No commentary today – sorry!
It was a strong day on the Canadian preferred share market, with PerpetualDiscounts gaining 16bp, FixedResets up 10bp and DeemedRetractibles winning 20bp. Volume was light – most investors (other than myself, of course) being too busy dancing naked in lascivious spring rites. Why don’t I ever get invited?
To my astonishment, not only did BMO.PR.J not crash heavily to earth after Friday’s fireworks, but it again topped the list of Performance Highlights! It now looks even more expensive and there is the possibility that there is more behind the story than a simple fat-finger or algo-gone-wild. A short squeeze, maybe? Unlikely, I know, but what else is there? A point against the short-squeeze story is that today’s buying – of 13,941 shares – was broadly based, with RBC taking the largest share with 4,005 shares. Friday’s buyer, Desjardins, bought 2,618 shares. It’s all very peculiar, but living in PreferredShareLand is a little like being the White Queen in Through the Looking Glass – one sometimes see six preposterous things before breakfast.
| 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 | 0.0845 % | 2,374.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0845 % | 3,570.8 |
| Floater | 2.53 % | 2.35 % | 47,509 | 21.38 | 4 | 0.0845 % | 2,563.5 |
| OpRet | 4.90 % | 3.70 % | 52,876 | 1.15 | 9 | 0.1599 % | 2,394.8 |
| SplitShare | 5.11 % | 3.25 % | 155,387 | 1.00 | 5 | -0.0038 % | 2,474.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1599 % | 2,189.8 |
| Perpetual-Premium | 5.74 % | 5.60 % | 137,236 | 6.21 | 10 | 0.0675 % | 2,033.7 |
| Perpetual-Discount | 5.51 % | 5.55 % | 121,638 | 14.37 | 14 | 0.1581 % | 2,120.4 |
| FixedReset | 5.17 % | 3.54 % | 245,446 | 2.95 | 57 | 0.1017 % | 2,277.5 |
| Deemed-Retractible | 5.23 % | 5.21 % | 344,987 | 8.28 | 53 | 0.1962 % | 2,082.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.R | FixedReset | -1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-03-21 Maturity Price : 25.10 Evaluated at bid price : 25.15 Bid-YTW : 4.95 % |
| IAG.PR.A | Deemed-Retractible | -1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.10 Bid-YTW : 6.09 % |
| CM.PR.H | Deemed-Retractible | 1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 5.03 % |
| RY.PR.A | Deemed-Retractible | 1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.62 Bid-YTW : 5.19 % |
| BAM.PR.J | OpRet | 1.20 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 26.21 Bid-YTW : 4.59 % |
| BMO.PR.J | Deemed-Retractible | 1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 4.78 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| HSE.PR.A | FixedReset | 104,718 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-03-21 Maturity Price : 24.80 Evaluated at bid price : 24.85 Bid-YTW : 4.32 % |
| RY.PR.I | FixedReset | 80,264 | Nesbitt crossed 75,000 at 26.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 26.11 Bid-YTW : 3.53 % |
| BMO.PR.Q | FixedReset | 63,150 | Scotia bought 10,000 from anonymous at 24.73; Nesbitt crossed 12,100 at 24.77. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.76 Bid-YTW : 3.91 % |
| TRP.PR.B | FixedReset | 59,416 | Desjardins crossed 45,000 at 25.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-03-21 Maturity Price : 24.89 Evaluated at bid price : 24.94 Bid-YTW : 3.83 % |
| TRP.PR.C | FixedReset | 56,128 | Desjardins crossed 45,000 at 25.49. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-03-01 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 4.09 % |
| NA.PR.O | FixedReset | 41,359 | Issuer bid. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-17 Maturity Price : 25.00 Evaluated at bid price : 28.30 Bid-YTW : 2.28 % |
| There were 26 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.R | FixedReset | Quote: 25.15 – 26.11 Spot Rate : 0.9600 Average : 0.5791 YTW SCENARIO |
| TRI.PR.B | Floater | Quote: 22.90 – 23.75 Spot Rate : 0.8500 Average : 0.7032 YTW SCENARIO |
| GWO.PR.H | Deemed-Retractible | Quote: 23.20 – 23.48 Spot Rate : 0.2800 Average : 0.1973 YTW SCENARIO |
| PWF.PR.L | Perpetual-Discount | Quote: 23.75 – 24.12 Spot Rate : 0.3700 Average : 0.2982 YTW SCENARIO |
| BNS.PR.Z | FixedReset | Quote: 24.27 – 24.90 Spot Rate : 0.6300 Average : 0.5684 YTW SCENARIO |
| HSB.PR.D | Deemed-Retractible | Quote: 23.91 – 24.17 Spot Rate : 0.2600 Average : 0.2002 YTW SCENARIO |