May 25, 2009

Holy smokes, how ’bout them floaters, eh? I’ll have to write a follow-up to my article … maybe give another another seminar.

Volume continued to be elevated on what was supposed to be a sleepy day, given the US holiday, assisted by large blocks in SLF issues, which went ex-Dividend today.

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 5.9595 % 1,234.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 5.9595 % 1,996.0
Floater 3.05 % 3.70 % 82,829 18.01 3 5.9595 % 1,541.9
OpRet 5.03 % 3.76 % 128,196 0.98 15 0.0344 % 2,160.3
SplitShare 5.94 % 5.75 % 56,150 4.23 3 -0.1555 % 1,824.3
Interest-Bearing 6.00 % 7.17 % 26,403 0.58 1 -0.1996 % 1,987.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1175 % 1,715.8
Perpetual-Discount 6.38 % 6.41 % 157,330 13.31 71 0.1175 % 1,580.2
FixedReset 5.73 % 4.97 % 489,315 4.46 37 -0.1954 % 1,979.3
Performance Highlights
Issue Index Change Notes
MFC.PR.C Perpetual-Discount -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-25
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 6.31 %
NA.PR.P FixedReset -1.81 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-17
Maturity Price : 25.00
Evaluated at bid price : 26.61
Bid-YTW : 5.16 %
ELF.PR.G Perpetual-Discount -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-25
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 7.39 %
NA.PR.O FixedReset -1.64 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-17
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 5.39 %
PWF.PR.E Perpetual-Discount -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-25
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 6.67 %
RY.PR.B Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-25
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.30 %
RY.PR.P FixedReset -1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 4.97 %
MFC.PR.D FixedReset -1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-19
Maturity Price : 25.00
Evaluated at bid price : 26.59
Bid-YTW : 5.12 %
IGM.PR.A OpRet -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2009-07-30
Maturity Price : 26.00
Evaluated at bid price : 26.39
Bid-YTW : 1.77 %
PWF.PR.I Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-25
Maturity Price : 22.91
Evaluated at bid price : 23.15
Bid-YTW : 6.55 %
PWF.PR.M FixedReset 1.86 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-02
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.90 %
GWO.PR.I Perpetual-Discount 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-25
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 6.53 %
BAM.PR.K Floater 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-25
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 3.79 %
BAM.PR.B Floater 4.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-25
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 3.70 %
TRI.PR.B Floater 9.24 % Light volume but a significant move none-the-less! Traded 1,450 shares in a range of 18.00-19.00 before closing at 17.50-18.99 (!), 3×10.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-25
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 2.26 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.E Perpetual-Discount 213,800 National crossed three blocks, one of 100,000 shares, two of 50,000 shares, all at 17.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-25
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 6.62 %
RY.PR.I FixedReset 106,822 Commission Direct (who?) bought 10,200 from TD at 24.40, and another 15,600 from anonymous at 24.35.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-25
Maturity Price : 24.31
Evaluated at bid price : 24.36
Bid-YTW : 4.35 %
SLF.PR.D Perpetual-Discount 100,362 National Bank sold 11,000 to HSBC, 17,700 to CIBC, 32,300 to Nesbitt and another 10,400 to Nesbitt, all at 17.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-25
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 6.58 %
SLF.PR.F FixedReset 75,365 Nesbitt crossed 22,100 at 25.78.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-30
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 5.36 %
MFC.PR.D FixedReset 72,596 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-19
Maturity Price : 25.00
Evaluated at bid price : 26.59
Bid-YTW : 5.12 %
RY.PR.G Perpetual-Discount 47,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-25
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 6.24 %
There were 43 other index-included issues trading in excess of 10,000 shares.

2 Responses to “May 25, 2009”

  1. Louis says:

    I don’t know if anyone asked you the question before but when will we see again straight perps issued, if ever?

    NA.PR.M is the last straight perp issue I can recall (at least on the banking side). All subsequent ones were fixed resets.

    This week’s Canadian bank results (often followed by new issues) might give us the answer but, insofar as I am concerned, I would certainly be interested by a new straight perp issue giving more yield than a fixed reset for diversification purposes.

  2. jiHymas says:

    NA.PR.M is the last straight perp issue I can recall (at least on the banking side).

    I make it RY.PR.H, listed 2008-4-29. NA.PR.M was 4/16.

    a new straight perp issue giving more yield than a fixed reset

    I think you just answered your own question …

Leave a Reply

You must be logged in to post a comment.