Archive for July, 2009

HIMIPref™ Index Rebalancing: July 2009

Friday, July 31st, 2009
HIMI Index Changes, July 31, 2009
Issue From To Because
TRI.PR.B FloatingRate Scraps Volume
CU.PR.A PerpetualDiscount PerpetualPremium Price
BMO.PR.L PerpetualDiscount PerpetualPremium Price
ENB.PR.A PerpetualDiscount PerpetualPremium Price
CU.PR.B PerpetualDiscount PerpetualPremium Price

At long last, the PerpetualPremium index has members again! It disappeared at the October 2008 Rebalancing, when CL.PR.B fell below 25.00. That issue nearly made it back into premium territory this month, but the bid at the close was exactly 25.00 … and when that happens, the issue in question doesn’t move.

There were the following intra-month changes:

HIMI Index Changes during July 2009
Issue Action Index Because
BNA.PR.D Add SplitShare New Issue
BNA.PR.A Delete SplitShare Redeemed

July 31, 2009

Friday, July 31st, 2009

The FDIC will now be separating good assets from bad when disposing of failed banks:

“FDIC staff has referred to a ‘good bank/bad bank’ model described as the sale of the failing bank’s better assets wrapped with loss-share coverage to another bank and the sale of the ‘bad’ assets,” into a limited liability company, spokesman Andrew Gray said today in an e-mail statement, adding the agency now plans to proceed with such sales.

Potential bidders may be interested in higher risks in the failed lender’s bad loans, while the agency auctions the remaining assets in combination with an agreement to share any losses with the buyer, he said.

Gray said loss-sharing arrangements and structured transactions “are proven ways to maximize bidder interest and value.”

I missed this when it was fresh … CalPERS is suing the rating agencies:

The California Public Employees’ Retirement System said in a lawsuit filed last week in California Superior Court in San Francisco that it might lose more than $1 billion from structured investment vehicles, or SIVs, that received top grades from Moody’s Investors Service Inc, Standard & Poor’s and Fitch Inc.

By giving these securities their highest ratings, the agencies “made negligent misrepresentations” to the pension fund, Calpers said. Such ratings, which typically accompany investments with almost no risk of loss, “proved to be wildly inaccurate and unreasonably high.”

In other words, CalPERS CEO Anne Stausboll, who ” oversees 2,300 employees, a budget of more than $332 million” in the course of managing USD 176.1-billion in assets, is grossly incompetent and should be fired. Taking $1-billion exposure in SIV’s without even a cursory due-diligence? She – and presumably a host of others at CalPERS – should be in jeopardy of not just getting fired, but of losing their licenses.

The target firms have noted that they were not responsible for CalPERS investment decisions – if Stausboll wants to abnegate fiduciary responsibility, she must at the very least pay for it.

ZeroHedge has some commentary as well as a copy of the lawsuit.

And … that’s it for another month! Quite a good month for preferreds, with CPD up about 3.33%. My fund, Malachite Aggressive Preferred Fund, will have outperformed CPD by a significant margin … but Assiduous Readers will have to wait until I post the performance review sometime within the next week.

Volume continued high to close the month, with FixedResets again being mostly elbowed out of the Volume Highlights table by PerpetualDiscounts. PerpetualDiscounts had a gain of almost 15bp on the day to close with a yield of 6.06%, equivalent to 8.48% interest at the standard equivalency factor of 1.4x. Long Corporates now yield about 6.3%, so the pre-tax interest-equivalent spread ends the month at about 218bp; basically unchanged from the 215bp spread reported on July 29.

