There was a yellow cat bounce today.
| YLO Issues, 2011-5-31 | |||||
| Ticker | Quote 5/30 |
Quote 5/31 |
Bid YTW 5/31 |
YTW Scenario 5/31 |
Performance 5/31 (bid/bid) |
| YLO.PR.A | 22.80-90 | 23.10-23 | 10.09% | Soft Maturity 2012-12-30 |
-1.46% |
| YLO.PR.B | 15.64-80 | 16.57-59 | 13.62% | Soft Maturity 2017-06-29 |
+5.95% |
| YLO.PR.C | 16.57-70 | 16.89-01 | 9.88% | Limit Maturity | +1.93% |
| YLO.PR.D | 17.85-00 | 17.59-70 | 9.67% | Limit Maturity | -1.46% |
It was a relatively quite day on the Canadian preferred share market, with PerpetualDiscounts up 6bp, FixedResets basically flat and DeemedRetractibles gaining 4bp. Volatility was muted, with only two issues on the Performance Highlights table. FixedResets thoroughly dominated the Volume Highlights table, possibly due to the settlement today of SJR.PR.A; although it looks like HSBC (who?) got some work acting for a big client reducing preferred share exposure in a big way.
| 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 | -0.1631 % | 2,458.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1631 % | 3,698.1 |
| Floater | 2.45 % | 2.24 % | 42,832 | 21.63 | 4 | -0.1631 % | 2,654.9 |
| OpRet | 4.87 % | 3.54 % | 66,952 | 0.97 | 9 | -0.0815 % | 2,421.3 |
| SplitShare | 5.23 % | -0.60 % | 61,773 | 0.54 | 6 | 0.0644 % | 2,506.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0815 % | 2,214.1 |
| Perpetual-Premium | 5.66 % | 5.01 % | 163,642 | 1.43 | 12 | -0.0016 % | 2,074.9 |
| Perpetual-Discount | 5.45 % | 5.52 % | 124,707 | 14.53 | 18 | 0.0608 % | 2,179.0 |
| FixedReset | 5.15 % | 3.23 % | 194,864 | 2.85 | 57 | -0.0017 % | 2,309.9 |
| Deemed-Retractible | 5.08 % | 4.91 % | 299,630 | 8.17 | 47 | 0.0441 % | 2,150.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| POW.PR.D | Perpetual-Discount | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-05-31 Maturity Price : 23.35 Evaluated at bid price : 23.61 Bid-YTW : 5.36 % |
| BAM.PR.M | Perpetual-Discount | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-05-31 Maturity Price : 21.65 Evaluated at bid price : 22.00 Bid-YTW : 5.47 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| HSE.PR.A | FixedReset | 191,865 | RBC bought blocks of 25,000 and 127,700 from anonymous, both at 25.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-05-31 Maturity Price : 25.47 Evaluated at bid price : 25.52 Bid-YTW : 4.06 % |
| SLF.PR.G | FixedReset | 144,488 | HSBC (who?) shold four blocks: three, of 49,200 shares, 25,000 and 45,900 to RBC at 25.25; and one of 10,000 to TD at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 3.78 % |
| TD.PR.Y | FixedReset | 143,292 | TD sold four blocks of 10,000 each to TD at 26.25; then another 30,000 to RBC at the same price. TD crossed 29,400 at the same price; RBC crossed 30,000 at the same price again. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-11-30 Maturity Price : 25.00 Evaluated at bid price : 26.25 Bid-YTW : 3.20 % |
| BNS.PR.Q | FixedReset | 84,032 | TD bought 35,000 from anonymous at 26.15; then bought blocks of 15,000 and 25,000 from HSBC at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-11-24 Maturity Price : 25.00 Evaluated at bid price : 26.11 Bid-YTW : 3.23 % |
| RY.PR.W | Perpetual-Discount | 75,670 | RBC bought blocks of 11,700 shares, 10,300 and 12,000, all at 24.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-05-31 Maturity Price : 24.47 Evaluated at bid price : 24.78 Bid-YTW : 4.96 % |
| TD.PR.G | FixedReset | 65,983 | TD bought blocks of 39,800 and 14,100 from HSBC at 27.35. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.41 Bid-YTW : 3.09 % |
| There were 44 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| FTS.PR.G | FixedReset | Quote: 25.90 – 27.00 Spot Rate : 1.1000 Average : 0.7567 YTW SCENARIO |
| CIU.PR.C | FixedReset | Quote: 25.20 – 25.75 Spot Rate : 0.5500 Average : 0.3225 YTW SCENARIO |
| IAG.PR.C | FixedReset | Quote: 26.71 – 27.24 Spot Rate : 0.5300 Average : 0.4162 YTW SCENARIO |
| GWO.PR.J | FixedReset | Quote: 26.60 – 27.00 Spot Rate : 0.4000 Average : 0.2878 YTW SCENARIO |
| SLF.PR.F | FixedReset | Quote: 27.01 – 27.34 Spot Rate : 0.3300 Average : 0.2355 YTW SCENARIO |
| BMO.PR.H | Deemed-Retractible | Quote: 25.43 – 25.73 Spot Rate : 0.3000 Average : 0.2103 YTW SCENARIO |