March 26, 2010

OSFI published its Report on Plans and Priorities today. I continue to be amused by their performance targets: under the programme target “Accurate risk assessments”, they set a target of 70% for “Percentage of knowledgeable observers who agree that their institution’s Composite Risk Rating is appropriate.”. “Knowledgeable observers” are defined as “Senior Executives and professionals who act on behalf of federally regulated financial institutions.” Sounds pretty cosy! Don’t hold your breath waiting for a politician to ask any questions – that would screw up their chances of post-public-servant employment.

Heavy volume AGAIN, PerpetualDiscounts down AGAIN (this time 20bp) and FixedResets up AGAIN – this time by 11bp, taking the median average weighted YTW down to a new low of 3.31%. Good volatility.

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 2.64 % 2.70 % 59,650 20.71 1 -1.1111 % 2,089.9
FixedFloater 4.91 % 3.03 % 50,245 20.14 1 0.6818 % 3,220.2
Floater 1.92 % 1.69 % 47,803 23.35 4 0.8467 % 2,407.5
OpRet 4.84 % 3.27 % 109,942 0.66 12 -0.0420 % 2,312.1
SplitShare 6.36 % 4.38 % 136,088 0.08 2 0.0878 % 2,146.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0420 % 2,114.2
Perpetual-Premium 5.95 % 6.02 % 119,349 13.72 7 0.0172 % 1,871.8
Perpetual-Discount 6.00 % 6.02 % 185,230 13.85 71 -0.2006 % 1,763.7
FixedReset 5.33 % 3.31 % 349,799 3.67 43 0.1075 % 2,214.5
Performance Highlights
Issue Index Change Notes
TD.PR.R Perpetual-Discount -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-03-26
Maturity Price : 23.47
Evaluated at bid price : 23.66
Bid-YTW : 6.02 %
CM.PR.D Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-03-26
Maturity Price : 23.48
Evaluated at bid price : 23.82
Bid-YTW : 6.02 %
BMO.PR.J Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-03-26
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.82 %
BMO.PR.H Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-03-26
Maturity Price : 22.34
Evaluated at bid price : 22.85
Bid-YTW : 5.85 %
TD.PR.Q Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-03-26
Maturity Price : 23.70
Evaluated at bid price : 23.90
Bid-YTW : 5.95 %
BAM.PR.E Ratchet -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-03-26
Maturity Price : 21.75
Evaluated at bid price : 21.36
Bid-YTW : 2.70 %
BAM.PR.N Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-03-26
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.93 %
CM.PR.J Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-03-26
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 6.02 %
GWO.PR.H Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-03-26
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.10 %
GWO.PR.I Perpetual-Discount 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-03-26
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.01 %
PWF.PR.A Floater 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-03-26
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 1.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRI.PR.B Floater 152,760 Recently highlighted as somewhat comparable to TRI’s USD bond issue. Nesbitt crossed 150,000 at 24.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-03-26
Maturity Price : 23.71
Evaluated at bid price : 23.98
Bid-YTW : 1.61 %
MFC.PR.C Perpetual-Discount 86,240 RBC crossed 44,800 at 18.50. Nesbitt crossed 25,000 at 18.42.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-03-26
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 6.18 %
BNS.PR.T FixedReset 83,544 Desjardins crossed 20,000 at 28.40; CIBC bought 32,000 from National at 28.36. RBC crossed 13,500 at 28.36.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 28.37
Bid-YTW : 3.09 %
RY.PR.P FixedReset 79,248 National crossed 50,000 at 28.24.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 28.20
Bid-YTW : 3.02 %
MFC.PR.D FixedReset 75,095 National crossed 50,000 at 28.10.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-19
Maturity Price : 25.00
Evaluated at bid price : 28.12
Bid-YTW : 3.54 %
BMO.PR.O FixedReset 74,353 CIBC bought 13,500 from anonymous at 28.50; then another 17,600 from National at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-24
Maturity Price : 25.00
Evaluated at bid price : 28.45
Bid-YTW : 3.20 %
There were 52 other index-included issues trading in excess of 10,000 shares.

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