February 24, 2012

It was another positive day for the Canadian preferred share market, with PerpetualPremiums up 9bp, FixedResets gaining 9bp and DeemedRetractibles winning 33bp. PerpetualDiscounts – all four of them! – shot up 69bp to decrease the Bozo Spread (Current Yield PerpetualDiscounts less Current Yield FixedResets) to zero again. Not much volatility. Volume was average.

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 -0.0176 % 2,409.8
FixedFloater 4.59 % 3.97 % 38,515 17.37 1 0.2421 % 3,397.7
Floater 2.77 % 3.03 % 56,569 19.59 3 -0.0176 % 2,601.9
OpRet 4.89 % 3.18 % 58,382 1.29 6 -0.2362 % 2,500.6
SplitShare 5.29 % -0.91 % 85,054 0.79 4 -0.1991 % 2,673.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2362 % 2,286.6
Perpetual-Premium 5.38 % 0.88 % 111,557 0.18 27 0.0872 % 2,205.0
Perpetual-Discount 5.05 % 4.93 % 199,317 15.51 4 0.6871 % 2,446.2
FixedReset 5.05 % 2.85 % 207,796 2.32 66 0.0945 % 2,380.8
Deemed-Retractible 4.94 % 3.82 % 244,017 2.81 46 0.3297 % 2,298.7
Performance Highlights
Issue Index Change Notes
POW.PR.D Perpetual-Premium -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-24
Maturity Price : 24.35
Evaluated at bid price : 24.87
Bid-YTW : 5.06 %
RY.PR.W Perpetual-Premium 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-03-25
Maturity Price : 25.50
Evaluated at bid price : 25.75
Bid-YTW : -6.96 %
ELF.PR.F Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-24
Maturity Price : 24.62
Evaluated at bid price : 24.86
Bid-YTW : 5.39 %
GWO.PR.I Deemed-Retractible 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.61
Bid-YTW : 5.35 %
GWO.PR.H Deemed-Retractible 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.10 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.R Perpetual-Premium 212,410 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.31 %
MFC.PR.H FixedReset 135,321 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.54 %
MFC.PR.A OpRet 105,622 Desjardins crossed blocks of 50,000 and 34,000, both at 25.40.
YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2015-12-18
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 3.55 %
GWO.PR.P Deemed-Retractible 103,101 Recent new issue.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 5.20 %
CM.PR.J Deemed-Retractible 59,237 TD crossed 50,000 at 26.00.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-04-30
Maturity Price : 25.25
Evaluated at bid price : 26.00
Bid-YTW : 3.57 %
RY.PR.L FixedReset 52,790 Desjardins bought 38,500 from CIBC at 26.30.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 2.83 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CIU.PR.A Perpetual-Premium Quote: 24.71 – 25.08
Spot Rate : 0.3700
Average : 0.2383

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-24
Maturity Price : 24.42
Evaluated at bid price : 24.71
Bid-YTW : 4.66 %

GWO.PR.M Deemed-Retractible Quote: 26.21 – 26.60
Spot Rate : 0.3900
Average : 0.2852

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 5.32 %

BAM.PR.T FixedReset Quote: 25.39 – 25.74
Spot Rate : 0.3500
Average : 0.2540

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-02-24
Maturity Price : 23.28
Evaluated at bid price : 25.39
Bid-YTW : 3.78 %

SLF.PR.G FixedReset Quote: 23.10 – 23.50
Spot Rate : 0.4000
Average : 0.3057

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 4.46 %

RY.PR.F Deemed-Retractible Quote: 25.56 – 25.80
Spot Rate : 0.2400
Average : 0.1614

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 3.89 %

BAM.PR.H OpRet Quote: 25.27 – 25.45
Spot Rate : 0.1800
Average : 0.1180

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2012-03-30
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 3.50 %

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