Maneuvering continues on the US debt limit:
The White House endorsed a short debt-limit increase with no policy conditions attached, signaling potential support for House Republicans’ plan for a month-long reprieve from a default.
The idea, proposed today by House Speaker John Boehner, wouldn’t end the 10-day old partial shutdown of the federal government. The plan would push the lapse of U.S. borrowing authority to Nov. 22 from Oct. 17.
It was a rather strangely mixed day on the Canadian preferred share market, with PerpetualDiscounts and DeemedRetractibles both flat, while FixedResets were down 23bp. BAM issues were notable losers on the Performance Highlights table. Volume was quite high.
| 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 | -0.2583 % | 2,485.6 |
| FixedFloater | 4.33 % | 3.59 % | 30,899 | 18.24 | 1 | -0.1914 % | 3,874.7 |
| Floater | 2.72 % | 2.97 % | 61,485 | 19.81 | 5 | -0.2583 % | 2,683.8 |
| OpRet | 4.62 % | 3.18 % | 61,408 | 0.63 | 3 | 0.2829 % | 2,643.9 |
| SplitShare | 4.77 % | 5.08 % | 65,038 | 4.01 | 6 | 0.1491 % | 2,940.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2829 % | 2,417.6 |
| Perpetual-Premium | 5.80 % | 1.42 % | 108,513 | 0.10 | 8 | -0.0948 % | 2,276.0 |
| Perpetual-Discount | 5.59 % | 5.56 % | 160,692 | 14.45 | 30 | -0.0015 % | 2,329.4 |
| FixedReset | 4.97 % | 3.74 % | 235,995 | 3.60 | 85 | -0.2346 % | 2,446.4 |
| Deemed-Retractible | 5.15 % | 4.46 % | 187,539 | 6.87 | 43 | 0.0000 % | 2,372.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.D | Perpetual-Discount | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-10 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 6.25 % |
| BAM.PR.T | FixedReset | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-10 Maturity Price : 22.58 Evaluated at bid price : 23.33 Bid-YTW : 4.52 % |
| IFC.PR.A | FixedReset | -1.47 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 4.27 % |
| BAM.PR.K | Floater | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-10 Maturity Price : 17.57 Evaluated at bid price : 17.57 Bid-YTW : 3.00 % |
| BAM.PR.X | FixedReset | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-10 Maturity Price : 21.96 Evaluated at bid price : 22.37 Bid-YTW : 4.29 % |
| MFC.PR.F | FixedReset | -1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.42 Bid-YTW : 4.76 % |
| TRP.PR.C | FixedReset | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-10 Maturity Price : 22.40 Evaluated at bid price : 22.80 Bid-YTW : 3.82 % |
| BAM.PR.B | Floater | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-10 Maturity Price : 17.74 Evaluated at bid price : 17.74 Bid-YTW : 2.97 % |
| ENB.PR.H | FixedReset | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-10 Maturity Price : 22.43 Evaluated at bid price : 23.26 Bid-YTW : 4.27 % |
| CU.PR.F | Perpetual-Discount | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-10 Maturity Price : 21.06 Evaluated at bid price : 21.06 Bid-YTW : 5.42 % |
| CU.PR.G | Perpetual-Discount | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-10 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 5.42 % |
| PWF.PR.A | Floater | 2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-10 Maturity Price : 22.49 Evaluated at bid price : 22.75 Bid-YTW : 2.30 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.A | OpRet | 304,000 | TD crossed blocks of 199,500 and 50,000 at 25.55. RBC crossed 49,400 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-19 Maturity Price : 25.25 Evaluated at bid price : 25.43 Bid-YTW : 3.39 % |
| MFC.PR.I | FixedReset | 109,600 | RBC crossed two blocks of 49,400 each, both at 25.48. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.46 Bid-YTW : 3.98 % |
| MFC.PR.H | FixedReset | 60,270 | TD crossed 49,000 at 25.80. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 3.77 % |
| TD.PR.Y | FixedReset | 57,075 | Maple (who?) bought 19,300 from Hampton (who?) at 19,300. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.77 Bid-YTW : 3.70 % |
| CU.PR.G | Perpetual-Discount | 54,779 | Nesbitt crossed 30,000 at 21.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-10 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 5.42 % |
| CU.PR.F | Perpetual-Discount | 44,800 | RBC crossed 35,000 at 21.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-10 Maturity Price : 21.06 Evaluated at bid price : 21.06 Bid-YTW : 5.42 % |
| There were 49 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.A | FixedReset | Quote: 24.15 – 24.52 Spot Rate : 0.3700 Average : 0.2250 YTW SCENARIO |
| TD.PR.S | FixedReset | Quote: 24.48 – 24.78 Spot Rate : 0.3000 Average : 0.1785 YTW SCENARIO |
| IFC.PR.C | FixedReset | Quote: 25.51 – 25.79 Spot Rate : 0.2800 Average : 0.1674 YTW SCENARIO |
| TD.PR.I | FixedReset | Quote: 25.62 – 25.90 Spot Rate : 0.2800 Average : 0.1774 YTW SCENARIO |
| CIU.PR.C | FixedReset | Quote: 19.36 – 20.15 Spot Rate : 0.7900 Average : 0.6938 YTW SCENARIO |
| FTS.PR.J | Perpetual-Discount | Quote: 22.45 – 22.98 Spot Rate : 0.5300 Average : 0.4366 YTW SCENARIO |