Not much price action today, as PerpetualDiscounts resumed their downward drift, losing 8bp, while FixedResets gained about 2bp. Volume was strong.
PerpetualDiscounts now yield 5.78%, equivalent to 8.09% interest at the standard equivalency factor of 1.4x. Long Corporates yield a hair under 6.0%, so the pre-tax interest equivalent spread is about 210bp, a slight (and possibly simply tecnical) widening from the 205bp reported September 9 and at the upper end of the range it has reported through September – and in the pre-Lehman Credit Crunch.
| 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 | 0.4503 % | 1,453.8 |
| FixedFloater | 5.80 % | 4.05 % | 56,280 | 18.53 | 1 | -1.2112 % | 2,649.2 |
| Floater | 2.52 % | 2.12 % | 30,888 | 22.14 | 4 | 0.4503 % | 1,816.2 |
| OpRet | 4.86 % | -12.42 % | 138,192 | 0.09 | 15 | 0.1227 % | 2,287.4 |
| SplitShare | 6.43 % | 6.62 % | 954,242 | 4.04 | 2 | -0.1771 % | 2,055.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1227 % | 2,091.6 |
| Perpetual-Premium | 5.77 % | 5.67 % | 148,118 | 2.84 | 12 | 0.0429 % | 1,879.6 |
| Perpetual-Discount | 5.72 % | 5.78 % | 194,520 | 14.19 | 59 | -0.0827 % | 1,795.9 |
| FixedReset | 5.48 % | 4.01 % | 460,336 | 4.08 | 40 | 0.0184 % | 2,112.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CIU.PR.A | Perpetual-Discount | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-16 Maturity Price : 20.16 Evaluated at bid price : 20.16 Bid-YTW : 5.76 % |
| HSB.PR.D | Perpetual-Discount | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-16 Maturity Price : 21.55 Evaluated at bid price : 21.90 Bid-YTW : 5.71 % |
| RY.PR.W | Perpetual-Discount | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-16 Maturity Price : 22.36 Evaluated at bid price : 22.52 Bid-YTW : 5.49 % |
| MFC.PR.B | Perpetual-Discount | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-16 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 5.87 % |
| BAM.PR.G | FixedFloater | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-16 Maturity Price : 25.00 Evaluated at bid price : 18.76 Bid-YTW : 4.05 % |
| BAM.PR.N | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-16 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 6.61 % |
| PWF.PR.A | Floater | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-16 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 2.08 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.J | OpRet | 113,898 | RBC crossed 50,000 at 26.30 and Desjardins crossed 10,000 at the same price, followed by RBC again with 50,000 again at 26.30 again. YTW SCENARIO Maturity Type : Call Maturity Date : 2009-10-16 Maturity Price : 25.75 Evaluated at bid price : 26.26 Bid-YTW : -11.86 % |
| MFC.PR.E | FixedReset | 78,339 | “Anonymous” “crossed” (might not have been a cross!) 50,000 at 26.59. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 26.57 Bid-YTW : 4.24 % |
| BAM.PR.B | Floater | 73,746 | Nesbitt bought 20,000 from TD at 12.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-16 Maturity Price : 12.46 Evaluated at bid price : 12.46 Bid-YTW : 3.15 % |
| BMO.PR.K | Perpetual-Discount | 60,450 | Nesbitt crossed 25,000 at 23.50, then 15,300 at 23.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-16 Maturity Price : 23.26 Evaluated at bid price : 23.44 Bid-YTW : 5.65 % |
| SLF.PR.F | FixedReset | 58,200 | “Anonymous” “crossed” 50,000 at 27.21. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-30 Maturity Price : 25.00 Evaluated at bid price : 27.18 Bid-YTW : 4.00 % |
| MFC.PR.D | FixedReset | 49,712 | “Anonymous” “crossed” 40,000 at 27.80. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 27.75 Bid-YTW : 4.11 % |
| There were 52 other index-included issues trading in excess of 10,000 shares. | |||