Holy smokes, how ’bout them floaters, eh? I’ll have to write a follow-up to my article … maybe give another another seminar.
Volume continued to be elevated on what was supposed to be a sleepy day, given the US holiday, assisted by large blocks in SLF issues, which went ex-Dividend today.
| 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 | 5.9595 % | 1,234.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 5.9595 % | 1,996.0 |
| Floater | 3.05 % | 3.70 % | 82,829 | 18.01 | 3 | 5.9595 % | 1,541.9 |
| OpRet | 5.03 % | 3.76 % | 128,196 | 0.98 | 15 | 0.0344 % | 2,160.3 |
| SplitShare | 5.94 % | 5.75 % | 56,150 | 4.23 | 3 | -0.1555 % | 1,824.3 |
| Interest-Bearing | 6.00 % | 7.17 % | 26,403 | 0.58 | 1 | -0.1996 % | 1,987.2 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1175 % | 1,715.8 |
| Perpetual-Discount | 6.38 % | 6.41 % | 157,330 | 13.31 | 71 | 0.1175 % | 1,580.2 |
| FixedReset | 5.73 % | 4.97 % | 489,315 | 4.46 | 37 | -0.1954 % | 1,979.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.C | Perpetual-Discount | -2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-25 Maturity Price : 17.87 Evaluated at bid price : 17.87 Bid-YTW : 6.31 % |
| NA.PR.P | FixedReset | -1.81 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-17 Maturity Price : 25.00 Evaluated at bid price : 26.61 Bid-YTW : 5.16 % |
| ELF.PR.G | Perpetual-Discount | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-25 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 7.39 % |
| NA.PR.O | FixedReset | -1.64 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-17 Maturity Price : 25.00 Evaluated at bid price : 26.35 Bid-YTW : 5.39 % |
| PWF.PR.E | Perpetual-Discount | -1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-25 Maturity Price : 20.91 Evaluated at bid price : 20.91 Bid-YTW : 6.67 % |
| RY.PR.B | Perpetual-Discount | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-25 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 6.30 % |
| RY.PR.P | FixedReset | -1.31 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 26.40 Bid-YTW : 4.97 % |
| MFC.PR.D | FixedReset | -1.23 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 26.59 Bid-YTW : 5.12 % |
| IGM.PR.A | OpRet | -1.16 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2009-07-30 Maturity Price : 26.00 Evaluated at bid price : 26.39 Bid-YTW : 1.77 % |
| PWF.PR.I | Perpetual-Discount | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-25 Maturity Price : 22.91 Evaluated at bid price : 23.15 Bid-YTW : 6.55 % |
| PWF.PR.M | FixedReset | 1.86 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-02 Maturity Price : 25.00 Evaluated at bid price : 26.30 Bid-YTW : 4.90 % |
| GWO.PR.I | Perpetual-Discount | 1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-25 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 6.53 % |
| BAM.PR.K | Floater | 2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-25 Maturity Price : 10.51 Evaluated at bid price : 10.51 Bid-YTW : 3.79 % |
| BAM.PR.B | Floater | 4.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-25 Maturity Price : 10.75 Evaluated at bid price : 10.75 Bid-YTW : 3.70 % |
| TRI.PR.B | Floater | 9.24 % | Light volume but a significant move none-the-less! Traded 1,450 shares in a range of 18.00-19.00 before closing at 17.50-18.99 (!), 3×10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-25 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 2.26 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| SLF.PR.E | Perpetual-Discount | 213,800 | National crossed three blocks, one of 100,000 shares, two of 50,000 shares, all at 17.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-25 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 6.62 % |
| RY.PR.I | FixedReset | 106,822 | Commission Direct (who?) bought 10,200 from TD at 24.40, and another 15,600 from anonymous at 24.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-25 Maturity Price : 24.31 Evaluated at bid price : 24.36 Bid-YTW : 4.35 % |
| SLF.PR.D | Perpetual-Discount | 100,362 | National Bank sold 11,000 to HSBC, 17,700 to CIBC, 32,300 to Nesbitt and another 10,400 to Nesbitt, all at 17.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-25 Maturity Price : 16.93 Evaluated at bid price : 16.93 Bid-YTW : 6.58 % |
| SLF.PR.F | FixedReset | 75,365 | Nesbitt crossed 22,100 at 25.78. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-30 Maturity Price : 25.00 Evaluated at bid price : 25.77 Bid-YTW : 5.36 % |
| MFC.PR.D | FixedReset | 72,596 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 26.59 Bid-YTW : 5.12 % |
| RY.PR.G | Perpetual-Discount | 47,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-25 Maturity Price : 18.18 Evaluated at bid price : 18.18 Bid-YTW : 6.24 % |
| There were 43 other index-included issues trading in excess of 10,000 shares. | |||
I don’t know if anyone asked you the question before but when will we see again straight perps issued, if ever?
NA.PR.M is the last straight perp issue I can recall (at least on the banking side). All subsequent ones were fixed resets.
This week’s Canadian bank results (often followed by new issues) might give us the answer but, insofar as I am concerned, I would certainly be interested by a new straight perp issue giving more yield than a fixed reset for diversification purposes.
NA.PR.M is the last straight perp issue I can recall (at least on the banking side).
I make it RY.PR.H, listed 2008-4-29. NA.PR.M was 4/16.
a new straight perp issue giving more yield than a fixed reset
I think you just answered your own question …