On March 28 I highlighted an issue of structured notes from TD. Assiduous Reader AB writes in and provides me with a link to the National Bank Structured Solutions Group page, who issued five separate notes “linked to a Canadian preferred share ETF” between April 10 and April 18.
There was a disorderly close in the market today, as TXPR lost 49bp in the last five minutes to close down 28bp from yesterday on high volume of over 4-million shares.
Click for Big
One of the hard-working geniuses who are such a feature of Canadian investment management made extensive use of the Market-on-Close facility, which I assume helped him leave early for the long weekend.
| 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 | -1.3731 % | 2,108.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.3731 % | 3,869.0 |
| Floater | 5.55 % | 5.86 % | 49,194 | 14.11 | 3 | -1.3731 % | 2,229.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0050 % | 3,284.7 |
| SplitShare | 4.87 % | 4.69 % | 75,213 | 3.82 | 8 | 0.0050 % | 3,922.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0050 % | 3,060.6 |
| Perpetual-Premium | 5.58 % | -8.49 % | 86,667 | 0.09 | 10 | -0.2043 % | 2,953.7 |
| Perpetual-Discount | 5.41 % | 5.52 % | 80,810 | 14.60 | 23 | -0.4501 % | 3,100.4 |
| FixedReset Disc | 5.23 % | 5.41 % | 185,299 | 14.84 | 61 | -0.2348 % | 2,197.7 |
| Deemed-Retractible | 5.22 % | 5.82 % | 99,895 | 8.13 | 27 | -0.2627 % | 3,074.2 |
| FloatingReset | 4.23 % | 4.35 % | 57,414 | 2.67 | 5 | -0.2798 % | 2,414.9 |
| FixedReset Prem | 5.08 % | 3.93 % | 290,390 | 2.19 | 23 | -0.4817 % | 2,579.5 |
| FixedReset Bank Non | 1.98 % | 4.02 % | 149,013 | 2.69 | 3 | 0.0418 % | 2,636.8 |
| FixedReset Ins Non | 5.02 % | 6.89 % | 109,903 | 8.25 | 22 | -0.8244 % | 2,246.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IAF.PR.G | FixedReset Ins Non | -5.54 % | Not as unreasonable as it looks, as the issue traded 24,769 shares in a range of 20.42-39 before closing at 20.12-21.39. “Range” is kind of a misnomer, since the issue traded at around 21.30 for most of the day, then moved to the 20.42 MOC price with very little in between. The indicated MOC imbalance was a sell of 7,286 shares.
YTW SCENARIO |
| BAM.PR.K | Floater | -3.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 11.74 Evaluated at bid price : 11.74 Bid-YTW : 5.95 % |
| MFC.PR.L | FixedReset Ins Non | -2.83 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.49 Bid-YTW : 8.11 % |
| TRP.PR.B | FixedReset Disc | -2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 12.52 Evaluated at bid price : 12.52 Bid-YTW : 5.79 % |
| PWF.PR.Z | Perpetual-Discount | -2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 22.96 Evaluated at bid price : 23.27 Bid-YTW : 5.54 % |
| PWF.PR.L | Perpetual-Discount | -1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 22.59 Evaluated at bid price : 22.84 Bid-YTW : 5.59 % |
| MFC.PR.Q | FixedReset Ins Non | -1.83 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.40 Bid-YTW : 6.97 % |
| PWF.PR.S | Perpetual-Discount | -1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 21.56 Evaluated at bid price : 21.56 Bid-YTW : 5.59 % |
| BAM.PF.I | FixedReset Prem | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 23.14 Evaluated at bid price : 24.35 Bid-YTW : 5.50 % |
| BIP.PR.F | FixedReset Disc | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 6.02 % |
| BAM.PR.B | Floater | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 11.91 Evaluated at bid price : 11.91 Bid-YTW : 5.86 % |
