September 29, 2009

The Ontario Securities Commission has released the 2009 Compliance Team Annual Report.

Lots of volume, with 61 issues in the HIMIPref™ indices trading over 10,000 shares, but not much price action today, with PerpetualDiscounts down 5bp and FixedResets losing 7bp. A bit more volatility than yesterday, with ten issues showing in the Performance Highlights table.

The big news tomorrow will be settlement of the TRP monster issue – I will be most interested to see how many shares trade. I make the over/under line to be a million shares … place yer bets in the comments!

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 -0.1846 % 1,510.4
FixedFloater 5.77 % 4.02 % 51,550 18.57 1 -0.8421 % 2,660.5
Floater 2.43 % 2.07 % 37,053 22.27 4 -0.1846 % 1,886.9
OpRet 4.87 % -5.46 % 132,191 0.09 15 -0.1941 % 2,285.3
SplitShare 6.38 % 6.58 % 821,802 4.01 2 0.0000 % 2,073.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1941 % 2,089.7
Perpetual-Premium 5.78 % 5.69 % 149,616 2.51 12 0.0662 % 1,873.7
Perpetual-Discount 5.76 % 5.80 % 205,075 14.23 59 -0.0477 % 1,793.1
FixedReset 5.49 % 4.09 % 451,456 4.09 40 -0.0655 % 2,110.3
Performance Highlights
Issue Index Change Notes
ELF.PR.F Perpetual-Discount -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-29
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 6.64 %
BMO.PR.M FixedReset -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-29
Maturity Price : 25.56
Evaluated at bid price : 25.61
Bid-YTW : 4.26 %
PWF.PR.F Perpetual-Discount -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-29
Maturity Price : 22.17
Evaluated at bid price : 22.62
Bid-YTW : 5.89 %
BAM.PR.J OpRet -1.58 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 5.14 %
BAM.PR.I OpRet -1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2010-07-30
Maturity Price : 25.50
Evaluated at bid price : 25.70
Bid-YTW : 4.45 %
BMO.PR.K Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-29
Maturity Price : 22.94
Evaluated at bid price : 23.10
Bid-YTW : 5.75 %
GWO.PR.H Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-29
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 5.88 %
NA.PR.K Perpetual-Premium 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 5.65 %
CM.PR.E Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-29
Maturity Price : 23.76
Evaluated at bid price : 24.05
Bid-YTW : 5.81 %
HSB.PR.C Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-29
Maturity Price : 22.02
Evaluated at bid price : 22.15
Bid-YTW : 5.79 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.N FixedReset 57,587 RBC crossed 27,500 at 27.95.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-27
Maturity Price : 25.00
Evaluated at bid price : 27.93
Bid-YTW : 3.80 %
BMO.PR.J Perpetual-Discount 49,757 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-29
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.45 %
RY.PR.I FixedReset 38,230 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.16 %
BMO.PR.M FixedReset 37,796 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-29
Maturity Price : 25.56
Evaluated at bid price : 25.61
Bid-YTW : 4.26 %
CM.PR.I Perpetual-Discount 33,660 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-29
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.79 %
TD.PR.O Perpetual-Discount 33,094 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-09-29
Maturity Price : 22.17
Evaluated at bid price : 22.31
Bid-YTW : 5.52 %
There were 61 other index-included issues trading in excess of 10,000 shares.

3 Responses to “September 29, 2009”

  1. beluga says:

    Under.

  2. beluga says:

    Looking like a bad bet to pick under. 617k at 11:24 AM ET

  3. jiHymas says:

    837M at 2:30pm … edging closer!

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