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 1.1503 % 1,219.3
FixedFloater 7.13 % 5.31 % 39,931 16.89 1 0.0000 % 2,153.6
Floater 3.12 % 3.76 % 72,219 17.93 3 1.1503 % 1,523.2
OpRet 4.90 % -3.49 % 139,778 0.10 15 0.0721 % 2,250.7
SplitShare 5.84 % 6.66 % 97,697 4.13 3 0.4190 % 1,982.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0721 % 2,058.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1457 % 1,849.3
Perpetual-Discount 6.00 % 6.06 % 162,866 13.80 71 0.1457 % 1,703.2
FixedReset 5.51 % 4.10 % 559,666 4.18 40 -0.1376 % 2,094.3
Performance Highlights
Issue Index Change Notes
PWF.PR.E Perpetual-Discount -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 21.60
Evaluated at bid price : 21.86
Bid-YTW : 6.33 %
POW.PR.D Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.16 %
IAG.PR.C FixedReset -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 27.10
Bid-YTW : 4.29 %
RY.PR.C Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 5.84 %
POW.PR.B Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.30 %
PWF.PR.K Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.16 %
CM.PR.P Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 22.20
Evaluated at bid price : 22.67
Bid-YTW : 6.09 %
BMO.PR.K Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 22.86
Evaluated at bid price : 23.01
Bid-YTW : 5.81 %
HSB.PR.D Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.18 %
RY.PR.G Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 5.78 %
BAM.PR.N Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 7.35 %
BNS.PR.M Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 19.69
Evaluated at bid price : 19.69
Bid-YTW : 5.76 %
GWO.PR.I Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.07 %
GWO.PR.G Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 21.50
Evaluated at bid price : 21.78
Bid-YTW : 6.03 %
BAM.PR.I OpRet 1.63 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-12-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 5.14 %
GWO.PR.H Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.11 %
NA.PR.N FixedReset 1.98 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-09-14
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 3.47 %
TRI.PR.B Floater 3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 2.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.L FixedReset 59,795 RBC crossed 50,000 at 26.50.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 4.16 %
POW.PR.C Perpetual-Discount 59,419 RBC crossed 25,000 at 23.05, then another 20,000 at 23.10.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 22.82
Evaluated at bid price : 23.07
Bid-YTW : 6.34 %
SLF.PR.B Perpetual-Discount 58,606 Nesbitt crossed 50,000 at 19.40.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 6.24 %
RY.PR.G Perpetual-Discount 46,299 Nesbitt crossed 30,000 at 19.40.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 5.78 %
CM.PR.J Perpetual-Discount 34,224 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 6.04 %
RY.PR.B Perpetual-Discount 32,350 Nesbitt crossed 20,000 at 20.21.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-31
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 5.82 %
There were 41 other index-included issues trading in excess of 10,000 shares.

LFE.PR.A : Semi-Annual Financials

Friday, July 31st, 2009
Quadravest
SplitShare
Corporations
Ticker Income
Coverage
1H09
Asset
Coverage
2009-7-15
Last
PrefBlog
Mention
LFE.PR.A 1.2+:1 1.5+:1 Capital
Unit
Dividends
Reinstated

BK.PR.A : Semi-Annual Financials

Friday, July 31st, 2009
Quadravest
SplitShare
Corporations
Ticker Income
Coverage
1H09
Asset
Coverage
2009-7-15
Last
PrefBlog
Mention
BK.PR.A 1.5+:1 1.9+:1 Ticker
Change
from
PPL.PR.A

DF.PR.A & DFN.PR.A : Semi-Annual Financials

Friday, July 31st, 2009
Quadravest
SplitShare
Corporations
Ticker Income
Coverage
1H09
Asset
Coverage
2009-7-15
Last
PrefBlog
Mention
DFN.PR.A 1.4-:1 1.9-:1 Downgraded
Pfd-3
DF.PR.A 1.2-:1 1.6+ Downgraded
Pdf-3(low)

July 30, 2009

Thursday, July 30th, 2009

The campaign to ensure that retail’s choice of investment be restricted (or, at least, attract a blizzard of paper) has gained some ground, with American brokerages restricting sales:

Morgan Stanley and Wells Fargo & Co. are reviewing whether to continue sales of leveraged and inverse exchange-traded funds as regulators caution that the securities might not be suitable for individual investors.

UBS AG’s brokerage unit in New York, St. Louis-based Edward Jones and Ameriprise Financial Inc. of Minneapolis have halted sales of leveraged ETFs.

David Weiskopf, a Schwab spokesman, said the San Francisco- based company’s representatives don’t recommend leveraged ETFs.

Individual investors at Bank of America Corp. have been permitted to buy leveraged and inverse ETFs from its brokerage unit since 2006 only when they specifically request them, said Selena Morris, a spokeswoman for the Charlotte, North Carolina- based company.

