The day was enlivened at the close by some idiot trading through Credit Suisse.
It was a mixed day in the end, with PerpetualDiscounts down 8bp, FixedResets gaining 2bp and DeemedRetractibles winning 17bp. Overall volatility was muted, but with a few spikes courtesy of Credit Suisse. Volume was very high; there’s a good chance the boys at Nesbitt had to work late counting their commissions.
| 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 | -0.2161 % | 2,343.7 |
| FixedFloater | 4.73 % | 4.10 % | 43,344 | 17.23 | 1 | -0.9852 % | 3,299.2 |
| Floater | 2.84 % | 3.02 % | 67,700 | 19.67 | 3 | -0.2161 % | 2,530.5 |
| OpRet | 4.93 % | 1.47 % | 65,457 | 1.32 | 7 | 0.1040 % | 2,504.1 |
| SplitShare | 5.34 % | 0.16 % | 67,961 | 0.89 | 4 | 0.1868 % | 2,619.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1040 % | 2,289.7 |
| Perpetual-Premium | 5.40 % | -11.96 % | 86,276 | 0.09 | 23 | 0.0861 % | 2,212.3 |
| Perpetual-Discount | 5.04 % | 5.00 % | 159,163 | 15.49 | 7 | -0.0769 % | 2,401.3 |
| FixedReset | 5.04 % | 2.83 % | 209,070 | 2.37 | 65 | 0.0193 % | 2,378.6 |
| Deemed-Retractible | 4.90 % | 3.55 % | 183,690 | 1.38 | 46 | 0.1732 % | 2,300.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TD.PR.I | FixedReset | -4.12 % | Moronization courtesy of Credit Suisse. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.32 Bid-YTW : 3.99 % |
| GWO.PR.N | FixedReset | -2.30 % | Moronization courtesy of Credit Suisse. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.81 Bid-YTW : 3.62 % |
| CM.PR.L | FixedReset | -2.03 % | Moronization courtesy of Credit Suisse. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.61 Bid-YTW : 3.47 % |
| BAM.PR.B | Floater | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-20 Maturity Price : 17.42 Evaluated at bid price : 17.42 Bid-YTW : 3.03 % |
| IAG.PR.A | Deemed-Retractible | 1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.97 Bid-YTW : 5.19 % |
| MFC.PR.B | Deemed-Retractible | 1.92 % | Credit Suisse (Algo?). YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 5.33 % |
| SLF.PR.G | FixedReset | 2.71 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.60 Bid-YTW : 3.51 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.D | FixedReset | 291,642 | Block City, Arizona! And guess who was right in the middle of it?
Nesbitt crossed 11,700 at 25.42, then sold 10,700 to Scotia at 25.05 (really?), then crossed 23,700 at 25.00 (really?) then sold blocks of 16,400 and 17,600 to Credit Suisse at 25.50, then crossed blocks of 31,000 and 14,600 at 25.50. Credit Suisse then bought 11,000 from TD at 25.50, Nesbitt crossed 10,700 at 25.50, then Nesbitt sold 10,000 to TD at the same price. So what was TD doing? Oh well … RBC crossed 30,000 at 25.50 and TD crossed 20,000 at the same price. YTW SCENARIO |
| ENB.PR.F | FixedReset | 206,735 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-20 Maturity Price : 23.17 Evaluated at bid price : 25.23 Bid-YTW : 3.66 % |
| SLF.PR.I | FixedReset | 162,493 | Non-moronic Credit Suisse action!
Nesbitt sold 11,400 to Credit Suisse at 25.00, then crossed 44,200 at the same price, then sold 34,300 to Credit Suisse at the same price again. YTW SCENARIO |
| BAM.PR.Z | FixedReset | 153,763 | Non-moronic Credit Suisse action!
RBC crossed 12,000 at 26.20, Nesbitt crossed 39,400 at the same price, sold 23,200 to Credit Suisse at the same price again, then crossed 40,000 at the same price yet again. YTW SCENARIO |
| GWO.PR.J | FixedReset | 108,915 | Nesbitt crossed blocks of 48,900 and 49,200, both at 26.80. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.79 Bid-YTW : 2.40 % |
| TCA.PR.X | Perpetual-Premium | 98,821 | Nesbitt crossed 59,800 at 52.00, then another 19,000 at 52.01. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-10-15 Maturity Price : 50.00 Evaluated at bid price : 52.00 Bid-YTW : 3.14 % |
| There were 54 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TD.PR.I | FixedReset | Moronization courtesy of Credit Suisse.
Quote: 26.32 – 27.46 YTW SCENARIO |
| CM.PR.L | FixedReset | Moronization courtesy of Credit Suisse.
Quote: 26.61 – 27.17 YTW SCENARIO |
| GWO.PR.N | FixedReset | Moronization courtesy of Credit Suisse.
Quote: 23.81 – 24.49 YTW SCENARIO |
| TRP.PR.A | FixedReset | Quote: 26.28 – 26.80 Spot Rate : 0.5200 Average : 0.3184 YTW SCENARIO |
| MFC.PR.D | FixedReset | Quote: 27.03 – 27.50 Spot Rate : 0.4700 Average : 0.3021 YTW SCENARIO |
| PWF.PR.A | Floater | Quote: 20.55 – 21.30 Spot Rate : 0.7500 Average : 0.5943 YTW SCENARIO |