PrefBlog

There is speculation that huge issuance may saturate the market for government bonds in the UK. Reception of a €6-billion issue of 10-year Bunds was sufficiently poor that the auction is being labelled a failure:

Germany’s sale of 10-year bunds lured the least demand in six months as investors shied away from a flood of government securities.

Investors bid for 5.2 billion euros of the bonds offered today, a level of demand that prompted the Bundesbank to retain 32 percent of the securities, according to the central bank’s Web site.

The press release tells the tale. A momentary blip? Or a sign of a turn in the tide from the flight-to-safety? Across the Curve notes “flight from risk-averse assets” and a tightening of credit spreads. Place yer bets, gents!

The Fed announced today that the Money Market Investor Funding Facility is being expanded:

the set of institutions eligible to participate in the MMIFF was expanded from U.S. money market mutual funds to also include a number of other money market investors. The newly eligible participants include U.S.-based securities-lending cash-collateral reinvestment funds, portfolios, and accounts (securities lenders); and U.S.-based investment funds that operate in a manner similar to money market mutual funds, such as certain local government investment pools, common trust funds, and collective investment funds.
…
the Board authorized the adjustment of several of the economic parameters of the MMIFF, including the minimum yield on assets eligible to be sold to the MMIFF, to enable the program to remain a viable source of backup liquidity for money market investors even at very low levels of money market interest rates
…
The MMIFF is designed to serve as a source of liquidity to money market mutual funds and other eligible money market investment vehicles, thereby increasing their ability to meet redemption requests and their willingness to invest in money market instruments, particularly term money market instruments. Under the MMIFF, the Federal Reserve Bank of New York provides a credit facility to a series of special purpose vehicles (SPVs) established by the private sector. The SPVs will purchase certain U.S. dollar-denominated, highly rated, short-term certificates of deposit, bank notes, and commercial paper from eligible money market investors

Speaking of the US, Across the Curve has some interesting colour today:

I had an interesting conversation with a relative value trader in the Treasury market. He loves the 2 year note at 80 basis points. With a zero handle, they would seem like an instrument which should have step child status.

However, he notes that with the ride down the yield curve and the positive carry from financing them at virtually zero, it is as if you own them at 1.75 percent one year from now.

That is the breakeven on a one year coupon. He makes the valid point that for that 1.75 percent to lose money one would need to posit a funds rate close to one percent. Given the tenor of comments from the central Bank, that does not seem likely.

Wild. Riding the yield curve from a 80bp starting point at a time when Treasury auction issuance is at record levels and there is fear of auction failures. This situation is not sustainable.

There’s an interesting development in US distressed mortgages:

Private National Mortgage Acceptance Company LLC, an investor in troubled mortgages run by a former president of Countrywide Financial Corp., bought $558 million of home loans that the Federal Deposit Insurance Corp. acquired last year after First National Bank of Nevada collapsed.

Known as PennyMac and led by Stanford Kurland, the firm is paying an average of 30 cents to 50 cents on the dollar for the loans and the FDIC is sharing some of the risk, spokesman Andrew Chang said.
…
“This asset sale did not provide any loss-sharing,” said FDIC spokesman David Barr in an interview about the PennyMac deal. “It is a participation sale, however, which means the FDIC benefits from cash-flow generated from these loans.”

The FDIC will receive 80 percent of the loan’s cash flow until a certain, undisclosed level of payments are received, then 60 percent thereafter, he said.

David Barr’s comments are disingenuous. “Participation” is equivalent to “Loss Sharing” – full stop.

PerpetualDiscounts managed to eke out another gain today – and, much to my surprise, so did fixed-resets! I would have thought that continued issuance would have pounded down the sector, but it is showing significant resilience. And I still have to fiddle with the damn programming of the damn tables.

