The ABX index derivatives (which reference either the lowest or the penultimate AAA tranche of structured subprime mortgage products) are getting hammered today due to fears of pending legislation:
it appears that a bill to allow bankruptcy judges to alter loan balances has picked up a head of steam as Citibank broke ranks with other lenders and no longer opposes the measure.
The jobs number was appalling:
The U.S. lost more jobs in 2008 than in any year since 1945 as employers fired another 524,000 people in December, indicating a free-fall in the economy just days before President-elect Barack Obama takes office.
…
The Labor Department reported that the nation lost 2.589 million jobs in 2008, just shy of the 2.75 million decline at the end of World War II. The unemployment rate climbed more than economists forecast, to 7.2 percent in December, the highest level in almost 16 years.
The Great Perpetual Rally of 2009 continued today, with PerpetualDiscounts posting their eleventh straight trading day of gains from the low of Dec. 22 to show a total gain of 21.87% over the period. The median pre-tax bid-YTW has declined from 8.48% to 6.86% … what can I say? The interest-equivalent is now 9.60%, while long corporates continue to hold steady at 7.50% – so we’re back down to a 210bp pre-tax interest-equivalent spread, which is just a little over the last patch of relative stability experienced in the first half of 2008.
| 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 | 6.93 % | 7.42 % | 27,777 | 13.62 | 2 | 0.0687 % | 877.9 |
| FixedFloater | 7.32 % | 7.01 % | 145,646 | 13.65 | 8 | 0.7944 % | 1,397.5 |
| Floater | 5.42 % | 5.14 % | 33,764 | 15.28 | 4 | -0.6379 % | 1,124.8 |
| OpRet | 5.34 % | 4.59 % | 122,994 | 3.87 | 15 | 0.1263 % | 2,010.3 |
| SplitShare | 6.10 % | 8.82 % | 79,367 | 4.16 | 15 | 0.0238 % | 1,821.9 |
| Interest-Bearing | 7.20 % | 11.22 % | 44,715 | 0.93 | 2 | -0.5845 % | 1,964.3 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.8158 % | 1,568.0 |
| Perpetual-Discount | 6.82 % | 6.86 % | 244,701 | 12.74 | 71 | 0.8158 % | 1,444.1 |
| FixedReset | 5.89 % | 4.96 % | 729,538 | 15.12 | 18 | 0.2761 % | 1,812.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.B | Floater | -6.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 9.56 Evaluated at bid price : 9.56 Bid-YTW : 6.47 % |
| IAG.PR.C | FixedReset | -4.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 23.26 Evaluated at bid price : 23.30 Bid-YTW : 6.01 % |
| BNA.PR.A | SplitShare | -3.71 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2010-09-30 Maturity Price : 25.00 Evaluated at bid price : 22.05 Bid-YTW : 14.76 % |
| LBS.PR.A | SplitShare | -3.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2013-11-29 Maturity Price : 10.00 Evaluated at bid price : 8.12 Bid-YTW : 10.29 % |
| DF.PR.A | SplitShare | -3.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-12-01 Maturity Price : 10.00 Evaluated at bid price : 8.46 Bid-YTW : 8.74 % |
| BAM.PR.K | Floater | -2.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 10.10 Evaluated at bid price : 10.10 Bid-YTW : 6.12 % |
| NA.PR.L | Perpetual-Discount | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 7.18 % |
| FIG.PR.A | Interest-Bearing | -1.71 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-12-31 Maturity Price : 10.00 Evaluated at bid price : 7.48 Bid-YTW : 12.50 % |
| TD.PR.N | OpRet | -1.50 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.61 Bid-YTW : 4.02 % |
| FTN.PR.A | SplitShare | -1.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2015-12-01 Maturity Price : 10.00 Evaluated at bid price : 8.30 Bid-YTW : 8.67 % |
| CM.PR.P | Perpetual-Discount | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 7.05 % |
| BNS.PR.K | Perpetual-Discount | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 6.59 % |
| SBC.PR.A | SplitShare | 1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2012-11-30 Maturity Price : 10.00 Evaluated at bid price : 8.41 Bid-YTW : 10.36 % |
| TD.PR.A | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 22.26 Evaluated at bid price : 22.30 Bid-YTW : 4.62 % |
| ALB.PR.A | SplitShare | 1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2011-02-28 Maturity Price : 25.00 Evaluated at bid price : 21.51 Bid-YTW : 12.18 % |
| PWF.PR.I | Perpetual-Discount | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 7.00 % |
| RY.PR.F | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 17.98 Evaluated at bid price : 17.98 Bid-YTW : 6.30 % |
| SLF.PR.E | Perpetual-Discount | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 15.71 Evaluated at bid price : 15.71 Bid-YTW : 7.24 % |
| POW.PR.A | Perpetual-Discount | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 19.76 Evaluated at bid price : 19.76 Bid-YTW : 7.14 % |
