Here’s a switch! Pricing went nuts on some sub-debt because it was called on its pretend-maturity!
Goldman Sachs Group Inc. handed a surprise gift to bondholders in Canada this week by redeeming debt sooner than investors had expected, and some money managers are betting that other banks will follow its lead.
The New York-based bank said Tuesday that it was redeeming all of its C$500 million ($380 million) in subordinated notes maturing in April 2022 for a price equal to principal plus accrued interest. The bonds jumped by about 1.76 cents to as much as 100.376 cents on the news. The move was unexpected after JPMorgan Chase & Co. opted not to call similar bonds last year, said Mark Carpani, a portfolio manager at Ridgewood Capital Asset Management.
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| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | 0.7211 % | 2,064.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7211 % | 3,788.6 |
| Floater | 3.66 % | 3.89 % | 55,943 | 17.60 | 4 | 0.7211 % | 2,183.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0197 % | 2,987.4 |
| SplitShare | 4.73 % | 4.12 % | 61,290 | 0.78 | 4 | 0.0197 % | 3,567.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0197 % | 2,783.6 |
| Perpetual-Premium | 5.42 % | -4.40 % | 74,333 | 0.09 | 16 | -0.0829 % | 2,736.1 |
| Perpetual-Discount | 5.17 % | 5.16 % | 100,195 | 15.03 | 22 | 0.0821 % | 2,909.3 |
| FixedReset | 4.42 % | 4.04 % | 234,953 | 6.78 | 97 | 0.4163 % | 2,331.2 |
| Deemed-Retractible | 5.02 % | 1.65 % | 132,763 | 0.11 | 31 | 0.1067 % | 2,847.2 |
| FloatingReset | 2.49 % | 3.17 % | 53,287 | 4.66 | 9 | -0.1867 % | 2,467.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BMO.PR.Y | FixedReset | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 22.77 Evaluated at bid price : 23.71 Bid-YTW : 3.97 % |
| NA.PR.S | FixedReset | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 22.34 Evaluated at bid price : 22.70 Bid-YTW : 3.93 % |
| BMO.PR.T | FixedReset | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 21.38 Evaluated at bid price : 21.70 Bid-YTW : 3.93 % |
| CU.PR.I | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 27.21 Bid-YTW : 2.04 % |
| BIP.PR.A | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 22.54 Evaluated at bid price : 23.25 Bid-YTW : 5.02 % |
| BAM.PF.E | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 22.41 Evaluated at bid price : 22.97 Bid-YTW : 4.13 % |
| TD.PF.B | FixedReset | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 21.46 Evaluated at bid price : 21.81 Bid-YTW : 3.94 % |
| TD.PF.C | FixedReset | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 21.35 Evaluated at bid price : 21.66 Bid-YTW : 3.95 % |
| RY.PR.J | FixedReset | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 22.64 Evaluated at bid price : 23.40 Bid-YTW : 4.03 % |
| TRP.PR.B | FixedReset | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 14.65 Evaluated at bid price : 14.65 Bid-YTW : 4.06 % |
| BMO.PR.W | FixedReset | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 21.36 Evaluated at bid price : 21.67 Bid-YTW : 3.91 % |
| BAM.PF.B | FixedReset | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 22.32 Evaluated at bid price : 22.61 Bid-YTW : 4.23 % |
| MFC.PR.F | FixedReset | 1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.40 Bid-YTW : 9.24 % |
| TRP.PR.C | FixedReset | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 4.09 % |
| RY.PR.Z | FixedReset | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 21.50 Evaluated at bid price : 21.87 Bid-YTW : 3.87 % |
| TRP.PR.E | FixedReset | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 22.18 Evaluated at bid price : 22.55 Bid-YTW : 3.96 % |
| TRP.PR.G | FixedReset | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 22.75 Evaluated at bid price : 23.73 Bid-YTW : 4.18 % |
| FTS.PR.M | FixedReset | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 22.21 Evaluated at bid price : 22.60 Bid-YTW : 4.04 % |
| CM.PR.O | FixedReset | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 21.99 Evaluated at bid price : 22.25 Bid-YTW : 3.94 % |
| CM.PR.P | FixedReset | 1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 21.45 Evaluated at bid price : 21.80 Bid-YTW : 3.92 % |
| RY.PR.H | FixedReset | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 21.54 Evaluated at bid price : 21.93 Bid-YTW : 3.91 % |
| MFC.PR.J | FixedReset | 1.72 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.10 Bid-YTW : 4.90 % |
| SLF.PR.H | FixedReset | 2.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 6.35 % |
| HSE.PR.A | FixedReset | 2.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 4.31 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.K | FixedReset | 218,891 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 4.23 % |
| MFC.PR.R | FixedReset | 102,898 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 4.22 % |
| HSE.PR.G | FixedReset | 100,256 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 23.06 Evaluated at bid price : 24.30 Bid-YTW : 4.75 % |
| BAM.PF.I | FixedReset | 85,092 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.81 Bid-YTW : 4.38 % |
| BAM.PF.H | FixedReset | 83,940 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.40 Bid-YTW : 3.65 % |
| BAM.PF.A | FixedReset | 66,673 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-02-22 Maturity Price : 23.43 Evaluated at bid price : 23.83 Bid-YTW : 4.28 % |
| There were 72 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.N | FixedReset | Quote: 15.54 – 16.95 Spot Rate : 1.4100 Average : 0.8647 YTW SCENARIO |
| FTS.PR.M | FixedReset | Quote: 22.60 – 23.05 Spot Rate : 0.4500 Average : 0.2754 YTW SCENARIO |
| MFC.PR.M | FixedReset | Quote: 22.03 – 22.50 Spot Rate : 0.4700 Average : 0.3160 YTW SCENARIO |
| IFC.PR.C | FixedReset | Quote: 21.70 – 22.14 Spot Rate : 0.4400 Average : 0.2875 YTW SCENARIO |
| BMO.PR.Y | FixedReset | Quote: 23.71 – 24.19 Spot Rate : 0.4800 Average : 0.3372 YTW SCENARIO |
| PWF.PR.E | Perpetual-Premium | Quote: 25.32 – 25.68 Spot Rate : 0.3600 Average : 0.2188 YTW SCENARIO |