OSFI published its Report on Plans and Priorities today. I continue to be amused by their performance targets: under the programme target “Accurate risk assessments”, they set a target of 70% for “Percentage of knowledgeable observers who agree that their institution’s Composite Risk Rating is appropriate.”. “Knowledgeable observers” are defined as “Senior Executives and professionals who act on behalf of federally regulated financial institutions.” Sounds pretty cosy! Don’t hold your breath waiting for a politician to ask any questions – that would screw up their chances of post-public-servant employment.
Heavy volume AGAIN, PerpetualDiscounts down AGAIN (this time 20bp) and FixedResets up AGAIN – this time by 11bp, taking the median average weighted YTW down to a new low of 3.31%. Good volatility.
| 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 | 2.64 % | 2.70 % | 59,650 | 20.71 | 1 | -1.1111 % | 2,089.9 |
| FixedFloater | 4.91 % | 3.03 % | 50,245 | 20.14 | 1 | 0.6818 % | 3,220.2 |
| Floater | 1.92 % | 1.69 % | 47,803 | 23.35 | 4 | 0.8467 % | 2,407.5 |
| OpRet | 4.84 % | 3.27 % | 109,942 | 0.66 | 12 | -0.0420 % | 2,312.1 |
| SplitShare | 6.36 % | 4.38 % | 136,088 | 0.08 | 2 | 0.0878 % | 2,146.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0420 % | 2,114.2 |
| Perpetual-Premium | 5.95 % | 6.02 % | 119,349 | 13.72 | 7 | 0.0172 % | 1,871.8 |
| Perpetual-Discount | 6.00 % | 6.02 % | 185,230 | 13.85 | 71 | -0.2006 % | 1,763.7 |
| FixedReset | 5.33 % | 3.31 % | 349,799 | 3.67 | 43 | 0.1075 % | 2,214.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TD.PR.R | Perpetual-Discount | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-26 Maturity Price : 23.47 Evaluated at bid price : 23.66 Bid-YTW : 6.02 % |
| CM.PR.D | Perpetual-Discount | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-26 Maturity Price : 23.48 Evaluated at bid price : 23.82 Bid-YTW : 6.02 % |
| BMO.PR.J | Perpetual-Discount | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-26 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 5.82 % |
| BMO.PR.H | Perpetual-Discount | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-26 Maturity Price : 22.34 Evaluated at bid price : 22.85 Bid-YTW : 5.85 % |
| TD.PR.Q | Perpetual-Discount | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-26 Maturity Price : 23.70 Evaluated at bid price : 23.90 Bid-YTW : 5.95 % |
| BAM.PR.E | Ratchet | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-26 Maturity Price : 21.75 Evaluated at bid price : 21.36 Bid-YTW : 2.70 % |
| BAM.PR.N | Perpetual-Discount | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-26 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 6.93 % |
| CM.PR.J | Perpetual-Discount | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-26 Maturity Price : 18.69 Evaluated at bid price : 18.69 Bid-YTW : 6.02 % |
| GWO.PR.H | Perpetual-Discount | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-26 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.10 % |
| GWO.PR.I | Perpetual-Discount | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-26 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 6.01 % |
| PWF.PR.A | Floater | 1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-26 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 1.69 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRI.PR.B | Floater | 152,760 | Recently highlighted as somewhat comparable to TRI’s USD bond issue. Nesbitt crossed 150,000 at 24.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-26 Maturity Price : 23.71 Evaluated at bid price : 23.98 Bid-YTW : 1.61 % |
| MFC.PR.C | Perpetual-Discount | 86,240 | RBC crossed 44,800 at 18.50. Nesbitt crossed 25,000 at 18.42. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-26 Maturity Price : 18.36 Evaluated at bid price : 18.36 Bid-YTW : 6.18 % |
| BNS.PR.T | FixedReset | 83,544 | Desjardins crossed 20,000 at 28.40; CIBC bought 32,000 from National at 28.36. RBC crossed 13,500 at 28.36. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 28.37 Bid-YTW : 3.09 % |
| RY.PR.P | FixedReset | 79,248 | National crossed 50,000 at 28.24. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 28.20 Bid-YTW : 3.02 % |
| MFC.PR.D | FixedReset | 75,095 | National crossed 50,000 at 28.10. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 28.12 Bid-YTW : 3.54 % |
| BMO.PR.O | FixedReset | 74,353 | CIBC bought 13,500 from anonymous at 28.50; then another 17,600 from National at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-24 Maturity Price : 25.00 Evaluated at bid price : 28.45 Bid-YTW : 3.20 % |
| There were 52 other index-included issues trading in excess of 10,000 shares. | |||