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	7.08 %	7.53 %	29,318	13.49	2	-1.4428 %	864.7
FixedFloater	7.50 %	7.27 %	149,162	13.32	8	0.8064 %	1,362.8
Floater	5.56 %	5.36 %	34,542	14.91	4	-0.8545 %	1,097.9
OpRet	5.37 %	4.67 %	121,876	3.92	15	-0.0960 %	1,998.6
SplitShare	6.07 %	9.04 %	81,718	4.17	15	0.3169 %	1,833.2
Interest-Bearing	7.16 %	11.50 %	46,525	0.93	2	-0.8116 %	1,975.8
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	0.2627 %	1,553.5
Perpetual-Discount	6.89 %	6.95 %	237,780	12.65	71	0.2627 %	1,430.8
FixedReset	5.93 %	4.97 %	742,368	15.06	18	0.2337 %	1,799.6

Performance Highlights
Issue	Index	Change	Notes
BCE.PR.Y	Ratchet	-4.83 %	Yield-to-Worst (at Bid) : 8.13 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 25.00 Probability of Maturity : 100.00 % Evaluated at bid price : 13.80 Yield to Worst : 8.13 %
BAM.PR.K	Floater	-3.71 %	Yield-to-Worst (at Bid) : 6.11 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 10.11 Probability of Maturity : 100.00 % Evaluated at bid price : 10.11 Yield to Worst : 6.11 %
SLF.PR.A	Perpetual-Discount	-3.41 %	Yield-to-Worst (at Bid) : 7.18 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 16.71 Probability of Maturity : 100.00 % Evaluated at bid price : 16.71 Yield to Worst : 7.18 %
BAM.PR.G	FixedFloater	-3.02 %	Yield-to-Worst (at Bid) : 10.23 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 25.00 Probability of Maturity : 100.00 % Evaluated at bid price : 11.25 Yield to Worst : 10.23 %
BNS.PR.L	Perpetual-Discount	-2.84 %	Yield-to-Worst (at Bid) : 6.47 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 17.45 Probability of Maturity : 100.00 % Evaluated at bid price : 17.45 Yield to Worst : 6.47 %
LFE.PR.A	SplitShare	-2.60 %	Yield-to-Worst (at Bid) : 7.26 % YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2012-12-01 Maturity Price : 10.00 Probability of Maturity : 100.00 % Evaluated at bid price : 9.35 Yield to Worst : 7.26 %
BAM.PR.B	Floater	-2.45 %	Yield-to-Worst (at Bid) : 6.21 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 9.96 Probability of Maturity : 100.00 % Evaluated at bid price : 9.96 Yield to Worst : 6.21 %
MFC.PR.C	Perpetual-Discount	-2.34 %	Yield-to-Worst (at Bid) : 6.48 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 17.56 Probability of Maturity : 100.00 % Evaluated at bid price : 17.56 Yield to Worst : 6.48 %
TD.PR.P	Perpetual-Discount	-2.20 %	Yield-to-Worst (at Bid) : 6.58 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 20.00 Probability of Maturity : 100.00 % Evaluated at bid price : 20.00 Yield to Worst : 6.58 %
PPL.PR.A	SplitShare	-2.08 %	Yield-to-Worst (at Bid) : 8.18 % YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2012-12-01 Maturity Price : 10.00 Probability of Maturity : 100.00 % Evaluated at bid price : 8.96 Yield to Worst : 8.18 %
BNS.PR.M	Perpetual-Discount	-2.03 %	Yield-to-Worst (at Bid) : 6.49 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 17.40 Probability of Maturity : 100.00 % Evaluated at bid price : 17.40 Yield to Worst : 6.49 %
BAM.PR.J	OpRet	-1.82 %	Yield-to-Worst (at Bid) : 10.93 % YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Probability of Maturity : 100.00 % Evaluated at bid price : 17.22 Yield to Worst : 10.93 %
FIG.PR.A	Interest-Bearing	-1.81 %	Yield-to-Worst (at Bid) : 12.11 % YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-12-31 Maturity Price : 10.00 Probability of Maturity : 100.00 % Evaluated at bid price : 7.61 Yield to Worst : 12.11 %
