MAPF

MAPF Portfolio Composition: May 2009

Trading activity increased slightly in May, with portfolio turnover of about 90%, as the market extended its gains.

Trades were, as ever, triggered by a desire to exploit transient mispricing in the preferred share market (which may the thought of as “selling liquidity”), rather than any particular view being taken on market direction, sectoral performance or credit anticipation.

MAPF Sectoral Analysis 2009-5-29
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 11.1% (0) 11.67% 6.93
Interest Rearing 0% N/A N/A
PerpetualPremium 0.0% N/A N/A
PerpetualDiscount 69.8% (+6.5) 6.73% 12.90
Fixed-Reset 12.5% (-6.7) 5.38% 4.32
Scraps (OpRet) 6.2% (+0.5) 13.19% 5.02
Cash +0.6% (0) 0.00% 0.00
Total 100% 7.47% 10.61
Totals and changes will not add precisely due to rounding. Bracketted figures represent change from April month-end. Cash is included in totals with duration and yield both equal to zero.

The “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.). MAPF will often have relatively large cash balances, both credit and debit, to facilitate trading. Figures presented in the table have been rounded to the indicated precision.

The important change was the shift from FixedResets into PerpetualDiscounts. The initial trade spawned important knock-on trades towards the end of the month:

Shift from FixedReset to PerpetualDiscounts
Date CM.PR.M CM.PR.D HSB.PR.C SLF.PR.B
5/1 Sold
26.90		 Bot
20.85		    
5/27   Sold
22.15		 Bot
19.95		  
5/29     Sold
20.49		 Bot
18.10
5/29
Close		 26.68-80 22.00-27 20.00-46 18.05-19

Credit distribution is:

MAPF Credit Analysis 2009-5-29
DBRS Rating Weighting
Pfd-1 40.4% (-13.6)
Pfd-1(low) 23.8% (+4.7)
Pfd-2(high) 9.5% (+8.6)
Pfd-2 0% (0)
Pfd-2(low) 19.7% (+0.1)
Pfd-3(high) 6.2% (+0.5)
Cash +0.6% (0)
Totals will not add precisely due to rounding. Bracketted figures represent change from April month-end.

The increase in weighting of Pfd-2(high) reflects the purchase of POW.PR.D, accumulated as follows:

Accumulation of POW.PR.D
Date GWO.PR.I SLF.PR.B POW.PR.D
4/30
Close		 16.33-50 17.17-37 18.54-59
5/20 Sold
17.08		   Bot
18.65
5/21 Sold
17.47		   Bot
18.80
5/26   Sold
18.25		 Bot
18.74
5/29
Close		 17.50-78 18.05-19 18.75-79
Dividends Missed
0.28125		 Earned
0.30		  

The fund does not set any targets for overall credit quality; trades are executed one by one. Variances in overall credit will be constant as opportunistic trades are executed. The overall credit quality of the portfolio is now superior to the credit quality of CPD at August month-end (when adjusted for the downgrade of BCE).

Claymore provides the following ratings breakdown:

Ratings Breakdown
as of 12/31/08
Pfd-1 61.15%
Pfd-2 23.26%
Pfd-3 15.60%

Two events have occurred since the Dec. 31 calculation date of CPD’s credit quality:

Liquidity Distribution is:

MAPF Liquidity Analysis 2009-5-29
Average Daily Trading Weighting
<$50,000 1.9% (+1.5)
$50,000 – $100,000 19.1% (-1.6)
$100,000 – $200,000 31.6% (-21.7)
$200,000 – $300,000 31.5% (+25.4)
>$300,000 15.5% (-3.7)
Cash +0.6% (0)
Totals will not add precisely due to rounding. Bracketted figures represent change from April month-end.

MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available the fund’s web page. A “unit trust” is like a regular mutual fund, but is sold by offering memorandum rather than prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission) and those who subscribe for $150,000+. Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.

