With help from the clerk of the committee, I can now post a link to The Standing Committee on Government Agencies Report on the OSC.
Preferred shares took a massive whacking today on very high volume. PerpetualDiscounts lost 126bp, while FixedResets were down 43bp – about what one might expect, given the respective Modified Durations. FixedResets again scored a shut-out on the volume highlights table.
That’s the worst day in over a year for PerpetualDiscounts. There were two worse days in 2009, March 5 and March 9. There were 17 worse days in 2008, eight of them in November.
The bright side of this is that I anticipate increased opportunities for heavy relative-values trading. My reports of candidate trades are getting lengthier…
| 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 | 2.56 % | 2.62 % | 56,260 | 20.96 | 1 | 0.0000 % | 2,157.2 |
| FixedFloater | 4.91 % | 3.03 % | 50,268 | 20.13 | 1 | -0.5830 % | 3,223.1 |
| Floater | 1.90 % | 1.66 % | 46,440 | 23.43 | 4 | 0.0000 % | 2,422.6 |
| OpRet | 4.88 % | 3.67 % | 108,295 | 1.12 | 10 | -0.0150 % | 2,310.5 |
| SplitShare | 6.37 % | -0.57 % | 137,129 | 0.08 | 2 | 0.0879 % | 2,144.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0150 % | 2,112.8 |
| Perpetual-Premium | 5.79 % | 3.12 % | 33,691 | 0.64 | 2 | -0.8158 % | 1,847.2 |
| Perpetual-Discount | 6.25 % | 6.29 % | 187,978 | 13.49 | 76 | -1.2576 % | 1,701.3 |
| FixedReset | 5.42 % | 3.69 % | 408,963 | 3.68 | 43 | -0.4343 % | 2,185.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CL.PR.B | Perpetual-Discount | -3.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 23.66 Evaluated at bid price : 23.94 Bid-YTW : 6.57 % |
| SLF.PR.C | Perpetual-Discount | -2.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 17.28 Evaluated at bid price : 17.28 Bid-YTW : 6.50 % |
| BNS.PR.K | Perpetual-Discount | -2.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 19.24 Evaluated at bid price : 19.24 Bid-YTW : 6.26 % |
| NA.PR.L | Perpetual-Discount | -2.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 6.35 % |
| ELF.PR.G | Perpetual-Discount | -2.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 6.99 % |
| PWF.PR.E | Perpetual-Discount | -2.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 6.53 % |
| RY.PR.C | Perpetual-Discount | -2.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 18.62 Evaluated at bid price : 18.62 Bid-YTW : 6.28 % |
| RY.PR.G | Perpetual-Discount | -2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 18.46 Evaluated at bid price : 18.46 Bid-YTW : 6.19 % |
| BAM.PR.R | FixedReset | -2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 22.99 Evaluated at bid price : 24.70 Bid-YTW : 5.21 % |
| SLF.PR.A | Perpetual-Discount | -2.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 18.53 Evaluated at bid price : 18.53 Bid-YTW : 6.47 % |
| PWF.PR.I | Perpetual-Discount | -2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 23.48 Evaluated at bid price : 23.78 Bid-YTW : 6.43 % |
| PWF.PR.F | Perpetual-Discount | -2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 20.62 Evaluated at bid price : 20.62 Bid-YTW : 6.51 % |
| RY.PR.E | Perpetual-Discount | -2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 18.46 Evaluated at bid price : 18.46 Bid-YTW : 6.19 % |
| RY.PR.W | Perpetual-Discount | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 20.43 Evaluated at bid price : 20.43 Bid-YTW : 6.09 % |
| BMO.PR.J | Perpetual-Discount | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 6.11 % |
| SLF.PR.E | Perpetual-Discount | -2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 17.51 Evaluated at bid price : 17.51 Bid-YTW : 6.48 % |
| RY.PR.D | Perpetual-Discount | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 6.18 % |
| SLF.PR.D | Perpetual-Discount | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 6.49 % |
| BNS.PR.M | Perpetual-Discount | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 6.15 % |
| RY.PR.F | Perpetual-Discount | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 6.16 % |
| MFC.PR.E | FixedReset | -1.86 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 26.45 Bid-YTW : 4.29 % |
| BMO.PR.H | Perpetual-Discount | -1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 21.80 Evaluated at bid price : 21.80 Bid-YTW : 6.18 % |
| SLF.PR.B | Perpetual-Discount | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 6.47 % |
| BNS.PR.L | Perpetual-Discount | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 6.18 % |
| MFC.PR.C | Perpetual-Discount | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 17.72 Evaluated at bid price : 17.72 Bid-YTW : 6.42 % |
| CM.PR.D | Perpetual-Discount | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 22.42 Evaluated at bid price : 22.71 Bid-YTW : 6.33 % |
| NA.PR.M | Perpetual-Premium | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 24.33 Evaluated at bid price : 24.55 Bid-YTW : 6.21 % |
