Nothing happened today.
However, I am having server problems. After having given sterling service on the farm for many years, IBM informs me that my server is getting unreliable. Rather than refurbish the old server, I have rented a new one and am in the process of copying files and installing software and, when that nightmare is over, will be changing the DNS. Ideally, this will be invisible to Assiduous Readers.
It was a modestly good day for the Canadian preferred share market, with PerpetualDiscounts winning 14bp, FixedResets gaining 1bp and DeemedRetractibles up 10bp. There was a relatively lengthy Performance Highlights table, with FixedResets scattered around like straws in the wind. Volume was 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 | 0.6137 % | 2,548.8 |
| FixedFloater | 4.28 % | 3.56 % | 32,844 | 18.25 | 1 | -1.6379 % | 3,926.0 |
| Floater | 2.91 % | 2.93 % | 59,640 | 19.86 | 3 | 0.6137 % | 2,752.0 |
| OpRet | 4.64 % | 2.13 % | 72,900 | 0.36 | 3 | -0.0644 % | 2,649.7 |
| SplitShare | 4.72 % | 5.09 % | 67,054 | 3.90 | 6 | 0.0928 % | 2,970.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0644 % | 2,422.9 |
| Perpetual-Premium | 5.58 % | 4.72 % | 125,539 | 0.29 | 11 | -0.1241 % | 2,305.0 |
| Perpetual-Discount | 5.56 % | 5.58 % | 180,403 | 14.51 | 27 | 0.1392 % | 2,370.5 |
| FixedReset | 4.97 % | 3.47 % | 230,181 | 3.32 | 82 | 0.0103 % | 2,480.3 |
| Deemed-Retractible | 5.06 % | 3.96 % | 193,651 | 1.39 | 42 | 0.1014 % | 2,420.3 |
| FloatingReset | 2.65 % | 2.42 % | 317,392 | 4.47 | 5 | 0.0555 % | 2,458.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.A | FixedReset | -2.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-18 Maturity Price : 22.57 Evaluated at bid price : 23.07 Bid-YTW : 3.94 % |
| BAM.PR.G | FixedFloater | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-18 Maturity Price : 22.55 Evaluated at bid price : 22.22 Bid-YTW : 3.56 % |
| MFC.PR.G | FixedReset | -1.31 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 25.56 Bid-YTW : 3.52 % |
| CIU.PR.A | Perpetual-Discount | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-18 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 5.41 % |
| BAM.PR.T | FixedReset | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-18 Maturity Price : 23.18 Evaluated at bid price : 24.60 Bid-YTW : 4.19 % |
| PWF.PR.L | Perpetual-Discount | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-18 Maturity Price : 23.36 Evaluated at bid price : 23.80 Bid-YTW : 5.38 % |
| CU.PR.E | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-18 Maturity Price : 23.41 Evaluated at bid price : 23.75 Bid-YTW : 5.16 % |
| TRP.PR.C | FixedReset | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-18 Maturity Price : 22.51 Evaluated at bid price : 22.80 Bid-YTW : 3.76 % |
| GWO.PR.N | FixedReset | 1.57 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.65 Bid-YTW : 4.35 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.Z | FloatingReset | 182,050 | Nesbitt crossed blocks of 25,000 and 153,400, both at 25.01. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 2.57 % |
| BMO.PR.L | Deemed-Retractible | 172,710 | RBC crossed blocks of 100,000 shares, 20,000 and 30,000, all at 26.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-18 Maturity Price : 26.00 Evaluated at bid price : 26.52 Bid-YTW : -18.89 % |
| RY.PR.Y | FixedReset | 82,285 | TD crossed 71,100 at 26.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-11-24 Maturity Price : 25.00 Evaluated at bid price : 26.01 Bid-YTW : 1.99 % |
| RY.PR.I | FixedReset | 44,870 | Nesbitt crossed 40,000 at 25.18. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 2.00 % |
| BNS.PR.Z | FixedReset | 41,299 | RBC crossed 23,300 at 23.70. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.70 Bid-YTW : 4.08 % |
| BAM.PF.D | Perpetual-Discount | 37,520 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-18 Maturity Price : 19.73 Evaluated at bid price : 19.73 Bid-YTW : 6.32 % |
| There were 30 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.G | FixedReset | Quote: 25.56 – 26.19 Spot Rate : 0.6300 Average : 0.3605 YTW SCENARIO |
| BAM.PR.G | FixedFloater | Quote: 22.22 – 22.75 Spot Rate : 0.5300 Average : 0.3672 YTW SCENARIO |
| HSE.PR.A | FixedReset | Quote: 23.07 – 23.48 Spot Rate : 0.4100 Average : 0.2610 YTW SCENARIO |
| TD.PR.P | Deemed-Retractible | Quote: 26.02 – 26.39 Spot Rate : 0.3700 Average : 0.2405 YTW SCENARIO |
| FTS.PR.E | OpRet | Quote: 25.84 – 26.19 Spot Rate : 0.3500 Average : 0.2232 YTW SCENARIO |
| BMO.PR.P | FixedReset | Quote: 26.09 – 26.44 Spot Rate : 0.3500 Average : 0.2294 YTW SCENARIO |