Felix Salmon writes a review of High Frequency Trading that I found rather shallow; but some people like it. However, it looks like Flash orders will be prohibited:

NYSE Euronext, the world’s largest owner of stock exchanges, told the SEC in May that flash orders result in most investors getting worse prices. The practice is used by some high-frequency traders, who stream hundreds of bids and offers a minute and help pair off investor orders.

Analysts including Raymond James Financial Inc.’s Patrick O’Shaughnessy said earlier this week that regulators’ response to flash orders might result in restrictions on computer-driven trading, which could hurt profit for exchanges.

John Nester, a spokesman for the SEC, didn’t immediately return a telephone call seeking comment.

Bats CEO Joe Ratterman said today in an e-mail to clients that the Kansas City, Missouri-based exchange would support an industrywide ban on flash orders. Nasdaq CEO Robert Greifeld told Schumer July 28 that Nasdaq would also support a prohibition, according to a statement issued by the New York senator’s office.

Both introduced the systems over the past three months to compete against Direct Edge, which has gained market share through its three-year-old Enhanced Liquidity Provider program.

“If regulators get rid of it, or do anything to significantly circumscribe the program, it will hurt Direct Edge and help Nasdaq and NYSE,” Justin Schack, vice president of market structure analysis at New York-based Rosenblatt Securities Inc., said in an interview. “It takes away a big competitive weapon that Direct Edge used to gain market share.”

Schumer’s statement:

U.S. Senator Charles E. Schumer (D-NY) announced Tuesday that the head of the NASDAQ stock exchange supports his call to ban the practice of so-called “flash trading” that gives advance knowledge of stock orders to certain traders. Schumer said he was assured by Robert Greifeld, the CEO of NASDAQ, that the exchange, which has long prided itself on bringing transparency to public markets, began reluctantly offering the practice only after competing marketplaces did so.

I profoundly doubt whether anybody knows one way or the other whether pricing and liquidity are positively or negatively affected by Flash Orders; I don’t even know whether it would be possible to generalize about such a thing. But hell, facts don’t matter, right?

But it should be obvious that this is all about money anyway – who cares about trivialities like market efficiency?:

Both introduced the systems over the past three months to compete against Direct Edge, the trading platform that has gained market share through its three-year-old Enhanced Liquidity Provider program. Direct Edge, which is not regulated by the SEC, more than doubled its market share since November to 11.9 percent of the total volume traded in the U.S. in June by using revenue from its ELP program to cut other costs.

Preferred shares had another very good day, with PerpetualDiscounts rocketting up 72bp, with FixedResets putting in a decent performance of +10bp. Volume continued to be high (a nice day for RBC), with FixedResets again locked out of the volume highlights table … is the bloom off the rose?

It will be most fascinating to see what happens once we hit September and new issue season. I’m really not sure if issuers will be able to get anywhere near market rates for FixedResets … a rate of, say 4.25%+150 might find takers to be less enthusiastic than normal. On the other hand, recent market improvements suggest that they should be able to issue straight perpetuals at around 6%. Even paying 5%+225 would be a good improvement on that, but that would indicate a huge concession to market … we shall see!

