Assiduous Reader AB passes on his latest collection of derivative notes based on preferred shares:
- BMO JHN12319, based on Evolve Active Canadian Preferred Share ETF, closing 2019-4-26
- BMO JHN12313, based on ZPR
- NBC NBC23348, based on ZPR
- BMO JHN12327, based on ZPR
- BMO JHN12328, based on ZPR
…to which I will add
- NBC NBC23354, based on ZPR, which I found through the NBC Structured Solution web-page
- TD Coupon Notes, series 329, linked to ZPR, which I found through the TD structured notes search page
The BMO ‘Principal at Risk’ Notes page is here.
The TD Structured notes page is here. Search for the product class ‘Principal at Risk Notes’ with the keyword ZPR.
So were notes like this responsible for BMO’s buying bout of ZPR at the close today?
I didn’t look carefully at all the details for all the notes, but I got the impression that a selling commission of 2.5% applied to these notes. Nice work, if you can get it!
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 | 0.6808 % | 2,094.5 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6808 % | 3,843.3 |
Floater | 5.61 % | 5.94 % | 50,751 | 13.97 | 3 | 0.6808 % | 2,214.9 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0298 % | 3,283.4 |
SplitShare | 4.88 % | 4.74 % | 72,416 | 3.80 | 8 | 0.0298 % | 3,921.1 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0298 % | 3,059.4 |
Perpetual-Premium | 5.60 % | -9.51 % | 93,881 | 0.09 | 10 | -0.1262 % | 2,949.1 |
Perpetual-Discount | 5.41 % | 5.48 % | 79,348 | 14.65 | 23 | -0.0151 % | 3,106.1 |
FixedReset Disc | 5.24 % | 5.38 % | 185,172 | 14.95 | 61 | -0.0780 % | 2,196.3 |
Deemed-Retractible | 5.23 % | 5.78 % | 103,679 | 8.11 | 27 | -0.0395 % | 3,074.6 |
FloatingReset | 4.25 % | 4.36 % | 52,182 | 2.66 | 5 | -0.0759 % | 2,403.0 |
FixedReset Prem | 5.07 % | 3.78 % | 280,592 | 2.20 | 23 | 0.0627 % | 2,588.7 |
FixedReset Bank Non | 1.97 % | 3.85 % | 145,148 | 2.67 | 3 | 0.0972 % | 2,648.5 |
FixedReset Ins Non | 5.00 % | 6.90 % | 103,624 | 8.23 | 22 | 0.0959 % | 2,255.4 |
Performance Highlights | |||
Issue | Index | Change | Notes |
BAM.PF.G | FixedReset Disc | -2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-25 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 5.83 % |
MFC.PR.L | FixedReset Ins Non | -1.68 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.55 Bid-YTW : 8.06 % |
BAM.PF.F | FixedReset Disc | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-25 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 5.72 % |
MFC.PR.M | FixedReset Ins Non | -1.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.59 Bid-YTW : 7.59 % |
TRP.PR.C | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-25 Maturity Price : 13.01 Evaluated at bid price : 13.01 Bid-YTW : 5.93 % |
TD.PF.I | FixedReset Disc | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-25 Maturity Price : 22.09 Evaluated at bid price : 22.53 Bid-YTW : 5.11 % |
CM.PR.S | FixedReset Disc | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-25 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.17 % |
NA.PR.S | FixedReset Disc | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-25 Maturity Price : 18.36 Evaluated at bid price : 18.36 Bid-YTW : 5.49 % |
TD.PF.A | FixedReset Disc | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-25 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 5.28 % |
GWO.PR.N | FixedReset Ins Non | 1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.75 Bid-YTW : 8.79 % |
TRP.PR.B | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-25 Maturity Price : 12.53 Evaluated at bid price : 12.53 Bid-YTW : 5.75 % |
BAM.PR.X | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-25 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 5.85 % |
MFC.PR.H | FixedReset Ins Non | 1.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.47 Bid-YTW : 5.99 % |
BAM.PR.K | Floater | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-25 Maturity Price : 11.76 Evaluated at bid price : 11.76 Bid-YTW : 5.94 % |
RY.PR.J | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-25 Maturity Price : 20.77 Evaluated at bid price : 20.77 Bid-YTW : 5.21 % |
PWF.PR.K | Perpetual-Discount | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-25 Maturity Price : 22.33 Evaluated at bid price : 22.60 Bid-YTW : 5.49 % |
TD.PF.C | FixedReset Disc | 2.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-25 Maturity Price : 18.67 Evaluated at bid price : 18.67 Bid-YTW : 5.20 % |
EMA.PR.F | FixedReset Disc | 3.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-25 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 5.61 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
CU.PR.D | Perpetual-Discount | 160,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-25 Maturity Price : 22.31 Evaluated at bid price : 22.68 Bid-YTW : 5.47 % |
BMO.PR.F | FixedReset Prem | 150,847 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 4.84 % |
NA.PR.A | FixedReset Prem | 83,662 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 25.81 Bid-YTW : 3.81 % |
PWF.PR.L | Perpetual-Discount | 80,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-25 Maturity Price : 22.93 Evaluated at bid price : 23.20 Bid-YTW : 5.51 % |
RY.PR.F | Deemed-Retractible | 65,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.13 Bid-YTW : -6.07 % |
GWO.PR.G | Deemed-Retractible | 48,500 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.01 Bid-YTW : 5.78 % |
There were 37 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
BMO.PR.W | FixedReset Disc | Quote: 18.47 – 19.02 Spot Rate : 0.5500 Average : 0.3682 YTW SCENARIO |
PWF.PR.Q | FloatingReset | Quote: 13.90 – 14.60 Spot Rate : 0.7000 Average : 0.5759 YTW SCENARIO |
TRP.PR.A | FixedReset Disc | Quote: 14.80 – 15.35 Spot Rate : 0.5500 Average : 0.4300 YTW SCENARIO |
RY.PR.G | Deemed-Retractible | Quote: 25.15 – 25.42 Spot Rate : 0.2700 Average : 0.1649 YTW SCENARIO |
MFC.PR.B | Deemed-Retractible | Quote: 21.75 – 22.10 Spot Rate : 0.3500 Average : 0.2524 YTW SCENARIO |
PWF.PR.E | Perpetual-Premium | Quote: 24.92 – 25.19 Spot Rate : 0.2700 Average : 0.1741 YTW SCENARIO |
What is the motive for creating this kind of instrument? Other than getting the fees and commission, of course?
Is there some kind of risk that the holder of this instrument going to mitigate?