A similar portfolio composition analysis has been performed on The Claymore Preferred Share ETF (symbol CPD) as of August 29. When comparing CPD and MAPF:

  • MAPF credit quality is better
  • MAPF liquidity is similar
  • MAPF Yield is higher
  • Weightings in
    • MAPF is more exposed to PerpetualDiscounts
    • MAPF is much less exposed to Operating Retractibles
    • MAPF is more exposed to SplitShares
    • MAPF is less exposed to FixFloat / Floater / Ratchet
    • MAPF weighting in FixedResets is similar
Issue Comments

BPO & BPP: S&P Revises Outlook to Negative

Standard and Poor’s has announced:

Standard & Poor’s Ratings Services today revised its outlook on Brookfield Properties Corp. (Brookfield) and its Toronto-based affiliate, BPO Properties Ltd. (BPP), to negative from stable. We continue to analytically view these two related companies as one rated entity. Brookfield retains an 89% equity interest (representing 54% of the voting securities and 100% of the non-voting securities) in BPP.

At the same time, we affirmed our ‘BBB’ long-term corporate credit rating on Brookfield and BPP and our ‘BB+’ preferred stock rating on the companies.
…
The current environment of weak operating fundamentals, lower office property valuations, and more-restrictive lender underwriting in the U.S. will pose challenges to the company’s efforts to recapitalize its highly leveraged U.S. property fund (debt is due in late 2011). We would lower the rating one notch if the company does not meaningfully improve its liquidity position this year or if fixed-charge coverage measures were to decline from their current level (1.6x). We would consider revising the outlook to stable if Brookfield’s management successfully addresses the longer-term recapitalization needs of its U.S. fund while strengthening overall consolidated fixed-charge coverage measures.

BPO has the following preferred issues outstanding: BPO.PR.F, BPO.PR.H, BPO.PR.I, BPO.PR.J, BPO.PR.K.

BPP has the following preferred issues outstanding: BPP.PR.G, BPP.PR.J & BPP.PR.M. Each of these issues were mentioned on PrefBlog in the post BAM / BPP Floater Credit Inversion.

BPO.PR.F & BPO.PR.H were added to the S&P/TSX Preferred Share Index in the July 2007 rebalancing. BPO.PR.I was added and BPO.PR.J was removed in the July 2008 rebalancing.

All are tracked by HIMIPref™ all have been relegated to the Scraps index on credit concerns.

Seminars

Seminars: Spring Series Complete, Fall Series Planned

Spring Series Complete

Fall Series Planned

Four seminars were presented in the spring of 2009; a series for the fall of 2009 is in the planning stages.

Topics for the fall series have not yet been determined. Among the possibilities:

  • Updates for each asset class
  • Detailed mathematics of fixed-income investment
  • Corporate bonds
  • The purpose of a fixed income portfolio
  • Credit Analysis
  • [Your Choice Here]! Send me an eMail!

Videos of prior seminars are available for purchase.

Update, 2009-6-2: One Assiduous Reader suggests “Innovative Tier 1 Capital”. This could be part of a more general seminar on bank debt.

Index Construction / Reporting

Index Performance: May 2009

Performance of the HIMIPref™ Indices for May, 2009, was:

Total Return
Index Performance
April May 2009		 Three Months
to
May 29, 2009
Ratchet +33.18% * +55.96% *
FixFloat +33.18% ** +55.96% **
Floater +33.18% +55.96%
OpRet +1.35% +5.84%
SplitShare +3.50% +11.15%
Interest 0.0% +2.57%
PerpetualPremium +4.24%*** +14.65%***
PerpetualDiscount +4.24% +14.65%%
FixedReset +2.05% +10.55%
* The last member of the RatchetRate index was transferred to Scraps at the February, 2009, rebalancing; subsequent performance figures are set equal to the Floater index
** The last member of the FixedFloater index was transferred to Scraps at the February, 2009, rebalancing. Performance figures to 2009-5-29 are set equal to the Floater index. The FixedFloater index acquired a member on 2009-5-29.
*** The last member of the PerpetualPremium index was transferred to PerpetualDiscount at the October, 2008, rebalancing; subsequent performance figures are set equal to the PerpetualDiscount index
Passive Funds (see below for calculations)
CPD +3.99% +11.90%
DPS.UN +6.35% +14.30%
Index
BMO-CM 50 % %