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 0.7004 % 1,205.4
FixedFloater 7.13 % 5.32 % 38,119 16.88 1 1.6667 % 2,153.6
Floater 3.16 % 3.75 % 73,226 17.94 3 0.7004 % 1,505.9
OpRet 4.91 % -3.63 % 141,138 0.10 15 0.2972 % 2,249.1
SplitShare 5.87 % 6.65 % 98,747 4.13 3 0.2752 % 1,974.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2972 % 2,056.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.7277 % 1,846.6
Perpetual-Discount 6.01 % 6.06 % 162,458 13.82 71 0.7277 % 1,700.7
FixedReset 5.50 % 4.08 % 558,129 4.16 40 0.0952 % 2,097.2
Performance Highlights
Issue Index Change Notes
SLF.PR.B Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 6.28 %
BAM.PR.M Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 7.38 %
GWO.PR.X OpRet 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2009-10-30
Maturity Price : 26.00
Evaluated at bid price : 26.74
Bid-YTW : -5.06 %
TD.PR.R Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 24.05
Evaluated at bid price : 24.25
Bid-YTW : 5.80 %
TD.PR.S FixedReset 1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-08-30
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.01 %
CM.PR.D Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 23.70
Evaluated at bid price : 24.00
Bid-YTW : 6.02 %
CM.PR.P Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 22.35
Evaluated at bid price : 22.91
Bid-YTW : 6.01 %
W.PR.J Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 22.31
Evaluated at bid price : 22.58
Bid-YTW : 6.25 %
CM.PR.J Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 6.00 %
MFC.PR.C Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.07 %
PWF.PR.F Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.22 %
IAG.PR.C FixedReset 1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 27.45
Bid-YTW : 3.96 %
HSB.PR.D Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.24 %
SLF.PR.A Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.27 %
BAM.PR.J OpRet 1.43 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 23.41
Bid-YTW : 6.48 %
CM.PR.H Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 6.06 %
CIU.PR.A Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 5.75 %
GWO.PR.G Perpetual-Discount 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.13 %
BAM.PR.G FixedFloater 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 25.00
Evaluated at bid price : 15.25
Bid-YTW : 5.32 %
CM.PR.I Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 6.03 %
PWF.PR.K Perpetual-Discount 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 6.09 %
GWO.PR.I Perpetual-Discount 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 6.14 %
BAM.PR.B Floater 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 10.56
Evaluated at bid price : 10.56
Bid-YTW : 3.76 %
POW.PR.B Perpetual-Discount 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 21.70
Evaluated at bid price : 21.70
Bid-YTW : 6.23 %
POW.PR.A Perpetual-Discount 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 22.27
Evaluated at bid price : 22.54
Bid-YTW : 6.26 %
W.PR.H Perpetual-Discount 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 21.76
Evaluated at bid price : 22.06
Bid-YTW : 6.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.H Perpetual-Discount 144,352 RBC crossed two blocks of 30,000 each at 19.97. Nesbitt bought blocks of 12,500 and 10,000 from anonymous at 20.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 6.06 %
POW.PR.C Perpetual-Discount 103,691 RBC crossed 67,700 at 23.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 22.69
Evaluated at bid price : 22.93
Bid-YTW : 6.38 %
SLF.PR.A Perpetual-Discount 74,461 Desjardins bought 25,000 from Nesbitt at 19.15. RBC crossed 25,000 at 19.16.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.27 %
BNS.PR.N Perpetual-Discount 61,990 Nesbitt crossed 20,700 at 22.35.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 22.25
Evaluated at bid price : 22.36
Bid-YTW : 5.91 %
BAM.PR.B Floater 61,400 RBC crossed 35,000 at 10.55.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 10.56
Evaluated at bid price : 10.56
Bid-YTW : 3.76 %
BMO.PR.L Perpetual-Discount 58,260 RBC crossed 30,000 at 25.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-30
Maturity Price : 24.79
Evaluated at bid price : 25.01
Bid-YTW : 5.90 %
There were 42 other index-included issues trading in excess of 10,000 shares.

FBS.PR.B: Capital Unit Dividend Reinstated

Thursday, July 30th, 2009

5Banc Split Inc. has announced:

that it has declared a quarterly dividend on its Preferred Shares of $0.11875 per Preferred Share and on its Capital Shares of $0.05 per Capital Share. The Capital Share dividend has been reinstated due to improved market conditions for the underlying portfolio securities. The dividends on both the Preferred Shares and Capital Shares are payable on September 15, 2009 to holders of record on August 31, 2009.

Capital Unitholders have missed two dividends, the dividend suspension was announced in January. The NAV of the company was reported to be $15.74 as of July 23.

FBS.PR.B was last mentioned on PrefBlog when it was downgraded to Pfd-4 by DBRS as part of the February mass-downgrade. It is tracked by HIMIPref™, but has been relegated to the Scraps index on credit concerns.

July 29, 2009

Wednesday, July 29th, 2009

Good column by Jane Bryant Quinn on Bloomberg, Money Funds Are Ripe for ‘Radical Surgery.

Quadravest has announced semi-annual results for most of its funds (DF, DFN, FTN, FFN …), but neither the announcements nor the semi-annual statements are yet available. I’ll post links when this situation changes.

