March 21, 2011

No commentary today – sorry!

It was a strong day on the Canadian preferred share market, with PerpetualDiscounts gaining 16bp, FixedResets up 10bp and DeemedRetractibles winning 20bp. Volume was light – most investors (other than myself, of course) being too busy dancing naked in lascivious spring rites. Why don’t I ever get invited?

To my astonishment, not only did BMO.PR.J not crash heavily to earth after Friday’s fireworks, but it again topped the list of Performance Highlights! It now looks even more expensive and there is the possibility that there is more behind the story than a simple fat-finger or algo-gone-wild. A short squeeze, maybe? Unlikely, I know, but what else is there? A point against the short-squeeze story is that today’s buying – of 13,941 shares – was broadly based, with RBC taking the largest share with 4,005 shares. Friday’s buyer, Desjardins, bought 2,618 shares. It’s all very peculiar, but living in PreferredShareLand is a little like being the White Queen in Through the Looking Glass – one sometimes see six preposterous things before breakfast.

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 0.0845 % 2,374.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0845 % 3,570.8
Floater 2.53 % 2.35 % 47,509 21.38 4 0.0845 % 2,563.5
OpRet 4.90 % 3.70 % 52,876 1.15 9 0.1599 % 2,394.8
SplitShare 5.11 % 3.25 % 155,387 1.00 5 -0.0038 % 2,474.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1599 % 2,189.8
Perpetual-Premium 5.74 % 5.60 % 137,236 6.21 10 0.0675 % 2,033.7
Perpetual-Discount 5.51 % 5.55 % 121,638 14.37 14 0.1581 % 2,120.4
FixedReset 5.17 % 3.54 % 245,446 2.95 57 0.1017 % 2,277.5
Deemed-Retractible 5.23 % 5.21 % 344,987 8.28 53 0.1962 % 2,082.3
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-03-21
Maturity Price : 25.10
Evaluated at bid price : 25.15
Bid-YTW : 4.95 %
IAG.PR.A Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 6.09 %
CM.PR.H Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.03 %
RY.PR.A Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.62
Bid-YTW : 5.19 %
BAM.PR.J OpRet 1.20 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 4.59 %
BMO.PR.J Deemed-Retractible 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 4.78 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSE.PR.A FixedReset 104,718 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-03-21
Maturity Price : 24.80
Evaluated at bid price : 24.85
Bid-YTW : 4.32 %
RY.PR.I FixedReset 80,264 Nesbitt crossed 75,000 at 26.20.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.53 %
BMO.PR.Q FixedReset 63,150 Scotia bought 10,000 from anonymous at 24.73; Nesbitt crossed 12,100 at 24.77.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.76
Bid-YTW : 3.91 %
TRP.PR.B FixedReset 59,416 Desjardins crossed 45,000 at 25.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-03-21
Maturity Price : 24.89
Evaluated at bid price : 24.94
Bid-YTW : 3.83 %
TRP.PR.C FixedReset 56,128 Desjardins crossed 45,000 at 25.49.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.09 %
NA.PR.O FixedReset 41,359 Issuer bid.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-17
Maturity Price : 25.00
Evaluated at bid price : 28.30
Bid-YTW : 2.28 %
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.R FixedReset Quote: 25.15 – 26.11
Spot Rate : 0.9600
Average : 0.5791

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-03-21
Maturity Price : 25.10
Evaluated at bid price : 25.15
Bid-YTW : 4.95 %

TRI.PR.B Floater Quote: 22.90 – 23.75
Spot Rate : 0.8500
Average : 0.7032

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-03-21
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 2.26 %

GWO.PR.H Deemed-Retractible Quote: 23.20 – 23.48
Spot Rate : 0.2800
Average : 0.1973

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 5.77 %

PWF.PR.L Perpetual-Discount Quote: 23.75 – 24.12
Spot Rate : 0.3700
Average : 0.2982

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-03-21
Maturity Price : 23.52
Evaluated at bid price : 23.75
Bid-YTW : 5.44 %

BNS.PR.Z FixedReset Quote: 24.27 – 24.90
Spot Rate : 0.6300
Average : 0.5684

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.27
Bid-YTW : 4.17 %

HSB.PR.D Deemed-Retractible Quote: 23.91 – 24.17
Spot Rate : 0.2600
Average : 0.2002

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 5.55 %

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