No commentary today! It must be quarter-end, or something!
Whoosh-a-rama! PerpetualDiscounts rocketted up today and Fixed-Resets put up a very good show. CIU.PR.B at 26.75 bid, with a 5.22% YTW? The PerpetualDiscount CIU.PR.A closed at 17.21-18.25 today, yielding 6.78%-6.33% and I can no longer say (as I said when CIU.PR.B closed) that the Fixed-Reset issue is still cheap! However, some may still be attracted by the now legitimate expectation of a five-year call.
| 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 | 1.1658 % | 870.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.1658 % | 1,408.3 |
| Floater | 5.60 % | 5.51 % | 72,628 | 14.70 | 2 | 1.1658 % | 1,087.9 |
| OpRet | 5.19 % | 4.73 % | 135,395 | 3.87 | 15 | 0.3503 % | 2,087.5 |
| SplitShare | 7.07 % | 13.01 % | 47,274 | 5.66 | 3 | -0.8114 % | 1,635.7 |
| Interest-Bearing | 6.12 % | 8.58 % | 31,203 | 0.72 | 1 | 0.9269 % | 1,947.5 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.4848 % | 1,553.1 |
| Perpetual-Discount | 6.99 % | 7.13 % | 152,913 | 12.42 | 71 | 1.4848 % | 1,430.4 |
| FixedReset | 6.04 % | 5.79 % | 741,277 | 13.57 | 33 | 0.5187 % | 1,844.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BNA.PR.A | SplitShare | -2.51 % | Asset coverage of 1.7-:1 as of February 28 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2010-09-30 Maturity Price : 25.00 Evaluated at bid price : 22.91 Bid-YTW : 13.01 % |
| ACO.PR.A | OpRet | -1.66 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2009-12-31 Maturity Price : 25.50 Evaluated at bid price : 26.11 Bid-YTW : 3.05 % |
| W.PR.J | Perpetual-Discount | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 19.86 Evaluated at bid price : 19.86 Bid-YTW : 7.09 % |
| TCA.PR.X | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 45.01 Evaluated at bid price : 46.75 Bid-YTW : 5.95 % |
| IAG.PR.C | FixedReset | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 22.21 Evaluated at bid price : 22.25 Bid-YTW : 6.11 % |
| BNS.PR.Q | FixedReset | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 22.01 Evaluated at bid price : 22.06 Bid-YTW : 4.36 % |
| BAM.PR.K | Floater | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 7.62 Evaluated at bid price : 7.62 Bid-YTW : 5.78 % |
| CM.PR.K | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 22.21 Evaluated at bid price : 22.25 Bid-YTW : 4.85 % |
| BNS.PR.R | FixedReset | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 22.37 Evaluated at bid price : 22.41 Bid-YTW : 4.47 % |
| TD.PR.A | FixedReset | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 22.96 Evaluated at bid price : 23.00 Bid-YTW : 4.44 % |
| BNS.PR.K | Perpetual-Discount | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 6.74 % |
| BMO.PR.K | Perpetual-Discount | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 18.98 Evaluated at bid price : 18.98 Bid-YTW : 7.03 % |
| GWO.PR.G | Perpetual-Discount | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 17.82 Evaluated at bid price : 17.82 Bid-YTW : 7.36 % |
| HSB.PR.D | Perpetual-Discount | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 16.81 Evaluated at bid price : 16.81 Bid-YTW : 7.51 % |
| BAM.PR.B | Floater | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 8.00 Evaluated at bid price : 8.00 Bid-YTW : 5.51 % |
| CM.PR.I | Perpetual-Discount | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 16.31 Evaluated at bid price : 16.31 Bid-YTW : 7.22 % |
| GWO.PR.I | Perpetual-Discount | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 15.27 Evaluated at bid price : 15.27 Bid-YTW : 7.44 % |
| IAG.PR.A | Perpetual-Discount | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 14.96 Evaluated at bid price : 14.96 Bid-YTW : 7.76 % |
| HSB.PR.C | Perpetual-Discount | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 7.17 % |
| BAM.PR.J | OpRet | 1.37 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 18.50 Bid-YTW : 9.90 % |
| CM.PR.P | Perpetual-Discount | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 19.09 Evaluated at bid price : 19.09 Bid-YTW : 7.22 % |
| MFC.PR.D | FixedReset | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 24.85 Evaluated at bid price : 24.90 Bid-YTW : 6.48 % |
| NA.PR.L | Perpetual-Discount | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 17.61 Evaluated at bid price : 17.61 Bid-YTW : 7.02 % |
| CM.PR.H | Perpetual-Discount | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 16.78 Evaluated at bid price : 16.78 Bid-YTW : 7.17 % |
| RY.PR.G | Perpetual-Discount | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 17.13 Evaluated at bid price : 17.13 Bid-YTW : 6.68 % |
| CM.PR.G | Perpetual-Discount | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 18.82 Evaluated at bid price : 18.82 Bid-YTW : 7.19 % |
| BNS.PR.O | Perpetual-Discount | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 21.31 Evaluated at bid price : 21.31 Bid-YTW : 6.71 % |
| MFC.PR.B | Perpetual-Discount | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 16.07 Evaluated at bid price : 16.07 Bid-YTW : 7.32 % |
| BAM.PR.O | OpRet | 1.58 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 21.85 Bid-YTW : 8.67 % |
| BNS.PR.L | Perpetual-Discount | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 6.68 % |
| RY.PR.D | Perpetual-Discount | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 17.13 Evaluated at bid price : 17.13 Bid-YTW : 6.68 % |