I’ve been very pleased with the response to yesterday‘s plea for reviews of my essay on Preferred Shares and GICs. There is definitely more work to be done on the essay … more comments will be appreciated, and those who would like to review the first draft may still eMail me to receive it.

Another very good day for the Canadian preferred share market, with PerpetualDiscounts posting a gain of 0.45%, bringing their median YTW to 6.10%. This is equivalent to 8.54% interest at the standard equivalency factor of 1.4x, while long corporates remain at about 6.4%, having returned +1.36% month-to-date and +19.15% year-to-date. The pre-tax interest-equivalent spread is thus about 215bp, tightening in about 15bp in the week since July 22, but still above the Credit Crunch norm of about 200bp and, of course, well above the pre-Credit Crunch range of 100-150bp.

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 0.1349 % 1,197.0
FixedFloater 7.25 % 5.42 % 36,209 16.74 1 1.2146 % 2,118.3
Floater 3.18 % 3.78 % 72,718 17.89 3 0.1349 % 1,495.4
OpRet 4.92 % -0.92 % 141,549 0.09 15 0.2955 % 2,242.4
SplitShare 5.89 % 6.75 % 98,111 4.13 3 0.5096 % 1,969.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2955 % 2,050.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4504 % 1,833.3
Perpetual-Discount 6.06 % 6.10 % 163,397 13.75 71 0.4504 % 1,688.4
FixedReset 5.50 % 4.10 % 565,938 4.19 40 0.0731 % 2,095.2
Performance Highlights
Issue Index Change Notes
BAM.PR.P FixedReset -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-10-30
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 5.73 %
BMO.PR.L Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-29
Maturity Price : 24.68
Evaluated at bid price : 24.90
Bid-YTW : 5.93 %
GWO.PR.F Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-29
Maturity Price : 23.72
Evaluated at bid price : 24.00
Bid-YTW : 6.21 %
NA.PR.L Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-29
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.94 %
TD.PR.O Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-29
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.77 %
CM.PR.J Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-29
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.07 %
RY.PR.W Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-29
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 5.82 %
BAM.PR.G FixedFloater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-29
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 5.42 %
PWF.PR.E Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-29
Maturity Price : 21.82
Evaluated at bid price : 22.15
Bid-YTW : 6.23 %
BAM.PR.J OpRet 1.45 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 23.08
Bid-YTW : 6.69 %
GWO.PR.H Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-29
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.27 %
MFC.PR.C Perpetual-Discount 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-29
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 6.15 %
IGM.PR.A OpRet 2.42 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2009-08-28
Maturity Price : 26.00
Evaluated at bid price : 27.51
Bid-YTW : -50.28 %
POW.PR.D Perpetual-Discount 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-29
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.13 %
BNA.PR.C SplitShare 2.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 17.56
Bid-YTW : 9.30 %
BMO.PR.H Perpetual-Discount 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-29
Maturity Price : 22.49
Evaluated at bid price : 23.20
Bid-YTW : 5.78 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.E FixedReset 96,748 RBC crossed blocks of 30,000 and 25,000 shares at 27.62 and bought two blocks (10,000 and 12,000 shares) from National at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-30
Maturity Price : 25.00
Evaluated at bid price : 27.63
Bid-YTW : 3.90 %
TD.PR.K FixedReset 48,602 Desjardins crossed 11,300 at 27.54 and bought 11,100 from National at 27.58.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-30
Maturity Price : 25.00
Evaluated at bid price : 27.59
Bid-YTW : 4.03 %
BMO.PR.L Perpetual-Discount 45,530 Scotia crossed 24,200 shares at 24.95.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-29
Maturity Price : 24.68
Evaluated at bid price : 24.90
Bid-YTW : 5.93 %
BMO.PR.P FixedReset 42,385 Scotia crossed 23,700 at 26.60.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-03-27
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 4.25 %
RY.PR.G Perpetual-Discount 39,815 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-29
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 5.85 %
RY.PR.Y FixedReset 37,420 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-24
Maturity Price : 25.00
Evaluated at bid price : 27.40
Bid-YTW : 4.07 %
There were 41 other index-included issues trading in excess of 10,000 shares.

