The FOMC Statement was released:
To support a stronger economic recovery and to help ensure that inflation, over time, is at the rate most consistent with its dual mandate, the Committee expects to maintain a highly accommodative stance for monetary policy. In particular, the Committee decided today to keep the target range for the federal funds rate at 0 to 1/4 percent and currently anticipates that economic conditions–including low rates of resource utilization and a subdued outlook for inflation over the medium run–are likely to warrant exceptionally low levels for the federal funds rate at least through late 2014.
…
Voting against the action was Jeffrey M. Lacker, who does not anticipate that economic conditions are likely to warrant exceptionally low levels of the federal funds rate through late 2014.
Due to the inability of the Toronto Stock Exchange to maintain a simple on-line database in a competent manner, today’s report is based on Yahoo! data, which at times can contain … interesting errors.
It was a mostly-down day for the Canadian preferred share market, with PerpetualPremiums gaining 2bp, FixedResets down 6bp and DeemedRetractibles losing 11bp. The Performance Highlights table is suitably short. Volume was a little below average.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| 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 | 0.6194 % | 2,467.1 |
| FixedFloater | 4.53 % | 3.91 % | 40,841 | 17.43 | 1 | 0.1432 % | 3,443.7 |
| Floater | 2.93 % | 2.92 % | 49,898 | 19.95 | 3 | 0.6194 % | 2,663.9 |
| OpRet | 4.92 % | 2.92 % | 54,317 | 1.26 | 6 | 0.4103 % | 2,503.5 |
| SplitShare | 5.28 % | -2.71 % | 86,445 | 0.75 | 4 | 0.0249 % | 2,676.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4103 % | 2,289.2 |
| Perpetual-Premium | 5.39 % | -0.79 % | 102,414 | 0.13 | 25 | 0.0187 % | 2,218.1 |
| Perpetual-Discount | 5.11 % | 5.09 % | 177,161 | 15.25 | 7 | 0.1554 % | 2,420.3 |
| FixedReset | 5.05 % | 2.86 % | 199,519 | 2.23 | 67 | -0.0613 % | 2,386.2 |
| Deemed-Retractible | 4.93 % | 3.81 % | 208,351 | 2.89 | 46 | -0.1120 % | 2,311.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.G | Deemed-Retractible | -1.06 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 4.65 % |
| BAM.PR.K | Floater | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-13 Maturity Price : 17.97 Evaluated at bid price : 17.97 Bid-YTW : 2.91 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PF.A | FixedReset | 487,690 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-13 Maturity Price : 23.04 Evaluated at bid price : 24.85 Bid-YTW : 4.34 % |
| SLF.PR.F | FixedReset | 257,380 | Nesbitt crossed two blocks of 100,000 each and one of 50,000, all at 26.40. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-30 Maturity Price : 25.00 Evaluated at bid price : 26.38 Bid-YTW : 3.37 % |
| MFC.PR.H | FixedReset | 135,321 | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 4.59 % |
| RY.PR.B | Deemed-Retractible | 103,150 | RBC crossed 100,000 at 25.90. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 3.68 % |
| BMO.PR.P | FixedReset | 96,400 | RBC crossed 93,000 at 26.90. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.91 Bid-YTW : 2.80 % |
| CM.PR.E | Perpetual-Premium | 87,015 | Desjardins crossed 30,000 at 25.94; RBC crossed 49,900 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-04-12 Maturity Price : 25.25 Evaluated at bid price : 25.96 Bid-YTW : -19.68 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.M | Perpetual-Discount | Quote: 23.70 – 24.20 Spot Rate : 0.5000 Average : 0.3362 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 23.90 – 24.20 Spot Rate : 0.3000 Average : 0.1863 YTW SCENARIO |
| GWO.PR.J | FixedReset | Quote: 26.01 – 26.28 Spot Rate : 0.2700 Average : 0.1701 YTW SCENARIO |
| BNS.PR.R | FixedReset | Quote: 26.22 – 26.43 Spot Rate : 0.2100 Average : 0.1275 YTW SCENARIO |
| HSB.PR.E | FixedReset | Quote: 27.21 – 27.48 Spot Rate : 0.2700 Average : 0.1947 YTW SCENARIO |
| BAM.PR.O | OpRet | Quote: 25.60 – 25.99 Spot Rate : 0.3900 Average : 0.3169 YTW SCENARIO |