There is still a negative total return over one year – even for Floaters, despite their astonishing rise in the past three months:


Click for big

Claymore has published NAV and distribution data for its exchange traded fund (CPD) and I have derived the following table:

CPD Return, 1- & 3-month, to May 29, 2009
Date NAV Distribution Return for Sub-Period Monthly Return
February 27, 2009 14.40 0.00    
March 26 14.19 0.2100 0.00% +0.63%
March 31, 2009 14.28   +0.63%
April 30 15.27 0.00   +6.93%
May 29, 2009 15.88 0.00   +3.99%
Quarterly Return +11.90%

The DPS.UN NAV for May 27 has been published so we may calculate the May returns (approximately!) for this closed end fund.

DPS.UN NAV Return, May-ish 2009
Date NAV Distribution Return for period
April 29, 2009 17.07    
May 27, 2009 18.18 0.00 +6.50%
Estimated April Ending Stub** +0.33%
Estimated May Ending Stub +0.19%
Estimated May Return +6.35%
** CPD had a NAV of $15.22 on April 29 and a NAV of $15.27 on April 30. The return for the day was therefore +0.33%. This figure is subtracted from the DPS.UN period return to arrive at an estimate for the calendar month.
* CPD had a NAV of $15.85 on May 27 and a NAV of $15.88 on May 29. The return for the period was therefore +0.19%. This figure is added to the DPS.UN period return to arrive at an estimate for the calendar month.
The May return for DPS.UN’s NAV is therefore the product of three period returns, +6.50%, -0.33% and +0.19% to arrive at an estimate for the calendar month of +6.35%

Now, to see the DPS.UN quarterly NAV approximate return, we refer to the calculations for March and April:

DPS.UN NAV Returns, three-month-ish to end-May-ish, 2009
March-ish -0.23%
April-ish +7.72%
May-ish +6.35%
Three-months-ish +14.30%
Index Construction / Reporting

HIMIPref™ Index Rebalancing: May 2009

HIMI Index Changes, May 29, 2009
Issue From To Because
BAM.PR.G Scraps FixFloat Volume
ACO.PR.A OpRet Scraps Volume

I spent the latter part of the month hoping that CU.PR.B was going to make the leap from PerpetualDiscount to PerpetualPremium, but it fell just shy, closing May 29 at 24.90-99, 13×3. Maybe next month!

But on a brighter note, we now have an issue in the FixedFloater index!

There were the following intra-month changes:

HIMI Index Changes during May 2009
Issue Action Index Because
SLF.PR.F Add FixedReset New issue
CCS.PR.D Add Scraps New issue
Issue Comments

Best & Worst Performers: May 2009

These are total returns, with dividends presumed to have been reinvested at the bid price on the ex-date. The list has been restricted to issues in the HIMIPref™ indices.