Covered Calls

Tuesday, July 28th, 2009

I’ve been interested in this topic for a while (due to the prevalence of covered call writing strategies in SplitShare corporations) and now (with a hat tip to Financial Webring Forum) I’ve found a study on historical index performance, Passive Options-based Investment Strategies: The Case of the CBOE S&P 500 BuyWrite Index:

This paper assesses the investment value of the CBOE S&P 500 BuyWrite (BXM) Index and its covered call investment strategy to an investor from the total portfolio perspective. Whaley [2002] finds risk-adjusted performance improvement based on the BXM Index in individual comparison to the S&P 500. We replicate this work with a longer history for the BXM Index and with the short but meaningful history of the Rampart Investment Management investable version of the BXM. We use the Stutzer [2000] index and Leland’s [1999] alpha to assess risk-adjusted performance taking the skew and kurtosis of the covered call strategy into account. Additionally, we compare standard investor portfolios to portfolios where BXM has been substituted for large cap assets and find significant risk-adjusted performance improvement.

The compound annual return of the BXM Index over the almost 16-year history of this study is 12.39%, compared to 12.20% for the S&P 500. Risk-adjusted performance, as measured by the Stutzer index, is 0.22 for the BXM versus 0.16 for the S&P 500 [monthly]. Leland’s alpha is 2.81%/yr. The tracking error of the Rampart investable version of the BXM (1.27%/yr) is found to be credible evidence of the investability of the BXM Index.

Known sources of BXM return are reviewed and behavioral factors that may have enhanced BXM performance are considered.

Surprisingly – to me – performance relative to the S&P 500 seems to have held up through the massive gyrations of this spring:


Five Year Chart

One Year Chart

The CBOE has a web page devoted to their BXM index. There is another index created through cash covered put writing.

Update, 2009-9-29: Assiduous Reader prefhound has commented on BXM on another thread.

July 28, 2009

Tuesday, July 28th, 2009

A bit more on Flash Order controversy:

But critics, notably Charles Schumer, a senior Democrat on the Senate banking panel, contend that flash orders are not being shown to all investors at the same time, creating a two-tier market. This, they say, favours traders with faster and more powerful trading systems.

But calls to ban flash orders have met resistance from Direct Edge, a leading market provider. William O’Brien, chief executive of Direct Edge, said: “If these types of programs are banned, it will drive liquidity away from exchanges and perpetuate a two-tier market.” The Direct Edge system was available to any brokerage that wished to participate, he said.

BATS also said any trading firm could submit flash orders with its system and it was “ready to participate in an industry review of potential issues associated with them, including the possibility that they create a two-tier market”.

Imagine, a system that favours sellers of trading systems who offer their clients fast, powerful trading systems! Scandalous!

There’s an article on Bloomberg giving a defense of HFT:

About 46 percent of daily volume is handled through high- frequency strategies, according to estimates by NYSE Euronext, the world’s largest owner of stock exchanges. The transactions are made by about 400 of the 20,000 firms trading stocks in the U.S., according to Tabb Group LLC, a New York-based financial services consultant. Each makes bets in hundredths of a second to exploit tiny price swings in equities and discrepancies in futures, options and exchange-traded funds.

The firms compete for $21.8 billion in annual profits, according to Tabb. Among the largest are hedge funds Citadel Investment Group LLC, D.E. Shaw & Co. and Renaissance Technologies Corp., as well as the automated brokerages Getco LLC, Hudson River Trading LLC and Wolverine Trading LLC. Rapid- fire strategies helped equity volume more than double in the U.S. since 2006 to a record 10.8 billion shares a day last year, Nasdaq OMX Group Inc. data show.

High-frequency programs look for patterns in securities markets. A typical strategy is based on the likelihood that a stock that rose over the past 20 hours will pare its gain, said Irene Aldridge, managing partner at Toronto-based Able Alpha Trading Ltd., a high-speed proprietary trading firm. Others sift through thousands of quotes to calculate the probability of a shift in the market.

$21.8-billion! Assiduous Readers will note that all these trades are nothing more than an attempt to provide liquidity to the markets better, cheaper and faster than other attempts. Liquidity is good; liquidity means that Joe Retail can buy at 21.05 rather than the 21.15 he’d have to pay without it.

