Well, that was a day and a half! The bottom fell out of the StraightPerpetual market for most of the day and FixedResets were not spared; at about 3:30pm the TXPR price index was down about 45bp.
I’m pretty sure all this happened because Assiduous Reader Nestor has declared:
at 5.7% US 30 year, i definitely want at least 10% on my perpetuals. lol…
Well, now I know who swings the big stick around here…
Then in charged the cavalry in the form of portfolio managers reinvesting their quarter-end dividend receipts I think and TXPR ended up 25bp on the day. Tomorrow? Who knows?
| 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 | -1.7349 % | 2,733.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.7349 % | 5,146.7 |
| Floater | 5.29 % | 5.34 % | 31,391 | 14.96 | 3 | -1.7349 % | 2,966.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2490 % | 3,618.0 |
| SplitShare | 4.67 % | 4.88 % | 49,254 | 1.36 | 4 | -0.2490 % | 4,320.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2490 % | 3,371.2 |
| Perpetual-Premium | 5.97 % | 6.03 % | 74,131 | 13.83 | 9 | -0.3283 % | 2,909.2 |
| Perpetual-Discount | 6.04 % | 6.10 % | 45,202 | 13.66 | 21 | -1.0918 % | 3,130.4 |
| FixedReset Disc | 5.75 % | 6.49 % | 80,181 | 13.14 | 21 | -1.2097 % | 3,311.8 |
| Insurance Straight | 5.85 % | 5.89 % | 62,399 | 14.07 | 19 | -0.6247 % | 3,078.8 |
| FloatingReset | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.2097 % | 4,043.7 |
| FixedReset Prem | 6.00 % | 5.03 % | 79,568 | 2.09 | 27 | -0.2811 % | 2,629.5 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.2097 % | 3,385.3 |
| FixedReset Ins Non | 5.30 % | 5.93 % | 53,111 | 13.77 | 14 | -0.4452 % | 3,219.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BN.PR.M | Perpetual-Discount | -11.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 7.05 % |
| BN.PR.B | Floater | -4.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 14.05 Evaluated at bid price : 14.05 Bid-YTW : 5.58 % |
| GWO.PR.G | Insurance Straight | -4.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 6.19 % |
| BN.PF.G | FixedReset Prem | -3.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 22.90 Evaluated at bid price : 24.05 Bid-YTW : 6.58 % |
| PWF.PR.H | Perpetual-Premium | -3.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 23.02 Evaluated at bid price : 23.29 Bid-YTW : 6.28 % |
| ENB.PF.G | FixedReset Disc | -3.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 22.43 Evaluated at bid price : 23.15 Bid-YTW : 6.74 % |
| ENB.PR.D | FixedReset Disc | -3.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 21.94 Evaluated at bid price : 22.51 Bid-YTW : 6.74 % |
| MFC.PR.B | Insurance Straight | -2.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 5.90 % |
| MFC.PR.I | FixedReset Ins Non | -2.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 24.05 Evaluated at bid price : 24.52 Bid-YTW : 6.70 % |
| PWF.PR.K | Perpetual-Discount | -2.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 6.20 % |
| FTS.PR.H | FixedReset Disc | -2.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 6.16 % |
| ENB.PR.B | FixedReset Disc | -2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 22.26 Evaluated at bid price : 23.02 Bid-YTW : 6.64 % |
| PWF.PR.Z | Perpetual-Discount | -2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 6.19 % |
| ENB.PR.H | FixedReset Disc | -2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 22.90 Evaluated at bid price : 23.25 Bid-YTW : 6.38 % |
| MFC.PR.Q | FixedReset Ins Non | -1.96 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 6.10 % |
| PWF.PR.L | Perpetual-Discount | -1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 21.09 Evaluated at bid price : 21.09 Bid-YTW : 6.16 % |
| POW.PR.H | Perpetual-Premium | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 23.10 Evaluated at bid price : 23.40 Bid-YTW : 6.16 % |
| ENB.PR.Y | FixedReset Disc | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 22.16 Evaluated at bid price : 22.55 Bid-YTW : 6.64 % |
| CU.PR.G | Perpetual-Discount | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 19.07 Evaluated at bid price : 19.07 Bid-YTW : 5.98 % |
| PWF.PR.R | Perpetual-Discount | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 22.55 Evaluated at bid price : 22.81 Bid-YTW : 6.13 % |
