February 28, 2011

No commentary today! Too much going on!

A mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 6bp, FixedResets up 15bp and DeemedRetractibes taking a 15bp loss. Volume was very heavy.

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 -0.1073 % 2,388.5
FixedFloater 4.74 % 3.46 % 15,165 19.08 1 0.0000 % 3,592.3
Floater 2.51 % 2.27 % 48,078 21.55 4 -0.1073 % 2,578.9
OpRet 4.83 % 3.94 % 84,886 2.18 8 -0.1400 % 2,388.5
SplitShare 5.14 % 3.81 % 242,316 1.05 5 -0.9717 % 2,462.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1400 % 2,184.0
Perpetual-Premium 5.75 % 5.54 % 123,016 1.28 9 -0.1014 % 2,032.7
Perpetual-Discount 5.54 % 5.62 % 130,659 14.40 15 0.0622 % 2,113.2
FixedReset 5.21 % 3.55 % 197,166 3.00 54 0.1478 % 2,277.4
Deemed-Retractible 5.22 % 5.22 % 386,079 8.24 53 -0.1473 % 2,081.4
Performance Highlights
Issue Index Change Notes
BNA.PR.E SplitShare -4.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 23.61
Bid-YTW : 5.87 %
TRP.PR.B FixedReset -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-02-28
Maturity Price : 24.52
Evaluated at bid price : 24.57
Bid-YTW : 3.99 %
IAG.PR.E Deemed-Retractible -1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-30
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 5.70 %
SLF.PR.A Deemed-Retractible -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 5.75 %
SLF.PR.D Deemed-Retractible -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.95
Bid-YTW : 5.97 %
IAG.PR.A Deemed-Retractible -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.45
Bid-YTW : 5.86 %
SLF.PR.F FixedReset 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-30
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.51 %
SLF.PR.G FixedReset 1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-07-30
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
ALB.PR.B SplitShare 122,044 New issue settled today.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-03-29
Maturity Price : 21.80
Evaluated at bid price : 21.90
Bid-YTW : 3.81 %
TCA.PR.X Perpetual-Premium 112,018 RBC crossed 100,000 at 50.29.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-02-28
Maturity Price : 46.93
Evaluated at bid price : 50.20
Bid-YTW : 5.56 %
NA.PR.P FixedReset 81,767 Issuer bid
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-17
Maturity Price : 25.00
Evaluated at bid price : 28.30
Bid-YTW : 2.26 %
CM.PR.H Deemed-Retractible 55,944 TD crossed 22,400 at 24.42.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.17 %
BMO.PR.N FixedReset 52,175 TD bought 20,000 from Nesbitt at 27.30, then crossed 25,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-27
Maturity Price : 25.00
Evaluated at bid price : 27.31
Bid-YTW : 3.35 %
BMO.PR.P FixedReset 52,066 Desjardins bought 10,000 from Nesbit at 26.67.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-03-27
Maturity Price : 25.00
Evaluated at bid price : 26.68
Bid-YTW : 3.63 %
There were 60 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNA.PR.E SplitShare Quote: 23.61 – 24.50
Spot Rate : 0.8900
Average : 0.5879

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 23.61
Bid-YTW : 5.87 %

SLF.PR.A Deemed-Retractible Quote: 22.95 – 23.37
Spot Rate : 0.4200
Average : 0.2576

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 5.75 %

BAM.PR.I OpRet Quote: 25.50 – 25.95
Spot Rate : 0.4500
Average : 0.3070

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-07-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.71 %

IAG.PR.A Deemed-Retractible Quote: 22.45 – 22.83
Spot Rate : 0.3800
Average : 0.2713

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.45
Bid-YTW : 5.86 %

TD.PR.M OpRet Quote: 25.61 – 25.89
Spot Rate : 0.2800
Average : 0.1792

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-05-30
Maturity Price : 25.25
Evaluated at bid price : 25.61
Bid-YTW : 3.80 %

BAM.PR.P FixedReset Quote: 27.51 – 27.84
Spot Rate : 0.3300
Average : 0.2451

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-10-30
Maturity Price : 25.00
Evaluated at bid price : 27.51
Bid-YTW : 4.39 %

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