There’s a story by Ivy Schmerken on Advanced Trading:

Nasdaq is offering a second order type, called the INET-Only Flash, which exposes the order to participants for execution, without routing out to the public markets. “This will give customers the ability to get very aggressive and flash an order out to our ITCH participants or (market data) vendors, (i.e., Bloomberg or Reuters) and stay there for up to 500 milliseconds. If there is no execution, it will most likely cancel back to them,” according to Hyndman.

But the topic of flash orders is sparking considerable debate in the industry over whether holding these orders for fractions of a second and showing them to a large class of market participants and market data vendors is fair to investors. In a letter filed with the SEC on Friday, NYSE Euronext, operator of the New York Stock Exchange, opposed the practice, and asked the regulator to intervene in Nasdaq’s and BATS’s plans.

In the letter, NYSE Euronext argues that the Nasdaq Stock Market and BATS Exchange filings, “each propose to modify their respective routing strategies to provide preferential treatment for their own market participants before routing orders to away markets. “

However, Hyndman rejects the notion that orders are being flashed via a private network. “It’s not a private network, because anyone can become an ITCH participant if they choose it,” said Hyndman.

On the general topic of trade mechanics, the NYSE has announced fee changes:

The New York Stock Exchange will charge a fee of at least 5 cents per 100 shares for trades executed during the opening and closing auctions starting next month. Opening trades, which were previously executed at no cost, will have a fee cap of $10,000 a month, the exchange said in an e-mailed notice to clients.

The Big Board will also reduce its trading fees for customers that handle at least 130 million shares a month. Those clients will pay a transaction fee of 17 cents per 100 shares, down 1 cent from before.

I admit to being perplexed by the special charges on opening and closing transactions. If anybody has insight, let me know!

Remember Jerome Kerviel? He was last mentioned on PrefBlog on April 29 – he’s the guy who was left holding SocGen’s incompetent management hot potato when everything blew up and is now being scapegoated. Anyway, a decision is imminent regarding whether or not he will go to trial:

The defense’s response is the final step before investigating judges Renaud Van Ruymbeke and Francoise Desset decide early September whether Kerviel should stand trial. Any trial wouldn’t be before 2010. The probe began less than a week after Societe Generale disclosed the loss on Jan. 24, 2008, after selling his positions.

“In 2007, he was making money and they let him go on,” Metzner said. “In 2008, it all went bad, the machine was exposed, they unwound the positions in a panic and they created losses.”

The FDIC’s proposals on rules regarding private-equity purchases of banks, discussed on July 3, have drawn fire from a player:

“I assure you that my firm will never again bid if the proposed policy statement is adopted in its present form,” he wrote in a letter to the FDIC as part of the regulator’s public- comment process for the rules issued July 2. Ross’s firm was among the buyers of failed BankUnited Financial Corp. in May.

Terms proposed by the FDIC include requiring banks bought by private-equity firms to maintain a Tier 1 capital ratio of 15 percent, almost twice the level usually required for a startup bank. Tier 1 capital is a measure of a bank’s ability to absorb losses. The agency would also require the firms to hold onto their investments for at least three years.

Private-equity managers including Ross are balking at the higher capital requirement, saying it will lower the price they’re willing to pay or cause them to pass on transactions. The Private Equity Council, a Washington-based industry trade group, said July 2 the guidelines may curtail investors’ interest.

Ross, 71, teamed up with Blackstone Group LP, Carlyle Group and Centerbridge Capital Partners LLC to buy the assets of BankUnited Financial after the Florida lender was seized by the FDIC. The buyers agreed to a capital ratio of about 8 percent and told regulators they wouldn’t sell their interests in the bank for 18 months.

Sensing which way the wind is blowing, and with a very good idea of which side their bread is buttered on, the CFTC has decided speculators are evil:

The Commodity Futures Trading Commission will next month say speculators played a role in driving changes in crude oil prices, the Wall Street Journal reported citing an interview with Commissioner Bart Chilton.