May 2009
Issue Index DBRS Rating Monthly Performance Notes (“Now” means “May 29”)
IAG.PR.A Perpetual-Discount Pfd-2(high) -3.60% Was the second-best performer in April. This issue is notoriously volatile. Now with a pre-tax bid-YTW of 7.19% based on a bid of 16.02 and a limitMaturity.
BAM.PR.I OpRet Pfd-2(low) -0.99% Now with a pre-tax bid-YTW of 6.84% based on a bid of 23.96 and a softMaturity 2013-12-30 at 25.00.
BAM.PR.O OpRet Pfd-2(low) -0.64% Now with a pre-tax bid-YTW of 7.29% based on a bid of 23.25 and a softMaturity 2013-6-30 at 25.00.
BMO.PR.O FixedReset Pfd-1 -0.56% Now with a pre-tax bid-YTW of -0.56% based on a bid of 26.76 and a call 2014-6-24 at 25.00.
RY.PR.P FixedReset Pfd-1 +1.06% Now with a pre-tax bid-YTW of 4.97% based on a bid of 26.43 and a call 2014-3-26 at 25.00.
… … … … …
HSB.PR.D PerpetualDiscount Pfd-1 +11.17% Now with a pre-tax bid-YTW of 6.44% based on a bid of 19.80 and a limitMaturity.
GWO.PR.G PerpetualDiscount Pfd-1(low) +12.65% Now with a pre-tax bid-YTW of 6.25% based on a bid of 20.83 and a limitMaturity.
TRI.PR.B Floater Pfd-2(low) +31.15% Now with a pre-tax bid-YTW of 2.32% based on a bid of 17.05 and a limitMaturity.
BAM.PR.K Floater Pfd-2(low) +34.25% Now with a pre-tax bid-YTW of 3.40% based on a bid of 11.68 and a limitMaturity.
BAM.PR.B Floater Pfd-2(low) +35.13% Now with a pre-tax bid-YTW of 3.38% based on a bid of 11.77 and a limitMaturity.

What can I say? The Floaters Index currently has three members. The top three spots in May were occupied by Floaters. That’s a change! I put a chart of the Floater index over the past year in my Market Action post of May 26.

Market Action

May 29, 2009

Remember Jefferson County? It was last mentioned on September 28 … it’s becoming more farcical all the time:

Circuit Judge David Rains allowed the county in March to collect and spend the tax while the Legislature considered alternatives to the levy whose repeal was affirmed in January. Lawmakers adjourned on May 18 without approving a new measure, and the county couldn’t draw upon those funds.

Preferreds closed the month on a winning note on continued heavy volume. PerpetualDiscounts now yield 6.33%, equivalent to 8.86% interest at the standard equivalency factor of 1.4x. This compares with long corporates at 7.0%, indicating a pre-tax interest-equivalent spread of 186bp … wow! Getting lower by the day!

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 0.5961 % 1,289.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5961 % 2,085.6
Floater 2.92 % 3.38 % 81,000 18.75 3 0.5961 % 1,611.1
OpRet 5.04 % 3.76 % 128,655 0.97 15 0.1253 % 2,160.4
SplitShare 5.97 % 6.75 % 54,773 4.28 3 -0.3588 % 1,823.4
Interest-Bearing 6.02 % 8.03 % 27,781 0.57 1 0.3021 % 1,979.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1126 % 1,716.9
Perpetual-Discount 6.38 % 6.33 % 160,892 13.43 71 0.1126 % 1,581.3
FixedReset 5.74 % 4.98 % 487,414 4.45 37 0.1749 % 1,978.6
Performance Highlights
Issue Index Change Notes
IAG.PR.A Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-29
Maturity Price : 16.02
Evaluated at bid price : 16.02
Bid-YTW : 7.19 %
RY.PR.H Perpetual-Discount -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-29
Maturity Price : 22.86
Evaluated at bid price : 23.00
Bid-YTW : 6.19 %
CM.PR.P Perpetual-Discount -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-29
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.49 %
PWF.PR.E Perpetual-Discount -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-29
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 6.70 %
BNS.PR.O Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-29
Maturity Price : 22.79
Evaluated at bid price : 22.93
Bid-YTW : 6.18 %
SLF.PR.A Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-29
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 6.67 %
BAM.PR.K Floater 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-29
Maturity Price : 11.68
Evaluated at bid price : 11.68
Bid-YTW : 3.40 %
BNS.PR.T FixedReset 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.79
Bid-YTW : 4.78 %
RY.PR.R FixedReset 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 26.72
Bid-YTW : 4.70 %
ACO.PR.A OpRet 1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2009-06-28
Maturity Price : 26.00
Evaluated at bid price : 26.49
Bid-YTW : -17.00 %
CM.PR.J Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-29
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.34 %
PWF.PR.K Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-29
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.70 %
BAM.PR.B Floater 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-29
Maturity Price : 11.77
Evaluated at bid price : 11.77
Bid-YTW : 3.38 %
MFC.PR.C Perpetual-Discount 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-29
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 6.31 %
GWO.PR.G Perpetual-Discount 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-29
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 6.25 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.P FixedReset 120,470 Nesbitt crossed 100,000 at 25.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-29
Maturity Price : 24.89
Evaluated at bid price : 24.95
Bid-YTW : 4.49 %
SLF.PR.F FixedReset 101,035 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-30
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 5.39 %
BNS.PR.X FixedReset 67,476 RBC sold 10,000 to National at 26.70 and crossed another 39,100 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.66
Bid-YTW : 4.91 %
RY.PR.R FixedReset 45,250 Nesbitt crossed 23,300 at 26.50.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 26.72
Bid-YTW : 4.70 %
CM.PR.K FixedReset 43,315 RBC crossed 20,000 at 25.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-29
Maturity Price : 24.93
Evaluated at bid price : 24.98
Bid-YTW : 4.74 %
BNS.PR.L Perpetual-Discount 35,585 RBC crossed 20,000 at 18.58.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-29
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.11 %
There were 49 other index-included issues trading in excess of 10,000 shares.
Issue Comments

