April 6, 2010

With help from the clerk of the committee, I can now post a link to The Standing Committee on Government Agencies Report on the OSC.

Preferred shares took a massive whacking today on very high volume. PerpetualDiscounts lost 126bp, while FixedResets were down 43bp – about what one might expect, given the respective Modified Durations. FixedResets again scored a shut-out on the volume highlights table.

That’s the worst day in over a year for PerpetualDiscounts. There were two worse days in 2009, March 5 and March 9. There were 17 worse days in 2008, eight of them in November.

The bright side of this is that I anticipate increased opportunities for heavy relative-values trading. My reports of candidate trades are getting lengthier…

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 2.56 % 2.62 % 56,260 20.96 1 0.0000 % 2,157.2
FixedFloater 4.91 % 3.03 % 50,268 20.13 1 -0.5830 % 3,223.1
Floater 1.90 % 1.66 % 46,440 23.43 4 0.0000 % 2,422.6
OpRet 4.88 % 3.67 % 108,295 1.12 10 -0.0150 % 2,310.5
SplitShare 6.37 % -0.57 % 137,129 0.08 2 0.0879 % 2,144.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0150 % 2,112.8
Perpetual-Premium 5.79 % 3.12 % 33,691 0.64 2 -0.8158 % 1,847.2
Perpetual-Discount 6.25 % 6.29 % 187,978 13.49 76 -1.2576 % 1,701.3
FixedReset 5.42 % 3.69 % 408,963 3.68 43 -0.4343 % 2,185.7
Performance Highlights
Issue Index Change Notes
CL.PR.B Perpetual-Discount -3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 23.66
Evaluated at bid price : 23.94
Bid-YTW : 6.57 %
SLF.PR.C Perpetual-Discount -2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 17.28
Evaluated at bid price : 17.28
Bid-YTW : 6.50 %
BNS.PR.K Perpetual-Discount -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 19.24
Evaluated at bid price : 19.24
Bid-YTW : 6.26 %
NA.PR.L Perpetual-Discount -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.35 %
ELF.PR.G Perpetual-Discount -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.99 %
PWF.PR.E Perpetual-Discount -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 6.53 %
RY.PR.C Perpetual-Discount -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 6.28 %
RY.PR.G Perpetual-Discount -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 6.19 %
BAM.PR.R FixedReset -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 22.99
Evaluated at bid price : 24.70
Bid-YTW : 5.21 %
SLF.PR.A Perpetual-Discount -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 6.47 %
PWF.PR.I Perpetual-Discount -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 23.48
Evaluated at bid price : 23.78
Bid-YTW : 6.43 %
PWF.PR.F Perpetual-Discount -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 6.51 %
RY.PR.E Perpetual-Discount -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 6.19 %
RY.PR.W Perpetual-Discount -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 6.09 %
BMO.PR.J Perpetual-Discount -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 6.11 %
SLF.PR.E Perpetual-Discount -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 6.48 %
RY.PR.D Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.18 %
SLF.PR.D Perpetual-Discount -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.49 %
BNS.PR.M Perpetual-Discount -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.15 %
RY.PR.F Perpetual-Discount -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.16 %
MFC.PR.E FixedReset -1.86 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-10-19
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 4.29 %
BMO.PR.H Perpetual-Discount -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 21.80
Evaluated at bid price : 21.80
Bid-YTW : 6.18 %
SLF.PR.B Perpetual-Discount -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 6.47 %
BNS.PR.L Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 6.18 %
MFC.PR.C Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.42 %
CM.PR.D Perpetual-Discount -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 22.42
Evaluated at bid price : 22.71
Bid-YTW : 6.33 %
NA.PR.M Perpetual-Premium -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 24.33
Evaluated at bid price : 24.55
Bid-YTW : 6.21 %
RY.PR.B Perpetual-Discount -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.22 %
BNS.PR.O Perpetual-Discount -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 22.56
Evaluated at bid price : 22.70
Bid-YTW : 6.18 %
RY.PR.H Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 23.51
Evaluated at bid price : 23.70
Bid-YTW : 6.05 %
BMO.PR.P FixedReset -1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-03-27
Maturity Price : 25.00
Evaluated at bid price : 26.69
Bid-YTW : 4.04 %
PWF.PR.L Perpetual-Discount -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.45 %
PWF.PR.O Perpetual-Discount -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 22.71
Evaluated at bid price : 22.84
Bid-YTW : 6.48 %
CIU.PR.A Perpetual-Discount -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 6.15 %
CM.PR.J Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 6.31 %
POW.PR.A Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 6.48 %
ENB.PR.A Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 5.78 %
POW.PR.D Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.51 %
CM.PR.H Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 6.38 %
PWF.PR.G Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 23.18
Evaluated at bid price : 23.44
Bid-YTW : 6.42 %
ELF.PR.F Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.02 %
NA.PR.K Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 23.45
Evaluated at bid price : 23.75
Bid-YTW : 6.26 %
POW.PR.C Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 22.28
Evaluated at bid price : 22.56
Bid-YTW : 6.45 %
TCA.PR.Y Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 45.43
Evaluated at bid price : 47.40
Bid-YTW : 5.87 %
PWF.PR.K Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.42 %
TD.PR.Q Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 22.55
Evaluated at bid price : 22.69
Bid-YTW : 6.18 %
RY.PR.A Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 6.13 %
GWO.PR.H Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.31 %
IAG.PR.F Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 23.46
Evaluated at bid price : 23.62
Bid-YTW : 6.34 %
TD.PR.P Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 6.15 %
PWF.PR.H Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 22.72
Evaluated at bid price : 23.00
Bid-YTW : 6.37 %
CM.PR.E Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 21.89
Evaluated at bid price : 22.15
Bid-YTW : 6.33 %
BNS.PR.J Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 6.16 %
IAG.PR.A Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-04-06
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.25 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.E FixedReset 184,281 TD crossed 81,700 at 26.97. RBC crossed two blocks of 18,500 each at 26.92 and one of 26,600 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-10-19
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 4.29 %
RY.PR.R FixedReset 97,185 DIBC bought 12,000 from anonymous at 27.85, then blocks of 14,900 and 16,600 from Nesbitt at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 27.78
Bid-YTW : 3.51 %
RY.PR.P FixedReset 85,950 RBC bought 24,500 from anonymous at 27.60, then crossed 40,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 27.60
Bid-YTW : 3.68 %
BMO.PR.O FixedReset 82,815 Nesbitt crossed 40,000 at 28.40; National bought 11,000 from Desjardins at 28.39.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-24
Maturity Price : 25.00
Evaluated at bid price : 28.36
Bid-YTW : 3.33 %
HSB.PR.E FixedReset 75,848 RBC bought 14,300 from Scotia at 28.00; RBC crossed 35,000 at 28.00.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-30
Maturity Price : 25.00
Evaluated at bid price : 27.97
Bid-YTW : 3.71 %
RY.PR.Y FixedReset 69,689 National crossed 15,000 at 28.03, then bought 11,700 from anonymous at 27.90.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-24
Maturity Price : 25.00
Evaluated at bid price : 27.81
Bid-YTW : 3.71 %
There were 77 other index-included issues trading in excess of 10,000 shares.

Leave a Reply

You must be logged in to post a comment.