{"id":17593,"date":"2012-01-17T23:21:53","date_gmt":"2012-01-18T03:21:53","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=17593"},"modified":"2012-01-17T23:21:53","modified_gmt":"2012-01-18T03:21:53","slug":"january-17-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=17593","title":{"rendered":"January 17, 2012"},"content":{"rendered":"

DBRS has released<\/a> their Split Share Funds Quarterly Report \u2013 Q4 2011<\/a>:<\/p>\n

Of the 34 split share unique issuers currently rated by DBRS, 19 experienced losses in net asset value (NAV) in Q4 2011, with the average NAV declining approximately 0.4% over the quarter. Funds with exposure to Canadian life insurance companies experienced the heaviest losses, while the biggest gainers were the more diversified funds with holdings in Canadian banks and energy companies. DBRS confirmed the ratings on six preferred shares issued by five split share companies and trusts and downgraded the rating on one preferred share in the fourth quarter. The rating confirmations were based on the performance and structural features of the issuers, which benefi t the preferred shares. Other key rating factors include the credit quality and diversifi cation of each portfolio, the amount of distributions paid to the holders of capital shares, and the expected maturity date of the preferred shares of each issuer.<\/p><\/blockquote>\n

It was a strong day on the Canadian preferred share market, with PerpetualDiscounts up 12bp, FixedResets gaining 16bp and DeemedRetractibles winning 27bp on the basis of good performance from insurance issues, which dominated the good part of the Performance Highlights table. Volume was quite good.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1645 %<\/td>\n2,317.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.73 %<\/td>\n4.09 %<\/td>\n42,312<\/td>\n17.24<\/td>\n1<\/td>\n0.5000 %<\/td>\n3,299.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.87 %<\/td>\n3.02 %<\/td>\n68,824<\/td>\n19.69<\/td>\n3<\/td>\n0.1645 %<\/td>\n2,501.8<\/td>\n<\/tr>\n
OpRet<\/td>\n4.96 %<\/td>\n1.52 %<\/td>\n63,975<\/td>\n1.32<\/td>\n7<\/td>\n0.0660 %<\/td>\n2,492.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.36 %<\/td>\n0.69 %<\/td>\n66,577<\/td>\n0.89<\/td>\n4<\/td>\n0.1925 %<\/td>\n2,610.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0660 %<\/td>\n2,278.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.41 %<\/td>\n-10.64 %<\/td>\n88,768<\/td>\n0.09<\/td>\n23<\/td>\n0.2642 %<\/td>\n2,210.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.06 %<\/td>\n4.92 %<\/td>\n146,407<\/td>\n14.67<\/td>\n7<\/td>\n0.1187 %<\/td>\n2,396.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.05 %<\/td>\n2.80 %<\/td>\n204,760<\/td>\n2.37<\/td>\n64<\/td>\n0.1582 %<\/td>\n2,379.3<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.91 %<\/td>\n3.55 %<\/td>\n190,211<\/td>\n1.71<\/td>\n46<\/td>\n0.2706 %<\/td>\n2,296.3<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\n-1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.40
\nBid-YTW : 5.22 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-17
\nMaturity Price : 24.45
\nEvaluated at bid price : 24.74
\nBid-YTW : 4.69 %<\/td>\n<\/tr>\n
MFC.PR.A<\/td>\nOpRet<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2015-12-18
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.70
\nBid-YTW : 3.44 %<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetual-Premium<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.65
\nBid-YTW : 2.75 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.65
\nBid-YTW : 3.46 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nDeemed-Retractible<\/td>\n1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.55
\nBid-YTW : 5.49 %<\/td>\n<\/tr>\n
IGM.PR.B<\/td>\nPerpetual-Premium<\/td>\n1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.63
\nBid-YTW : 4.74 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\n2.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.27
\nBid-YTW : 5.48 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nDeemed-Retractible<\/td>\n2.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.18
\nBid-YTW : 4.97 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
BMO.PR.Q<\/td>\nFixedReset<\/td>\n122,977<\/td>\nScotia cossed 81,000 at 25.92.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.92
\nBid-YTW : 2.78 %<\/td>\n<\/tr>\n
ENB.PR.D<\/td>\nFixedReset<\/td>\n81,021<\/td>\nNesbitt crossed 30,000 at 25.40.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-17
\nMaturity Price : 23.22
\nEvaluated at bid price : 25.37
\nBid-YTW : 3.56 %<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nDeemed-Retractible<\/td>\n70,707<\/td>\nCalled for redemption<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-01-31
\nMaturity Price : 25.75
\nEvaluated at bid price : 25.97
\nBid-YTW : 3.56 %<\/td>\n<\/tr>\n
CM.PR.G<\/td>\nPerpetual-Premium<\/td>\n62,055<\/td>\nRBC crossed 36,800 at 25.58.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-05-01
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.55
\nBid-YTW : 3.86 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n57,143<\/td>\nDesjardins crossed blocks of 24,700 and 12,500 at 25.95.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-17
\nMaturity Price : 23.50
\nEvaluated at bid price : 25.90
\nBid-YTW : 2.97 %<\/td>\n<\/tr>\n
SLF.PR.I<\/td>\nFixedReset<\/td>\n46,193<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.90
\nBid-YTW : 4.27 %<\/td>\n<\/tr>\n
There were 40 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
CM.PR.K<\/td>\nFixedReset<\/td>\nQuote: 26.45 – 26.90
\nSpot Rate : 0.4500
\nAverage : 0.2879<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.45
\nBid-YTW : 2.90 %<\/td>\n<\/tr>\n

ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.79 – 24.34
\nSpot Rate : 0.5500
\nAverage : 0.3955<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-17
\nMaturity Price : 23.33
\nEvaluated at bid price : 23.79
\nBid-YTW : 5.58 %<\/td>\n<\/tr>\n

TCA.PR.X<\/td>\nPerpetual-Premium<\/td>\nQuote: 52.44 – 52.98
\nSpot Rate : 0.5400
\nAverage : 0.3954<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-15
\nMaturity Price : 50.00
\nEvaluated at bid price : 52.44
\nBid-YTW : 2.61 %<\/td>\n<\/tr>\n

FTS.PR.C<\/td>\nOpRet<\/td>\nQuote: 25.90 – 26.47
\nSpot Rate : 0.5700
\nAverage : 0.4259<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-02-16
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.90
\nBid-YTW : -5.24 %<\/td>\n<\/tr>\n

CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.74 – 25.18
\nSpot Rate : 0.4400
\nAverage : 0.2966<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-17
\nMaturity Price : 24.45
\nEvaluated at bid price : 24.74
\nBid-YTW : 4.69 %<\/td>\n<\/tr>\n

POW.PR.D<\/td>\nPerpetual-Discount<\/td>\nQuote: 25.10 – 25.40
\nSpot Rate : 0.3000
\nAverage : 0.2008<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-10-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.10
\nBid-YTW : 4.89 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

DBRS has released their Split Share Funds Quarterly Report \u2013 Q4 2011: Of the 34 split share unique issuers currently rated by DBRS, 19 experienced losses in net asset value (NAV) in Q4 2011, with …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-17593","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17593","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=17593"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17593\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=17593"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=17593"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=17593"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}