The market-timing fiasco (in which trades were executed at stale prices) is heating up again. As far as I am aware, there has been no admission of guilt by anybody; and nobody lost their license due to facilitation of the scheme; or was personally named.
A strong day, with PerpetualDiscounts up 13bp and FixedResets gaining 7bp, on relatively heavy volume.
| 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 | -0.1751 % | 1,505.1 |
| FixedFloater | 6.04 % | 4.15 % | 41,363 | 18.60 | 1 | 0.2784 % | 2,580.2 |
| Floater | 2.59 % | 3.02 % | 90,338 | 19.61 | 3 | -0.1751 % | 1,880.3 |
| OpRet | 4.86 % | -6.32 % | 134,847 | 0.08 | 15 | -0.0016 % | 2,308.9 |
| SplitShare | 6.34 % | -8.23 % | 300,176 | 0.08 | 2 | 0.0876 % | 2,118.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0016 % | 2,111.3 |
| Perpetual-Premium | 5.87 % | 5.61 % | 62,883 | 2.38 | 7 | -0.1190 % | 1,878.3 |
| Perpetual-Discount | 5.81 % | 5.89 % | 185,347 | 14.04 | 67 | 0.1318 % | 1,787.1 |
| FixedReset | 5.44 % | 3.79 % | 375,728 | 3.93 | 41 | 0.0695 % | 2,149.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.L | Perpetual-Discount | -1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-01 Maturity Price : 23.39 Evaluated at bid price : 23.55 Bid-YTW : 6.11 % |
| CU.PR.B | Perpetual-Premium | -1.60 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-07-01 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 5.61 % |
| GWO.PR.I | Perpetual-Discount | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-01 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 5.84 % |
| CM.PR.G | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-01 Maturity Price : 22.86 Evaluated at bid price : 23.06 Bid-YTW : 5.92 % |
| CM.PR.E | Perpetual-Discount | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-01 Maturity Price : 23.58 Evaluated at bid price : 23.87 Bid-YTW : 5.93 % |
| MFC.PR.C | Perpetual-Discount | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-01 Maturity Price : 19.18 Evaluated at bid price : 19.18 Bid-YTW : 5.89 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.J | OpRet | 275,129 | RBC crossed 100,000 at 26.13; Scotia bought 17,900 from TD at 26.15; TD crossed 20,000 at 26.13; RBC crossed 75,000 at 26.13; Scotia bought two blocks of 25,000 from RBC at 26.13. YTW SCENARIO Maturity Type : Call Maturity Date : 2009-12-31 Maturity Price : 25.75 Evaluated at bid price : 26.11 Bid-YTW : -7.52 % |
| TRP.PR.A | FixedReset | 231,602 | Nesbitt crossed blocks of 155,000 and 20,000 at 25.52. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-01 Maturity Price : 25.47 Evaluated at bid price : 25.52 Bid-YTW : 4.25 % |
| GWO.PR.X | OpRet | 98,891 | Desjardins crossed 40,200 at 25.98; RBC bought 10,000 from Nesbitt at 25.95; Nesbitt sold 14,000 more to Desjardins at 25.95 and 13,100 to anonymous at 25.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2009-12-31 Maturity Price : 26.00 Evaluated at bid price : 25.94 Bid-YTW : 2.83 % |
| RY.PR.N | FixedReset | 89,810 | RBC crossed blocks of 75,000 and 10,000 at 27.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.51 Bid-YTW : 3.74 % |
| RY.PR.P | FixedReset | 81,561 | Desjardins crossed 73,900 at 27.55. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.67 Bid-YTW : 3.62 % |
| CM.PR.E | Perpetual-Discount | 78,909 | Scotia bought 10,000 from anonymous at 24.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-01 Maturity Price : 23.58 Evaluated at bid price : 23.87 Bid-YTW : 5.93 % |
| There were 46 other index-included issues trading in excess of 10,000 shares. | |||