RY.PR.B	Perpetual-Discount	-1.79 %	Yield-to-Worst (at Bid) : 6.40 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 18.66 Probability of Maturity : 100.00 % Evaluated at bid price : 18.66 Yield to Worst : 6.40 %
POW.PR.A	Perpetual-Discount	-1.65 %	Yield-to-Worst (at Bid) : 7.37 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 19.13 Probability of Maturity : 100.00 % Evaluated at bid price : 19.13 Yield to Worst : 7.37 %
PWF.PR.M	FixedReset	-1.61 %	Yield-to-Worst (at Bid) : 5.52 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 24.45 Probability of Maturity : 66.80 % Evaluated at bid price : 24.50 Yield to Worst : 5.52 %
CM.PR.I	Perpetual-Discount	-1.52 %	Yield-to-Worst (at Bid) : 7.03 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 16.79 Probability of Maturity : 100.00 % Evaluated at bid price : 16.79 Yield to Worst : 7.03 %
HSB.PR.C	Perpetual-Discount	-1.45 %	Yield-to-Worst (at Bid) : 7.28 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 17.70 Probability of Maturity : 100.00 % Evaluated at bid price : 17.70 Yield to Worst : 7.28 %
RY.PR.F	Perpetual-Discount	-1.41 %	Yield-to-Worst (at Bid) : 6.46 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 17.51 Probability of Maturity : 100.00 % Evaluated at bid price : 17.51 Yield to Worst : 6.46 %
SLF.PR.B	Perpetual-Discount	-1.29 %	Yield-to-Worst (at Bid) : 7.22 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 16.81 Probability of Maturity : 100.00 % Evaluated at bid price : 16.81 Yield to Worst : 7.22 %
RY.PR.C	Perpetual-Discount	-1.27 %	Yield-to-Worst (at Bid) : 6.53 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 17.93 Probability of Maturity : 100.00 % Evaluated at bid price : 17.93 Yield to Worst : 6.53 %
W.PR.J	Perpetual-Discount	-1.17 %	Yield-to-Worst (at Bid) : 7.93 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 17.79 Probability of Maturity : 100.00 % Evaluated at bid price : 17.79 Yield to Worst : 7.93 %
CM.PR.G	Perpetual-Discount	-1.11 %	Yield-to-Worst (at Bid) : 7.22 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 18.79 Probability of Maturity : 100.00 % Evaluated at bid price : 18.79 Yield to Worst : 7.22 %
CM.PR.J	Perpetual-Discount	-1.10 %	Yield-to-Worst (at Bid) : 7.01 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 16.11 Probability of Maturity : 100.00 % Evaluated at bid price : 16.11 Yield to Worst : 7.01 %
CM.PR.P	Perpetual-Discount	-1.03 %	Yield-to-Worst (at Bid) : 7.22 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 19.13 Probability of Maturity : 100.00 % Evaluated at bid price : 19.13 Yield to Worst : 7.22 %
TD.PR.C	FixedReset	1.08 %	Yield-to-Worst (at Bid) : 4.98 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 24.36 Probability of Maturity : 67.99 % Evaluated at bid price : 24.41 Yield to Worst : 4.98 %
BNS.PR.K	Perpetual-Discount	1.09 %	Yield-to-Worst (at Bid) : 6.51 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 18.50 Probability of Maturity : 100.00 % Evaluated at bid price : 18.50 Yield to Worst : 6.51 %
BNS.PR.N	Perpetual-Discount	1.10 %	Yield-to-Worst (at Bid) : 6.52 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 20.22 Probability of Maturity : 100.00 % Evaluated at bid price : 20.22 Yield to Worst : 6.52 %
CM.PR.K	FixedReset	1.14 %	Yield-to-Worst (at Bid) : 4.96 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 21.79 Probability of Maturity : 91.00 % Evaluated at bid price : 22.25 Yield to Worst : 4.96 %
