Remember the peculiar redemption of REI.PR.A? Assiduous Reader HS draws my attention to a peculiar redemption of UBS-D in the States:
- •The redemption of UBS-D caused a 52% jump in its value yesterday.
- •The issue had a 1% yield. There is no financial logic for it to be called.
- •UBS wasted millions of dollars without explanation
…
UBS-D is not strictly a preferred stock, but a trust preferred security, which gives the parent company some tax advantages. The floating rate was 0.7% above the one-month LIBOR, making the yield at redemption a measly 1.13%.
| 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 | 4.69 % | 5.70 % | 12,191 | 17.03 | 1 | 0.0000 % | 1,682.0 |
| FixedFloater | 6.59 % | 5.71 % | 19,692 | 16.84 | 1 | 3.0000 % | 3,067.7 |
| Floater | 4.52 % | 4.72 % | 45,345 | 15.97 | 4 | 0.0239 % | 1,718.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1809 % | 2,815.7 |
| SplitShare | 4.94 % | 5.33 % | 80,778 | 1.50 | 7 | -0.1809 % | 3,295.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1809 % | 2,570.9 |
| Perpetual-Premium | 5.77 % | -12.02 % | 80,632 | 0.09 | 6 | -0.0591 % | 2,595.1 |
| Perpetual-Discount | 5.50 % | 5.57 % | 101,484 | 14.53 | 33 | -0.0303 % | 2,666.1 |
| FixedReset | 5.18 % | 4.67 % | 169,857 | 13.56 | 88 | -0.2183 % | 1,971.4 |
| Deemed-Retractible | 5.16 % | 5.68 % | 129,459 | 6.78 | 33 | -0.0699 % | 2,659.6 |
| FloatingReset | 3.13 % | 4.87 % | 23,740 | 5.31 | 17 | -0.7851 % | 2,075.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BIP.PR.A | FixedReset | -7.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 17.83 Evaluated at bid price : 17.83 Bid-YTW : 6.13 % |
| SLF.PR.J | FloatingReset | -4.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.33 Bid-YTW : 11.21 % |
| TRP.PR.I | FloatingReset | -4.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 10.75 Evaluated at bid price : 10.75 Bid-YTW : 4.76 % |
| PWF.PR.Q | FloatingReset | -3.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 12.28 Evaluated at bid price : 12.28 Bid-YTW : 4.28 % |
| BNS.PR.F | FloatingReset | -2.63 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.51 Bid-YTW : 7.53 % |
| TD.PF.D | FixedReset | -2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 4.37 % |
| TRP.PR.A | FixedReset | -2.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 14.12 Evaluated at bid price : 14.12 Bid-YTW : 4.91 % |
| BAM.PF.F | FixedReset | -2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 4.87 % |
| BNS.PR.Y | FixedReset | -1.59 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.77 Bid-YTW : 6.20 % |
| BAM.PF.G | FixedReset | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 19.94 Evaluated at bid price : 19.94 Bid-YTW : 4.75 % |
| SLF.PR.G | FixedReset | -1.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.33 Bid-YTW : 9.59 % |
| BAM.PF.A | FixedReset | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 18.76 Evaluated at bid price : 18.76 Bid-YTW : 5.01 % |
| RY.PR.M | FixedReset | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 19.28 Evaluated at bid price : 19.28 Bid-YTW : 4.38 % |
| RY.PR.J | FixedReset | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 19.52 Evaluated at bid price : 19.52 Bid-YTW : 4.44 % |
| TRP.PR.C | FixedReset | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 11.87 Evaluated at bid price : 11.87 Bid-YTW : 4.74 % |
| BNS.PR.Z | FixedReset | -1.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.80 Bid-YTW : 6.50 % |
| IAG.PR.G | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.95 Bid-YTW : 6.86 % |
| BMO.PR.S | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 18.78 Evaluated at bid price : 18.78 Bid-YTW : 4.22 % |
| RY.PR.H | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 4.17 % |
| CM.PR.P | FixedReset | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.18 % |
| TD.PF.F | Perpetual-Discount | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 23.79 Evaluated at bid price : 24.15 Bid-YTW : 5.09 % |
| TRP.PR.F | FloatingReset | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 13.30 Evaluated at bid price : 13.30 Bid-YTW : 4.58 % |
| IFC.PR.A | FixedReset | 1.56 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.64 Bid-YTW : 9.26 % |
| BAM.PR.G | FixedFloater | 3.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 25.00 Evaluated at bid price : 14.42 Bid-YTW : 5.71 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.J | FixedReset | 105,935 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.77 Bid-YTW : 4.77 % |
| BMO.PR.Y | FixedReset | 104,410 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 4.29 % |
| MFC.PR.O | FixedReset | 53,600 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.32 Bid-YTW : 4.72 % |
| BAM.PR.T | FixedReset | 34,950 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 5.21 % |
| TRP.PR.D | FixedReset | 33,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-12 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 4.70 % |
| SLF.PR.G | FixedReset | 30,319 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.33 Bid-YTW : 9.59 % |
| There were 48 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BIP.PR.A | FixedReset | Quote: 17.83 – 19.00 Spot Rate : 1.1700 Average : 0.7524 YTW SCENARIO |
| BNS.PR.F | FloatingReset | Quote: 18.51 – 19.55 Spot Rate : 1.0400 Average : 0.7716 YTW SCENARIO |
| TRP.PR.I | FloatingReset | Quote: 10.75 – 12.28 Spot Rate : 1.5300 Average : 1.3264 YTW SCENARIO |
| TD.PR.T | FloatingReset | Quote: 21.60 – 22.00 Spot Rate : 0.4000 Average : 0.2402 YTW SCENARIO |
| PWF.PR.Q | FloatingReset | Quote: 12.28 – 12.90 Spot Rate : 0.6200 Average : 0.4624 YTW SCENARIO |
| SLF.PR.J | FloatingReset | Quote: 12.33 – 12.84 Spot Rate : 0.5100 Average : 0.3543 YTW SCENARIO |