CCS.PR.D: Greenshoe Exercised

Cooperators has announced:

that it has issued an additional 600,000 Non-Cumulative 5-Year Rate Reset Class E Preference Shares, Series D (the “Series D Preference Shares”) at a price of $25.00 per Series D Preference Share for gross proceeds to the Company of $15,000,000 pursuant to the exercise by a syndicate of underwriters co-led by Scotia Capital Inc. and TD Securities Inc. and including BMO Nesbitt Burns Inc., RBC Dominion Securities Inc., Desjardins Securities Inc., National Bank Financial Inc., HSBC Securities (Canada) Inc., Blackmont Capital Inc., Dundee Securities Corporation and Industrial Alliance Securities Inc. (collectively, the “Underwriters”) of their over-allotment option, as described in the short form prospectus of the Company dated May 14, 2009. Including the over-allotment option, total gross proceeds of the Company’s public offering of Series D Preference Shares (the “Offering”) were $115,000,000.

CCS.PR.D commenced trading on May 22.

Issue Comments

GSX.PR.A to Mature on Schedule

Global Resource Split Corp. has announced:

that the Corporation will redeem all of its outstanding Preferred Shares and Class A Shares (together, the “Shares”) on June 30, 2009 (the “Redemption Date”) as contemplated by the constating documents of the Corporation. The Corporation will request that its Shares be delisted from the Toronto Stock Exchange after the close of trading on June 24, 2009. Thereafter, the Corporation will pay a capital gain dividend to all Class A Shareholders of record on June 30, 2009 prior to redeeming the Class A Shares. Such capital gain dividend will reduce the redemption price per Class A Share by an equivalent amount. The capital gain dividend, together with the redemption proceeds for the Shares, will be paid by the Corporation on or about July 6, 2009 through CDS Clearing and Depository Services Inc.

In addition, the Corporation will pay on June 30, 2009 a regular quarterly distribution of $0.13125 per Preferred Share to shareholders of record on June 15, 2009.

Preferred Shares and Class A Shares are currently listed on the Toronto Stock Exchange under the symbols GSX.PR.A and GSX, respectively.

GSX.PR.A has not been tracked by HIMIPref™. There are only 586,000 shares outstanding with a $10 par value.

Market Action

May 28, 2009

The Treasury Market Practices Group has released a new closing-time convention that should help the Treasury fails situation – at least to some extent:

Some buy-side market participants expressed dissatisfaction with the existing market convention under which dealers can deliver securities to customers until 3:15 p.m., but customers can usually only deliver securities to dealers until 3:00 p.m.6 This convention can sometimes leave a customer who had, at 3:00 p.m., an uncompleted obligation to receive securities and a matching uncompleted obligation to deliver the same securities in the position of taking in the securities after 3:00 p.m. without being able to turn the securities around and redeliver them on the same day. Instead of a pair of matched fails, the customer is left with an unmatched fail to deliver, resulting in higher interest expenses and/or an overdraft charge. Some buy-side market participants expressed the view that closing times should treat all market participants the same, regardless of whether they are real money investors, leveraged investors, or dealers.

