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 |
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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 | -0.1846 % | 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. |
Under.
Looking like a bad bet to pick under. 617k at 11:24 AM ET
837M at 2:30pm … edging closer!