| BMO.PR.L | Perpetual-Discount | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 20.88 Evaluated at bid price : 20.88 Bid-YTW : 7.06 % |
| TD.PR.P | Perpetual-Discount | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.69 % |
| BMO.PR.H | Perpetual-Discount | 1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 6.77 % |
| PWF.PR.F | Perpetual-Discount | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 7.30 % |
| ELF.PR.F | Perpetual-Discount | 1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 8.84 % |
| SLF.PR.B | Perpetual-Discount | 1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 16.14 Evaluated at bid price : 16.14 Bid-YTW : 7.51 % |
| GWO.PR.H | Perpetual-Discount | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 16.53 Evaluated at bid price : 16.53 Bid-YTW : 7.40 % |
| CM.PR.E | Perpetual-Discount | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 7.23 % |
| RY.PR.H | Perpetual-Discount | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 22.02 Evaluated at bid price : 22.11 Bid-YTW : 6.49 % |
| POW.PR.C | Perpetual-Discount | 1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 19.31 Evaluated at bid price : 19.31 Bid-YTW : 7.56 % |
| RY.PR.E | Perpetual-Discount | 2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 6.65 % |
| BNA.PR.C | SplitShare | 2.11 % | Asset coverage of 1.7-:1 as of February 28 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 11.60 Bid-YTW : 15.19 % |
| BNS.PR.M | Perpetual-Discount | 2.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 17.19 Evaluated at bid price : 17.19 Bid-YTW : 6.69 % |
| CM.PR.J | Perpetual-Discount | 2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 7.14 % |
| SLF.PR.E | Perpetual-Discount | 2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 15.21 Evaluated at bid price : 15.21 Bid-YTW : 7.47 % |
| PWF.PR.L | Perpetual-Discount | 2.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 17.48 Evaluated at bid price : 17.48 Bid-YTW : 7.47 % |
| BAM.PR.M | Perpetual-Discount | 2.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 13.38 Evaluated at bid price : 13.38 Bid-YTW : 8.98 % |
| CIU.PR.B | FixedReset | 2.45 % | At these prices, holders are justified in assigning a high probability to a five-year call! YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-01 Maturity Price : 25.00 Evaluated at bid price : 26.75 Bid-YTW : 5.22 % |
| BAM.PR.I | OpRet | 2.52 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2013-12-30 Maturity Price : 25.00 Evaluated at bid price : 22.35 Bid-YTW : 8.31 % |
| PWF.PR.H | Perpetual-Discount | 2.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 7.45 % |
| RY.PR.C | Perpetual-Discount | 2.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 6.61 % |
| POW.PR.A | Perpetual-Discount | 2.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 19.02 Evaluated at bid price : 19.02 Bid-YTW : 7.41 % |
| SLF.PR.A | Perpetual-Discount | 2.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 16.25 Evaluated at bid price : 16.25 Bid-YTW : 7.38 % |
| RY.PR.B | Perpetual-Discount | 2.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 6.49 % |
| PWF.PR.E | Perpetual-Discount | 2.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 7.35 % |
| GWO.PR.F | Perpetual-Discount | 3.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 7.26 % |
| POW.PR.B | Perpetual-Discount | 3.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 7.43 % |
| SLF.PR.D | Perpetual-Discount | 3.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 15.28 Evaluated at bid price : 15.28 Bid-YTW : 7.35 % |
| SLF.PR.C | Perpetual-Discount | 3.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 7.36 % |
| POW.PR.D | Perpetual-Discount | 3.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 7.36 % |
| RY.PR.A | Perpetual-Discount | 4.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 6.28 % |
| MFC.PR.C | Perpetual-Discount | 7.30 % | Not a lot of volume, but those who bought were highly motivated! Traded 6,897 shares in a range of 15.35-20 before closing at 16.16-20, 1×8. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 16.16 Evaluated at bid price : 16.16 Bid-YTW : 7.04 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.X | FixedReset | 301,086 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 23.16 Evaluated at bid price : 25.07 Bid-YTW : 6.10 % |
| TD.PR.I | FixedReset | 68,965 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 25.27 Evaluated at bid price : 25.32 Bid-YTW : 5.98 % |
| MFC.PR.D | FixedReset | 46,255 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 24.85 Evaluated at bid price : 24.90 Bid-YTW : 6.48 % |
| BNS.PR.O | Perpetual-Discount | 39,109 | TD crossed 25,100 at 21.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 21.31 Evaluated at bid price : 21.31 Bid-YTW : 6.71 % |
| CIU.PR.B | FixedReset | 35,502 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-01 Maturity Price : 25.00 Evaluated at bid price : 26.75 Bid-YTW : 5.22 % |
| ELF.PR.F | Perpetual-Discount | 35,100 | Desjardins sold 10,000 to Bolder Investment Partners (who?) at 15.00, then crossed 20,200 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-04-02 Maturity Price : 15.10 Evaluated at bid price : 15.10 Bid-YTW : 8.84 % |
| There were 30 other index-included issues trading in excess of 10,000 shares. | |||