| TCA.PR.X | Perpetual-Discount | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 44.15 Evaluated at bid price : 45.30 Bid-YTW : 6.17 % |
| BCE.PR.I | FixedFloater | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 25.00 Evaluated at bid price : 16.19 Bid-YTW : 7.00 % |
| SLF.PR.D | Perpetual-Discount | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 15.52 Evaluated at bid price : 15.52 Bid-YTW : 7.25 % |
| PWF.PR.G | Perpetual-Discount | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 7.02 % |
| RY.PR.W | Perpetual-Discount | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 6.28 % |
| PWF.PR.F | Perpetual-Discount | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 6.72 % |
| CM.PR.I | Perpetual-Discount | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 6.99 % |
| PWF.PR.H | Perpetual-Discount | 1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 7.02 % |
| TD.PR.S | FixedReset | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 22.94 Evaluated at bid price : 23.00 Bid-YTW : 4.13 % |
| PPL.PR.A | SplitShare | 1.77 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2012-12-01 Maturity Price : 10.00 Evaluated at bid price : 9.21 Bid-YTW : 7.38 % |
| BAM.PR.M | Perpetual-Discount | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 12.64 Evaluated at bid price : 12.64 Bid-YTW : 9.53 % |
| FBS.PR.B | SplitShare | 1.87 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2011-12-15 Maturity Price : 10.00 Evaluated at bid price : 8.71 Bid-YTW : 10.14 % |
| CM.PR.E | Perpetual-Discount | 1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 19.89 Evaluated at bid price : 19.89 Bid-YTW : 7.07 % |
| CM.PR.G | Perpetual-Discount | 2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 7.08 % |
| BAM.PR.N | Perpetual-Discount | 2.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 12.81 Evaluated at bid price : 12.81 Bid-YTW : 9.40 % |
| BAM.PR.H | OpRet | 2.35 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2012-03-30 Maturity Price : 25.00 Evaluated at bid price : 21.75 Bid-YTW : 10.76 % |
| BMO.PR.L | Perpetual-Discount | 2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 21.68 Evaluated at bid price : 21.75 Bid-YTW : 6.78 % |
| BAM.PR.I | OpRet | 2.44 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2013-12-30 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 9.74 % |
| GWO.PR.F | Perpetual-Discount | 2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 7.08 % |
| GWO.PR.H | Perpetual-Discount | 2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 17.86 Evaluated at bid price : 17.86 Bid-YTW : 6.86 % |
| TCA.PR.Y | Perpetual-Discount | 2.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 44.53 Evaluated at bid price : 46.00 Bid-YTW : 6.07 % |
| SLF.PR.B | Perpetual-Discount | 2.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 7.09 % |
| HSB.PR.D | Perpetual-Discount | 3.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 17.87 Evaluated at bid price : 17.87 Bid-YTW : 7.07 % |
| SLF.PR.C | Perpetual-Discount | 3.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 15.63 Evaluated at bid price : 15.63 Bid-YTW : 7.20 % |
| PWF.PR.E | Perpetual-Discount | 3.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.90 % |
| BNS.PR.R | FixedReset | 3.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 22.22 Evaluated at bid price : 22.26 Bid-YTW : 4.57 % |
| PWF.PR.A | Floater | 4.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 13.51 Evaluated at bid price : 13.51 Bid-YTW : 4.59 % |
| BCE.PR.F | FixedFloater | 4.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 25.00 Evaluated at bid price : 15.75 Bid-YTW : 6.33 % |
| POW.PR.B | Perpetual-Discount | 5.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 6.59 % |
| BNA.PR.C | SplitShare | 14.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 10.51 Bid-YTW : 16.59 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BCE.PR.A | FixedFloater | 158,570 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 25.00 Evaluated at bid price : 17.00 Bid-YTW : 6.83 % |
| WFS.PR.A | SplitShare | 56,962 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2011-06-30 Maturity Price : 10.00 Evaluated at bid price : 9.25 Bid-YTW : 8.82 % |
| BAM.PR.O | OpRet | 53,683 | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 18.00 Bid-YTW : 13.71 % |
| CM.PR.A | OpRet | 51,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2009-02-08 Maturity Price : 25.50 Evaluated at bid price : 25.78 Bid-YTW : -11.07 % |
| CM.PR.J | Perpetual-Discount | 39,490 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 6.98 % |
| POW.PR.C | Perpetual-Discount | 39,180 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-09 Maturity Price : 21.31 Evaluated at bid price : 21.31 Bid-YTW : 6.86 % |
| There were 37 other index-included issues trading in excess of 10,000 shares. | |||