March 20, 2012

First day of Spring! I was too busy planning the sacred rites that will help my garden grow to pay much attention to the news. Sorry!

The Canadian preferred share market got knocked down today, with PerpetualPremiums down 13bp, FixedResets losing 32bp and DeemedRetractibls off 19bp. The Performance Highlights table was appropriately long and uniformly negative, with BAM and SLF issues conspicuous amongst the losers. Volume leapt upwards, to above average levels.

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 -2.2334 % 2,408.0
FixedFloater 4.56 % 3.95 % 38,350 17.35 1 -0.4304 % 3,417.4
Floater 3.00 % 2.98 % 47,664 19.77 3 -2.2334 % 2,600.0
OpRet 4.95 % 3.44 % 51,875 1.93 6 -0.6044 % 2,489.3
SplitShare 5.28 % -3.80 % 84,501 0.74 4 -0.1940 % 2,675.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.6044 % 2,276.2
Perpetual-Premium 5.41 % 0.38 % 99,801 0.12 25 -0.1293 % 2,212.2
Perpetual-Discount 5.12 % 5.10 % 188,892 15.24 7 -0.3011 % 2,413.7
FixedReset 5.06 % 3.14 % 193,208 2.21 67 -0.3151 % 2,377.7
Deemed-Retractible 4.96 % 3.98 % 212,798 3.09 46 -0.1853 % 2,297.4
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-20
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.01 %
BAM.PR.B Floater -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-20
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 2.98 %
BAM.PR.K Floater -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-20
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 2.98 %
SLF.PR.E Deemed-Retractible -1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.69
Bid-YTW : 5.75 %
SLF.PR.C Deemed-Retractible -1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 5.81 %
BAM.PR.M Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-20
Maturity Price : 22.84
Evaluated at bid price : 23.28
Bid-YTW : 5.10 %
BAM.PR.P FixedReset -1.48 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-30
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 4.33 %
FTS.PR.E OpRet -1.40 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2016-08-31
Maturity Price : 25.00
Evaluated at bid price : 26.03
Bid-YTW : 3.97 %
NA.PR.P FixedReset -1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-15
Maturity Price : 25.00
Evaluated at bid price : 26.81
Bid-YTW : 3.03 %
SLF.PR.D Deemed-Retractible -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.58
Bid-YTW : 5.76 %
BMO.PR.Q FixedReset -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.08 %
BNA.PR.E SplitShare -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.41 %
HSB.PR.D Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 4.89 %
BAM.PR.Z FixedReset -1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 4.46 %
BNS.PR.R FixedReset -1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.97
Bid-YTW : 3.22 %
Volume Highlights
Issue Index Shares
Traded
Notes
ENB.PR.F FixedReset 191,679 Desjardins crossed 38,600 at 25.45.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.93 %
BAM.PF.A FixedReset 172,710 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-20
Maturity Price : 23.07
Evaluated at bid price : 24.93
Bid-YTW : 4.46 %
TD.PR.S FixedReset 91,983 Desjardins crossed blocks of 45,000 and 44,900 shares, both at 26.00.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.91
Bid-YTW : 2.79 %
FTS.PR.F Perpetual-Premium 90,150 Desjardins crossed blocks of 21,900 at 25.40 and 57,000 at 25.43.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-01
Maturity Price : 25.25
Evaluated at bid price : 25.36
Bid-YTW : 4.80 %
NA.PR.K Deemed-Retractible 57,723 RBC crossed 23,400 at 25.57; Desjardins crossed 20,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : -4.05 %
CM.PR.J Deemed-Retractible 48,582 CIBC crossed 12,000 at 26.23.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-04-30
Maturity Price : 26.00
Evaluated at bid price : 26.23
Bid-YTW : 1.71 %
There were 42 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.E OpRet Quote: 26.03 – 26.74
Spot Rate : 0.7100
Average : 0.4565

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2016-08-31
Maturity Price : 25.00
Evaluated at bid price : 26.03
Bid-YTW : 3.97 %

SLF.PR.H FixedReset Quote: 24.00 – 24.32
Spot Rate : 0.3200
Average : 0.2199

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 4.37 %

RY.PR.C Deemed-Retractible Quote: 25.56 – 25.85
Spot Rate : 0.2900
Average : 0.1998

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.06 %

BAM.PR.C Floater Quote: 17.40 – 17.70
Spot Rate : 0.3000
Average : 0.2276

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-20
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.01 %

NA.PR.O FixedReset Quote: 26.91 – 27.14
Spot Rate : 0.2300
Average : 0.1659

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-15
Maturity Price : 25.00
Evaluated at bid price : 26.91
Bid-YTW : 2.82 %

RY.PR.B Deemed-Retractible Quote: 25.70 – 25.89
Spot Rate : 0.1900
Average : 0.1275

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.95 %

Leave a Reply

You must be logged in to post a comment.