| RY.PR.B | Perpetual-Discount | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 6.22 % |
| BNS.PR.O | Perpetual-Discount | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 22.56 Evaluated at bid price : 22.70 Bid-YTW : 6.18 % |
| RY.PR.H | Perpetual-Discount | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 23.51 Evaluated at bid price : 23.70 Bid-YTW : 6.05 % |
| BMO.PR.P | FixedReset | -1.51 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2015-03-27 Maturity Price : 25.00 Evaluated at bid price : 26.69 Bid-YTW : 4.04 % |
| PWF.PR.L | Perpetual-Discount | -1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 6.45 % |
| PWF.PR.O | Perpetual-Discount | -1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 22.71 Evaluated at bid price : 22.84 Bid-YTW : 6.48 % |
| CIU.PR.A | Perpetual-Discount | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 18.98 Evaluated at bid price : 18.98 Bid-YTW : 6.15 % |
| CM.PR.J | Perpetual-Discount | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 17.88 Evaluated at bid price : 17.88 Bid-YTW : 6.31 % |
| POW.PR.A | Perpetual-Discount | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 21.44 Evaluated at bid price : 21.70 Bid-YTW : 6.48 % |
| ENB.PR.A | Perpetual-Discount | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 23.74 Evaluated at bid price : 24.05 Bid-YTW : 5.78 % |
| POW.PR.D | Perpetual-Discount | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 19.32 Evaluated at bid price : 19.32 Bid-YTW : 6.51 % |
| CM.PR.H | Perpetual-Discount | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 6.38 % |
| PWF.PR.G | Perpetual-Discount | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 23.18 Evaluated at bid price : 23.44 Bid-YTW : 6.42 % |
| ELF.PR.F | Perpetual-Discount | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 7.02 % |
| NA.PR.K | Perpetual-Discount | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 23.45 Evaluated at bid price : 23.75 Bid-YTW : 6.26 % |
| POW.PR.C | Perpetual-Discount | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 22.28 Evaluated at bid price : 22.56 Bid-YTW : 6.45 % |
| TCA.PR.Y | Perpetual-Discount | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 45.43 Evaluated at bid price : 47.40 Bid-YTW : 5.87 % |
| PWF.PR.K | Perpetual-Discount | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 6.42 % |
| TD.PR.Q | Perpetual-Discount | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 22.55 Evaluated at bid price : 22.69 Bid-YTW : 6.18 % |
| RY.PR.A | Perpetual-Discount | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 6.13 % |
| GWO.PR.H | Perpetual-Discount | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 6.31 % |
| IAG.PR.F | Perpetual-Discount | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 23.46 Evaluated at bid price : 23.62 Bid-YTW : 6.34 % |
| TD.PR.P | Perpetual-Discount | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 21.42 Evaluated at bid price : 21.42 Bid-YTW : 6.15 % |
| PWF.PR.H | Perpetual-Discount | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 22.72 Evaluated at bid price : 23.00 Bid-YTW : 6.37 % |
| CM.PR.E | Perpetual-Discount | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 21.89 Evaluated at bid price : 22.15 Bid-YTW : 6.33 % |
| BNS.PR.J | Perpetual-Discount | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 6.16 % |
| IAG.PR.A | Perpetual-Discount | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-04-06 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 6.25 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.E | FixedReset | 184,281 | TD crossed 81,700 at 26.97. RBC crossed two blocks of 18,500 each at 26.92 and one of 26,600 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 26.45 Bid-YTW : 4.29 % |
| RY.PR.R | FixedReset | 97,185 | DIBC bought 12,000 from anonymous at 27.85, then blocks of 14,900 and 16,600 from Nesbitt at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.78 Bid-YTW : 3.51 % |
| RY.PR.P | FixedReset | 85,950 | RBC bought 24,500 from anonymous at 27.60, then crossed 40,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.60 Bid-YTW : 3.68 % |
| BMO.PR.O | FixedReset | 82,815 | Nesbitt crossed 40,000 at 28.40; National bought 11,000 from Desjardins at 28.39. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-24 Maturity Price : 25.00 Evaluated at bid price : 28.36 Bid-YTW : 3.33 % |
| HSB.PR.E | FixedReset | 75,848 | RBC bought 14,300 from Scotia at 28.00; RBC crossed 35,000 at 28.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-30 Maturity Price : 25.00 Evaluated at bid price : 27.97 Bid-YTW : 3.71 % |
| RY.PR.Y | FixedReset | 69,689 | National crossed 15,000 at 28.03, then bought 11,700 from anonymous at 27.90. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-24 Maturity Price : 25.00 Evaluated at bid price : 27.81 Bid-YTW : 3.71 % |
| There were 77 other index-included issues trading in excess of 10,000 shares. | |||