| MFC.PR.L | FixedReset Ins Non | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 23.31 Evaluated at bid price : 24.67 Bid-YTW : 5.92 % |
| ENB.PR.F | FixedReset Disc | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 22.67 Evaluated at bid price : 23.05 Bid-YTW : 6.73 % |
| MFC.PR.K | FixedReset Ins Non | -1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 23.67 Evaluated at bid price : 25.22 Bid-YTW : 5.91 % |
| PWF.PR.F | Perpetual-Discount | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 21.61 Evaluated at bid price : 21.86 Bid-YTW : 6.11 % |
| MFC.PR.J | FixedReset Ins Non | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 23.72 Evaluated at bid price : 24.95 Bid-YTW : 6.32 % |
| ENB.PF.E | FixedReset Disc | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 22.60 Evaluated at bid price : 23.41 Bid-YTW : 6.60 % |
| ENB.PF.A | FixedReset Disc | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 22.85 Evaluated at bid price : 23.78 Bid-YTW : 6.58 % |
| PWF.PR.S | Perpetual-Discount | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 19.99 Evaluated at bid price : 19.99 Bid-YTW : 6.12 % |
| ENB.PR.J | FixedReset Disc | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 23.14 Evaluated at bid price : 24.15 Bid-YTW : 6.49 % |
| BMO.PR.E | FixedReset Prem | -1.20 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-11-25 Maturity Price : 25.00 Evaluated at bid price : 26.38 Bid-YTW : 4.46 % |
| PVS.PR.M | SplitShare | -1.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2031-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 5.26 % |
| POW.PR.I | Perpetual-Premium | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 23.47 Evaluated at bid price : 23.80 Bid-YTW : 5.94 % |
| SLF.PR.D | Insurance Straight | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 19.99 Evaluated at bid price : 19.99 Bid-YTW : 5.60 % |
| POW.PR.A | Perpetual-Discount | 2.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 22.73 Evaluated at bid price : 23.02 Bid-YTW : 6.09 % |
| IFC.PR.M | Perpetual-Premium | 2.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 23.94 Evaluated at bid price : 24.31 Bid-YTW : 5.68 % |
| BN.PF.D | Perpetual-Discount | 3.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 6.30 % |
| IFC.PR.G | FixedReset Ins Non | 5.79 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.39 Bid-YTW : 5.11 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| IFC.PR.C | FixedReset Ins Non | 40,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 23.85 Evaluated at bid price : 24.96 Bid-YTW : 6.38 % |
| GWO.PR.I | Insurance Straight | 18,374 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 5.87 % |
| BILP.PR.A | FixedReset Prem | 17,300 | YTW SCENARIO Maturity Type : Call Maturity Date : 2031-10-01 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 5.70 % |
| ENB.PR.D | FixedReset Disc | 17,178 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 21.94 Evaluated at bid price : 22.51 Bid-YTW : 6.74 % |
| CU.PR.J | Perpetual-Discount | 17,050 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 6.01 % |
| ENB.PR.B | FixedReset Disc | 15,409 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-09-30 Maturity Price : 22.26 Evaluated at bid price : 23.02 Bid-YTW : 6.64 % |
| There were 15 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| See TMX DataLinx: ‘Last’ != ‘Close’ and the posts linked therein for an idea of why these quotes are so horrible. | ||
| Issue | Index | Quote Data and Yield Notes |
| BN.PR.M | Perpetual-Discount | Quote: 17.00 – 19.19 Spot Rate : 2.1900 Average : 1.2052 YTW SCENARIO |
| CU.PR.J | Perpetual-Discount | Quote: 20.02 – 21.50 Spot Rate : 1.4800 Average : 0.8998 YTW SCENARIO |
| BN.PF.G | FixedReset Prem | Quote: 24.05 – 25.35 Spot Rate : 1.3000 Average : 0.8127 YTW SCENARIO |
| PWF.PR.F | Perpetual-Discount | Quote: 21.86 – 23.45 Spot Rate : 1.5900 Average : 1.1177 YTW SCENARIO |
| MFC.PR.I | FixedReset Ins Non | Quote: 24.52 – 25.69 Spot Rate : 1.1700 Average : 0.7737 YTW SCENARIO |
| GWO.PR.G | Insurance Straight | Quote: 21.15 – 22.25 Spot Rate : 1.1000 Average : 0.7069 YTW SCENARIO |