May 26, 2011

Yellow got clobbered again!

YLO Issues, 2011-5-26
Ticker Quote
5/25
Quote
5/26
Bid YTW
5/26
YTW
Scenario
5/26
Performance
5/26
(bid/bid)
YLO.PR.A 23.84-95 22.75-85 11.04% Soft Maturity
2012-12-30
-4.57%
YLO.PR.B 17.85-99 17.06-10 12.96% Soft Maturity
2017-06-29
-4.42%
YLO.PR.C 18.88-00 18.20-60 9.27% Limit Maturity -3.60%
YLO.PR.D 19.17-34 18.99-09 9.04% Limit Maturity -0.94%

Apart from that, said Mrs. Lincoln, it was a very nice evening at the theatre! The Canadian preferred share market did quite well today, with PerpetualDiscounts gaining 15bp, FixedResets picking up 1bp and DeemedRetractibles winning 29bp. A good crop of winners is in the Performance Highlights table, led by CM.PR.H, which is being redeemed and followed by others that are not seeking NVCC status. Volume was good, and again CM issues were featured.

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 -0.0815 % 2,462.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0815 % 3,703.7
Floater 2.45 % 2.24 % 44,485 21.64 4 -0.0815 % 2,658.9
OpRet 4.88 % 3.36 % 63,550 0.42 9 -0.1844 % 2,418.5
SplitShare 5.22 % -2.16 % 60,882 0.55 6 0.0000 % 2,514.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1844 % 2,211.5
Perpetual-Premium 5.72 % 4.96 % 143,584 0.82 9 0.1694 % 2,072.1
Perpetual-Discount 5.48 % 5.56 % 127,396 14.47 15 0.1511 % 2,170.0
FixedReset 5.15 % 3.19 % 195,858 2.86 57 0.0159 % 2,309.0
Deemed-Retractible 5.12 % 4.91 % 328,759 8.08 53 0.2880 % 2,150.8
Performance Highlights
Issue Index Change Notes
ELF.PR.G Deemed-Retractible 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.91
Bid-YTW : 7.07 %
BNS.PR.L Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.76
Bid-YTW : 4.68 %
RY.PR.A Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 4.66 %
IGM.PR.B Perpetual-Premium 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-30
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 5.51 %
POW.PR.D Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-05-26
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 5.30 %
CM.PR.J Deemed-Retractible 2.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 4.58 %
CM.PR.I Deemed-Retractible 2.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.61 %
CM.PR.H Deemed-Retractible 3.44 % Called for redemption.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-06-25
Maturity Price : 25.75
Evaluated at bid price : 25.86
Bid-YTW : 3.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.A OpRet 179,405 Desjardins crossed 150,400 at 25.50; then another 20,000 at 25.54.
YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2015-12-18
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 3.73 %
CM.PR.H Deemed-Retractible 164,454 Called for redemption.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-06-25
Maturity Price : 25.75
Evaluated at bid price : 25.86
Bid-YTW : 3.51 %
CM.PR.G Deemed-Retractible 103,470 Seeking NVCC status.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 5.24 %
RY.PR.W Deemed-Retractible 87,953 TD bought 10,000 from anonymous at 24.87.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.87
Bid-YTW : 4.99 %
HSE.PR.A FixedReset 86,924 Desjardins bought blocks of 25,000 and 15,000 from anonymous, both at 25.46; Desjardins crossed 25,000 at 25.57.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 4.12 %
CM.PR.I Deemed-Retractible 78,282 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.61 %
There were 38 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: 25.93 – 26.53
Spot Rate : 0.6000
Average : 0.3412

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-01
Maturity Price : 25.00
Evaluated at bid price : 25.93
Bid-YTW : 3.49 %

IAG.PR.C FixedReset Quote: 26.87 – 27.25
Spot Rate : 0.3800
Average : 0.2706

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 26.87
Bid-YTW : 3.06 %

BAM.PR.O OpRet Quote: 26.06 – 26.39
Spot Rate : 0.3300
Average : 0.2266

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 3.28 %

NA.PR.L Deemed-Retractible Quote: 24.87 – 25.18
Spot Rate : 0.3100
Average : 0.2119

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.87
Bid-YTW : 4.96 %

BNS.PR.T FixedReset Quote: 27.40 – 27.66
Spot Rate : 0.2600
Average : 0.1825

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 27.40
Bid-YTW : 3.08 %

BAM.PR.P FixedReset Quote: 27.52 – 27.74
Spot Rate : 0.2200
Average : 0.1582

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-10-30
Maturity Price : 25.00
Evaluated at bid price : 27.52
Bid-YTW : 4.17 %

Leave a Reply

You must be logged in to post a comment.