The report will reverse findings from last year that attributed volatile oil price movements to supply and demand, the Journal reported. That analysis was based on “deeply flawed data,” the newspaper said, citing Chilton.

I’ve just completed an essay titled Preferred Shares and GICs, which I intend to use for advertising purposes. If anybody would care for a review copy – by which I mean, I would appreciate pre-publication comments – please eMail me. Note that this essay is aimed at relatively unsophisticated investors and has the objective of emphasizing that fixed income doesn’t begin and end with 5-year GIC ladders.

PerpetualDiscounts roared ahead today in the Canadian preferred market on heavy volume. For a wonder, FixedResets were entirely locked out of the volume highlights table!

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 1.4782 % 1,195.4
FixedFloater 7.34 % 5.50 % 36,463 16.64 1 -1.2000 % 2,092.8
Floater 3.19 % 3.81 % 75,238 17.82 3 1.4782 % 1,493.4
OpRet 4.94 % -0.35 % 137,070 0.09 15 0.0986 % 2,235.8
SplitShare 5.92 % 6.83 % 98,874 4.13 3 0.9555 % 1,959.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0986 % 2,044.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4212 % 1,825.1
Perpetual-Discount 6.08 % 6.13 % 161,223 13.70 71 0.4212 % 1,680.9
FixedReset 5.51 % 4.09 % 585,235 4.20 40 -0.0194 % 2,093.7
Performance Highlights
Issue Index Change Notes
CM.PR.K FixedReset -2.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-30
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 4.45 %
BMO.PR.H Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 22.09
Evaluated at bid price : 22.55
Bid-YTW : 5.97 %
TD.PR.P Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 22.85
Evaluated at bid price : 23.00
Bid-YTW : 5.73 %
BNS.PR.R FixedReset -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.49 %
BAM.PR.G FixedFloater -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 25.00
Evaluated at bid price : 14.82
Bid-YTW : 5.50 %
GWO.PR.J FixedReset -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 26.95
Bid-YTW : 4.22 %
SLF.PR.B Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.35 %
BAM.PR.J OpRet 1.02 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 6.91 %
BMO.PR.L Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 24.43
Evaluated at bid price : 24.65
Bid-YTW : 5.99 %
HSB.PR.C Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 6.12 %
IAG.PR.C FixedReset 1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 26.91
Bid-YTW : 4.46 %
BAM.PR.H OpRet 1.19 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2012-03-30
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 5.06 %
BAM.PR.P FixedReset 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-10-30
Maturity Price : 25.00
Evaluated at bid price : 27.06
Bid-YTW : 5.46 %
BNA.PR.D SplitShare 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2014-07-09
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 6.83 %
SLF.PR.A Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 6.34 %
PWF.PR.I Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 23.60
Evaluated at bid price : 23.90
Bid-YTW : 6.31 %
W.PR.J Perpetual-Discount 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 6.33 %
NA.PR.K Perpetual-Discount 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 23.67
Evaluated at bid price : 23.97
Bid-YTW : 6.11 %
MFC.PR.B Perpetual-Discount 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.13 %
ELF.PR.G Perpetual-Discount 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.90 %
TRI.PR.B Floater 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 2.43 %
PWF.PR.G Perpetual-Discount 4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 23.27
Evaluated at bid price : 23.57
Bid-YTW : 6.29 %
W.PR.H Perpetual-Discount 4.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
ACO.PR.A OpRet 210,120 Desjardins crossed three blocks, 53,000 shares, 50,000 and 106,100, all at 26.50.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2009-08-27
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : -0.35 %
PWF.PR.H Perpetual-Discount 139,679 RBC crossed 134,000 at 22.95.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 22.71
Evaluated at bid price : 22.95
Bid-YTW : 6.30 %
SLF.PR.D Perpetual-Discount 48,174 RBC crossed 38,100 at 18.40.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 6.17 %
RY.PR.G Perpetual-Discount 44,145 Anonymous crossed (?) 12,000 at 19.23.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 5.88 %
CM.PR.H Perpetual-Discount 42,198 RBC crossed 20,000 at 19.50.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 6.20 %
SLF.PR.A Perpetual-Discount 39,176 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-07-28
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 6.34 %
There were 52 other index-included issues trading in excess of 10,000 shares.