendments will be part of the EU assembly’s negotiation position in talks with governments on the legislation.

It was a mixed day for the Canadian preferred share market, with PerpetualPremiums losing 11bp, FixedResets off 8bp and DeemedRetractibles gaining 2bp. Volatility was good, with no clear trend. Volume was extremely 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 0.3336 % 2,481.3

FixedFloater 4.45 % 3.82 % 28,991 17.70 1 -0.8821 % 3,543.0

Floater 2.91 % 2.93 % 53,651 19.87 3 0.3336 % 2,679.2

OpRet 4.76 % 2.79 % 53,815 1.09 5 0.1305 % 2,509.2

SplitShare 5.24 % 3.87 % 62,537 0.59 4 -0.1235 % 2,695.9

Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1305 % 2,294.4

Perpetual-Premium 5.45 % 2.59 % 72,438 0.14 25 -0.1062 % 2,230.2

Perpetual-Discount 5.06 % 5.01 % 158,276 15.38 8 -0.1126 % 2,453.7

FixedReset 5.04 % 2.94 % 175,554 2.09 68 -0.0778 % 2,403.4

Deemed-Retractible 4.94 % 3.41 % 177,768 1.40 45 0.0235 % 2,332.2

Performance Highlights

Issue Index Change Notes

BAM.PR.M Perpetual-Discount -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-14
Maturity Price : 23.36
Evaluated at bid price : 23.63
Bid-YTW : 5.08 %

IGM.PR.B Perpetual-Premium -1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 5.60 %

SLF.PR.I FixedReset -1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 3.98 %

BAM.PR.B Floater 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-14
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 2.92 %

ELF.PR.F Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-14
Maturity Price : 24.55
Evaluated at bid price : 24.85
Bid-YTW : 5.38 %

IAG.PR.E Deemed-Retractible 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 5.44 %

Volume Highlights

Issue Index Shares
Traded Notes

FTS.PR.C OpRet 115,865 National crossed 107,900 at 25.60.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-07-01
Maturity Price : 25.25
Evaluated at bid price : 25.61
Bid-YTW : 2.79 %

RY.PR.B Deemed-Retractible 56,732 Desjardins crossed 40,200 at 26.00.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-08-24
Maturity Price : 25.75
Evaluated at bid price : 25.92
Bid-YTW : 1.74 %

BMO.PR.J Deemed-Retractible 56,604 Desjardins crossed 45,200 at 26.20.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-13
Maturity Price : 26.00
Evaluated at bid price : 26.06
Bid-YTW : -0.07 %

TD.PR.G FixedReset 50,064 Nesbitt crossed 40,000 at 26.80.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.76
Bid-YTW : 2.68 %

BMO.PR.Q FixedReset 39,469 Nesbitt sold 19,000 to anonymous at 25.60.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 2.91 %

ENB.PR.F FixedReset 36,633 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.72 %

There were 14 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights

Issue Index Quote Data and Yield Notes

FBS.PR.C SplitShare Quote: 10.69 – 11.88
Spot Rate : 1.1900
Average : 0.7170

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-12-15
Maturity Price : 10.00
Evaluated at bid price : 10.69
Bid-YTW : -5.40 %

PWF.PR.O Perpetual-Premium Quote: 26.20 – 26.52
Spot Rate : 0.3200
Average : 0.2190

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 5.00 %

MFC.PR.H FixedReset Quote: 25.60 – 25.81
Spot Rate : 0.2100
Average : 0.1324

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.31 %

BAM.PR.M Perpetual-Discount Quote: 23.63 – 23.97
Spot Rate : 0.3400
Average : 0.2708

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-05-14
Maturity Price : 23.36
Evaluated at bid price : 23.63
Bid-YTW : 5.08 %

IGM.PR.B Perpetual-Premium Quote: 25.52 – 25.80
Spot Rate : 0.2800
Average : 0.2142

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 5.60 %

BMO.PR.H Deemed-Retractible Quote: 25.69 – 25.85
Spot Rate : 0.1600
Average : 0.1039

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : 1.53 %

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May 14, 2012
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