It will now be 3:00pm for everybody and 3:15pm for sophisticated participants (who will mostly be dealers).

It is unusual, but not unheard of, for “real money” accounts to buy and sell the same issue on the same day; but it would be more of a problem for hot money accounts like hedge funds.

Not much price volatility today, as the market eased off a little bit on continued good volume. I forgot to do the spreads-to-corporates yesterday … today PerpetualDiscounts closed to yield 6.42%, equivalent to 8.99% at the standard 1.4x equivalency factor. Long Corporates currently yield about 7.0%, so the pre-tax interest-equivalent spread is now about 199bp – in line with what may be considered Credit-Crunch-but-not-Credit-Terror levels.

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 -0.1983 % 1,282.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1983 % 2,073.2
Floater 2.93 % 3.44 % 83,607 18.60 3 -0.1983 % 1,601.5
OpRet 5.04 % 3.71 % 128,089 0.98 15 -0.0450 % 2,157.7
SplitShare 5.95 % 5.87 % 53,574 4.28 3 -0.2179 % 1,830.0
Interest-Bearing 6.04 % 8.53 % 27,841 0.57 1 0.5061 % 1,973.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1548 % 1,715.0
Perpetual-Discount 6.38 % 6.42 % 160,615 13.32 71 -0.1548 % 1,579.5
FixedReset 5.75 % 4.98 % 487,269 4.47 37 -0.0897 % 1,975.1
Performance Highlights
Issue Index Change Notes
MFC.PR.C Perpetual-Discount -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-28
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 6.47 %
BAM.PR.M Perpetual-Discount -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-28
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 8.28 %
MFC.PR.B Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-28
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.27 %
BAM.PR.B Floater -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-28
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 3.46 %
PWF.PR.L Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-28
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.76 %
BAM.PR.N Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-28
Maturity Price : 14.83
Evaluated at bid price : 14.83
Bid-YTW : 8.20 %
RY.PR.I FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-28
Maturity Price : 24.42
Evaluated at bid price : 24.47
Bid-YTW : 4.33 %
BNS.PR.M Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-28
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 6.15 %
POW.PR.C Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-28
Maturity Price : 21.63
Evaluated at bid price : 21.63
Bid-YTW : 6.82 %
CM.PR.P Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-28
Maturity Price : 21.65
Evaluated at bid price : 21.91
Bid-YTW : 6.35 %
POW.PR.A Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-28
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.72 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.O FixedReset 218,122 National Bank crossed 200,000 at 27.00.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-24
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 5.10 %
TD.PR.E FixedReset 111,941 National Bank bought 10,000 from HSBC at 26.48. Nesbit crossed 40,000 at 26.60 and bought 36,100 from RBC at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-30
Maturity Price : 25.00
Evaluated at bid price : 26.41
Bid-YTW : 5.11 %
BNS.PR.J Perpetual-Discount 110,699 National Bank crossed 100,000 at 21.78.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-28
Maturity Price : 21.48
Evaluated at bid price : 21.76
Bid-YTW : 6.10 %
BNS.PR.R FixedReset 60,642 Nesbitt crossed 50,000 at 24.36.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-28
Maturity Price : 24.40
Evaluated at bid price : 24.45
Bid-YTW : 4.30 %
RY.PR.C Perpetual-Discount 47,210 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-28
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 6.25 %
RY.PR.Y FixedReset 47,059 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-24
Maturity Price : 25.00
Evaluated at bid price : 26.08
Bid-YTW : 5.34 %
There were 47 other index-included issues trading in excess of 10,000 shares.