ETFs have emerged as a possible mechanism for maximizing gains in one stock while potentially masking trading patterns, people familiar with the matter say.
In one scenario, a trader could learn information about a company, buy an ETF that includes the company’s stock, and short sell the other stocks in the ETF.
The practice, known as ETF-stripping, would allow the trader to benefit from movements in the company’s share price without directly buying or selling that stock.
It was a good day in the Canadian preferred share market as PerpetualDiscounts gained 4bp, FixedResets were up 2bp and DeemedRetractibles leapt ahead by 21bp. Not much volatility, with ony four entries on the Performance Highlights table. Volume remained well above average.
| 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 | 0.2150 % | 2,392.8 |
| FixedFloater | 4.79 % | 3.50 % | 20,458 | 19.08 | 1 | 0.0440 % | 3,556.3 |
| Floater | 2.50 % | 2.27 % | 46,301 | 21.59 | 4 | 0.2150 % | 2,583.6 |
| OpRet | 4.82 % | 3.74 % | 63,616 | 2.24 | 8 | 0.0097 % | 2,387.7 |
| SplitShare | 5.30 % | 1.23 % | 303,532 | 0.83 | 4 | 0.2856 % | 2,467.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0097 % | 2,183.3 |
| Perpetual-Premium | 5.73 % | 5.44 % | 119,319 | 0.50 | 9 | 0.0837 % | 2,035.2 |
| Perpetual-Discount | 5.55 % | 5.59 % | 130,254 | 14.40 | 15 | 0.0396 % | 2,109.4 |
| FixedReset | 5.24 % | 3.68 % | 173,747 | 3.05 | 54 | 0.0189 % | 2,264.3 |
| Deemed-Retractible | 5.21 % | 5.25 % | 414,850 | 8.28 | 53 | 0.2082 % | 2,078.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| FTS.PR.G | FixedReset | -1.88 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-10-01 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 4.30 % |
| BMO.PR.O | FixedReset | 1.03 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-24 Maturity Price : 25.00 Evaluated at bid price : 27.57 Bid-YTW : 3.27 % |
| BNA.PR.E | SplitShare | 1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 5.08 % |
| BNS.PR.Z | FixedReset | 1.83 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.44 Bid-YTW : 4.19 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.H | Deemed-Retractible | 109,808 | Desjardins crossed 25,000 at 24.25; TD crossed blocks of 39,000 and 15,000 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.25 Bid-YTW : 5.21 % |
| RY.PR.E | Deemed-Retractible | 87,730 | Nesbitt crossed 50,000 at 23.70. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.73 Bid-YTW : 5.12 % |
| BNS.PR.M | Deemed-Retractible | 78,297 | Nesbitt crossed 50,000 at 23.78. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.80 Bid-YTW : 5.13 % |
| TRI.PR.B | Floater | 73,526 | Nesbitt crossed 70,000 at 23.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-02-10 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 2.27 % |
| TRP.PR.B | FixedReset | 67,821 | Nesbitt crossed 50,000 at 25.07. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-07-30 Maturity Price : 25.00 Evaluated at bid price : 25.07 Bid-YTW : 4.07 % |
| BMO.PR.K | Deemed-Retractible | 61,419 | RBC crossed 46,700 at 25.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-25 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 5.26 % |
| There were 49 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IAG.PR.C | FixedReset | Quote: 26.81 – 27.25 Spot Rate : 0.4400 Average : 0.2851 YTW SCENARIO |
| PWF.PR.P | FixedReset | Quote: 25.46 – 25.94 Spot Rate : 0.4800 Average : 0.3290 YTW SCENARIO |
| BNS.PR.Z | FixedReset | Quote: 24.44 – 25.00 Spot Rate : 0.5600 Average : 0.4288 YTW SCENARIO |
| BAM.PR.H | OpRet | Quote: 25.40 – 25.87 Spot Rate : 0.4700 Average : 0.3635 YTW SCENARIO |
| TRP.PR.C | FixedReset | Quote: 25.45 – 25.72 Spot Rate : 0.2700 Average : 0.1840 YTW SCENARIO |
| BAM.PR.R | FixedReset | Quote: 25.50 – 25.84 Spot Rate : 0.3400 Average : 0.2550 YTW SCENARIO |