| PWF.PR.K | Perpetual-Discount | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 21.76 Evaluated at bid price : 22.01 Bid-YTW : 5.63 % |
| BAM.PF.A | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.62 % |
| BAM.PR.Z | FixedReset Disc | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 20.27 Evaluated at bid price : 20.27 Bid-YTW : 5.76 % |
| MFC.PR.B | Deemed-Retractible | -1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 6.39 % |
| BAM.PR.T | FixedReset Disc | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 16.38 Evaluated at bid price : 16.38 Bid-YTW : 5.96 % |
| BNS.PR.H | FixedReset Prem | -1.32 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 4.04 % |
| GWO.PR.R | Deemed-Retractible | -1.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 5.98 % |
| CU.PR.C | FixedReset Disc | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 5.53 % |
| TRP.PR.K | FixedReset Prem | -1.25 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.36 Bid-YTW : 4.67 % |
| IFC.PR.G | FixedReset Ins Non | -1.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.25 Bid-YTW : 7.14 % |
| TRP.PR.G | FixedReset Disc | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 19.19 Evaluated at bid price : 19.19 Bid-YTW : 5.97 % |
| HSE.PR.A | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 12.65 Evaluated at bid price : 12.65 Bid-YTW : 6.50 % |
| MFC.PR.J | FixedReset Ins Non | -1.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.71 Bid-YTW : 6.82 % |
| CM.PR.Q | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 5.44 % |
| SLF.PR.A | Deemed-Retractible | 1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 6.12 % |
| BMO.PR.E | FixedReset Disc | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 22.08 Evaluated at bid price : 22.64 Bid-YTW : 4.96 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.T | FixedReset Prem | 271,288 | Indicated MOC imbalance was a buy of 61,601 shares.
YTW SCENARIO |
| BAM.PR.K | Floater | 252,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 11.74 Evaluated at bid price : 11.74 Bid-YTW : 5.95 % |
| CU.PR.G | Perpetual-Discount | 218,515 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 5.37 % |
| TD.PF.L | FixedReset Prem | 217,051 | Indicated MOC imbalance was a buy of 3,247 shares.
YTW SCENARIO |
| GWO.PR.R | Deemed-Retractible | 140,171 | Indicated MOC imbalance was a sell of 154,494 shares.
YTW SCENARIO |
| VNR.PR.A | FixedReset Prem | 118,662 | Indicated MOC imbalance was a sell of 55,262 shares.
YTW SCENARIO |
| BIK.PR.A | FixedReset Prem | 117,120 | Indicated MOC imbalance was a buy of 51,183 shares.
YTW SCENARIO |
| BAM.PF.I | FixedReset Prem | 109,124 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 23.14 Evaluated at bid price : 24.35 Bid-YTW : 5.50 % |
| BMO.PR.Y | FixedReset Disc | 105,784 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-18 Maturity Price : 21.27 Evaluated at bid price : 21.27 Bid-YTW : 5.14 % |
| There were 88 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IAF.PR.G | FixedReset Ins Non | Quote: 20.12 – 21.39 Spot Rate : 1.2700 Average : 0.7229 YTW SCENARIO |
| IFC.PR.G | FixedReset Ins Non | Quote: 20.25 – 21.20 Spot Rate : 0.9500 Average : 0.5626 YTW SCENARIO |
| CU.PR.I | FixedReset Prem | Quote: 25.65 – 26.41 Spot Rate : 0.7600 Average : 0.4676 YTW SCENARIO |
| PWF.PR.S | Perpetual-Discount | Quote: 21.56 – 22.27 Spot Rate : 0.7100 Average : 0.4296 YTW SCENARIO |
| MFC.PR.Q | FixedReset Ins Non | Quote: 20.40 – 20.90 Spot Rate : 0.5000 Average : 0.3045 YTW SCENARIO |
| TD.PF.J | FixedReset Disc | Quote: 21.42 – 22.00 Spot Rate : 0.5800 Average : 0.3899 YTW SCENARIO |