January 3, 2012

Nothing happened today.

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts roaring ahead 34bp, while FixedResets were down 4bp and DeemedRetractibles gained 8bp. Volatility was quite good, with Floaters doing particularly well. Volume continued to be abyssmally low.

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 2.5051 % 2,145.7
FixedFloater 4.85 % 4.53 % 38,039 17.36 1 0.5128 % 3,179.4
Floater 3.10 % 3.37 % 67,834 18.85 3 2.5051 % 2,316.8
OpRet 5.02 % 3.87 % 66,519 1.36 7 -0.3713 % 2,461.4
SplitShare 5.44 % 1.71 % 70,787 0.93 4 -0.0821 % 2,570.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3713 % 2,250.7
Perpetual-Premium 5.43 % -3.89 % 88,898 0.09 23 0.2054 % 2,194.6
Perpetual-Discount 5.18 % 5.12 % 137,518 15.27 7 0.3412 % 2,336.0
FixedReset 5.08 % 2.91 % 203,530 2.39 64 -0.0424 % 2,358.9
Deemed-Retractible 4.99 % 3.55 % 184,520 1.89 46 0.0785 % 2,256.4
Performance Highlights
Issue Index Change Notes
BAM.PR.I OpRet -2.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 5.44 %
CM.PR.M FixedReset -1.37 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 27.27
Bid-YTW : 2.66 %
GWO.PR.N FixedReset -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.16
Bid-YTW : 3.94 %
MFC.PR.C Deemed-Retractible -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 6.53 %
BAM.PR.P FixedReset -1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-30
Maturity Price : 25.00
Evaluated at bid price : 27.07
Bid-YTW : 3.84 %
SLF.PR.B Deemed-Retractible 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.45
Bid-YTW : 6.22 %
PWF.PR.K Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-01-03
Maturity Price : 24.22
Evaluated at bid price : 24.70
Bid-YTW : 5.07 %
SLF.PR.I FixedReset 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 4.53 %
PWF.PR.A Floater 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-01-03
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 2.68 %
BAM.PR.B Floater 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-01-03
Maturity Price : 15.64
Evaluated at bid price : 15.64
Bid-YTW : 3.37 %
BAM.PR.K Floater 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-01-03
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.44 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.I Perpetual-Premium 75,403 Desjardins crossed 25,000 at 25.95; RBC crossed 50,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-02-02
Maturity Price : 25.25
Evaluated at bid price : 25.94
Bid-YTW : -14.17 %
BAM.PR.O OpRet 52,156 RBC crossed 50,000 at 25.50.
YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 4.02 %
RY.PR.A Deemed-Retractible 36,852 Scotia crossed 10,000 at 25.82; RBC crossed 24,400 at 25.85.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.48 %
SLF.PR.H FixedReset 23,091 Nesbitt crossed 10,000 at 22.60.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.51
Bid-YTW : 4.98 %
MFC.PR.G FixedReset 23,025 Recent fire sale.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.96
Bid-YTW : 4.89 %
SLF.PR.I FixedReset 17,060 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 4.53 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.I OpRet Quote: 25.02 – 26.00
Spot Rate : 0.9800
Average : 0.7092

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 5.44 %

RY.PR.X FixedReset Quote: 27.41 – 28.08
Spot Rate : 0.6700
Average : 0.4060

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.41
Bid-YTW : 2.74 %

W.PR.J Perpetual-Premium Quote: 25.22 – 25.78
Spot Rate : 0.5600
Average : 0.4364

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-02-02
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : -7.18 %

MFC.PR.C Deemed-Retractible Quote: 21.41 – 21.85
Spot Rate : 0.4400
Average : 0.3177

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 6.53 %

NA.PR.P FixedReset Quote: 27.10 – 27.48
Spot Rate : 0.3800
Average : 0.2715

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-15
Maturity Price : 25.00
Evaluated at bid price : 27.10
Bid-YTW : 2.94 %

BMO.PR.H Deemed-Retractible Quote: 25.92 – 26.23
Spot Rate : 0.3100
Average : 0.2035

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 2.53 %

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