| Index | Current Yield (at bid) | YTW | Average Trading Value | Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.08% | 4.09% | 112,760 | 17.28 | 2 | -0.3985% | 994.0 |
| Fixed-Floater | 5.20% | 4.00% | 93,950 | 10.42 | 5 | +0.0247% | 999.4 |
| Floater | 4.55% | -14.18% | 60,923 | 6.44 | 5 | -0.13% | 1000.0 |
| Op. Retract | 4.75% | 3.56% | 83,607 | 3.09 | 18 | -0.01% | 992.7 |
| Split-Share | 5.17% | 2.75% | 53,169 | 2.79 | 14 | +0.1000% | 999.7 |
| Interest Bearing | 6.89% | 5.70% | 66,932 | 2.23 | 7 | +0.2026% | 1,004.9 |
| Perpetual | 5.21% | 3.46% | 160,581 | 6.79 | 53 | -0.1094% | 1,001.7 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| PWF.PR.K | Perp | -1.31% | Gapped down to 24.75-89 on heavy volume. Very similar to PWF new issue, but pays only 1.2375 |
| Volume Leaders | |||
| Issue | Index | Volume | Notes |
| BC.PR.C | Fixed-Floater | 485,035 | No price effect. Desjardins sold 250,000 at close, mostly as a cross. |
| RY.PR.W | Perpetual | 56,400 | Down -0.47% on day (bid/bid), closing at 25.50-63. Very similar to PWF new issue, but pays 1.225 |
| PWF.PR.K | Perpetual | 30,112 | See notes in the ‘Performance’ Table |
| GWO.PR.X | Operating Retractible | 28,193 | No price effect. 20,000 were crossed by Scotia at 26.70 |
| POW.PR.D | Perpetual | 22,162 | Down 0.86% on day (bid/bid) to 25.13-25. Very similar to PWF new issue, but pays 1.25. TD crossed 13,600 @25.15 |
It was a very active day, with 17 issues trading more than 10,000 shares. The news of the day was the PWF New Issue which was very attractively priced – a perpetual with a 5.1% coupon (pays $1.275 annually, $25 par value). There are only four issues in the HIMI Perpetual Preferred Index with pre-tax yields-to-worst in excess of 5.1%, and the greatest modified duration of the YTW scenario of these issues is 5.51 (W.PR.H).
This new issue has had a great effect on the market, but it’s not clear how long it will last … I suspect that the tension will be resolved by the new issue leaping to a premium rather than dragging down its peers. There just isn’t enough of it – only $200MM – and from what I hear it jumped right off the shelves and was sold out within an hour … certainly this story makes sense, given the pricing!