W.PR.H	Perpetual-Discount	1.21 %	Yield-to-Worst (at Bid) : 7.88 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 17.60 Probability of Maturity : 100.00 % Evaluated at bid price : 17.60 Yield to Worst : 7.88 %
PWF.PR.H	Perpetual-Discount	1.24 %	Yield-to-Worst (at Bid) : 7.22 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 20.00 Probability of Maturity : 100.00 % Evaluated at bid price : 20.00 Yield to Worst : 7.22 %
NA.PR.L	Perpetual-Discount	1.34 %	Yield-to-Worst (at Bid) : 6.98 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 17.39 Probability of Maturity : 100.00 % Evaluated at bid price : 17.39 Yield to Worst : 6.98 %
TD.PR.S	FixedReset	1.35 %	Yield-to-Worst (at Bid) : 4.23 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 22.44 Probability of Maturity : 88.90 % Evaluated at bid price : 22.50 Yield to Worst : 4.23 %
BMO.PR.L	Perpetual-Discount	1.39 %	Yield-to-Worst (at Bid) : 6.99 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 21.11 Probability of Maturity : 100.00 % Evaluated at bid price : 21.11 Yield to Worst : 6.99 %
PWF.PR.F	Perpetual-Discount	1.40 %	Yield-to-Worst (at Bid) : 6.88 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 19.14 Probability of Maturity : 100.00 % Evaluated at bid price : 19.14 Yield to Worst : 6.88 %
ALB.PR.A	SplitShare	1.40 %	Yield-to-Worst (at Bid) : 13.35 % YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2011-02-28 Maturity Price : 25.00 Probability of Maturity : 100.00 % Evaluated at bid price : 21.02 Yield to Worst : 13.35 %
ELF.PR.G	Perpetual-Discount	1.49 %	Yield-to-Worst (at Bid) : 7.97 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 15.02 Probability of Maturity : 100.00 % Evaluated at bid price : 15.02 Yield to Worst : 7.97 %
POW.PR.D	Perpetual-Discount	1.51 %	Yield-to-Worst (at Bid) : 6.96 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 18.10 Probability of Maturity : 100.00 % Evaluated at bid price : 18.10 Yield to Worst : 6.96 %
WFS.PR.A	SplitShare	1.66 %	Yield-to-Worst (at Bid) : 9.04 % YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2011-06-30 Maturity Price : 10.00 Probability of Maturity : 100.00 % Evaluated at bid price : 9.20 Yield to Worst : 9.04 %
BMO.PR.H	Perpetual-Discount	1.72 %	Yield-to-Worst (at Bid) : 6.69 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 20.15 Probability of Maturity : 100.00 % Evaluated at bid price : 20.15 Yield to Worst : 6.69 %
POW.PR.B	Perpetual-Discount	1.72 %	Yield-to-Worst (at Bid) : 6.89 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 19.54 Probability of Maturity : 100.00 % Evaluated at bid price : 19.54 Yield to Worst : 6.89 %
PWF.PR.G	Perpetual-Discount	1.73 %	Yield-to-Worst (at Bid) : 7.14 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 20.75 Probability of Maturity : 100.00 % Evaluated at bid price : 20.75 Yield to Worst : 7.14 %
NA.PR.K	Perpetual-Discount	1.77 %	Yield-to-Worst (at Bid) : 7.10 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 20.61 Probability of Maturity : 100.00 % Evaluated at bid price : 20.61 Yield to Worst : 7.10 %
DF.PR.A	SplitShare	1.81 %	Yield-to-Worst (at Bid) : 7.43 % YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-12-01 Maturity Price : 10.00 Probability of Maturity : 100.00 % Evaluated at bid price : 9.01 Yield to Worst : 7.43 %
BCE.PR.C	FixedFloater	1.86 %	Yield-to-Worst (at Bid) : 7.31 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 25.00 Probability of Maturity : 100.00 % Evaluated at bid price : 15.92 Yield to Worst : 7.31 %
BCE.PR.S	Ratchet	1.92 %	Yield-to-Worst (at Bid) : 7.53 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 25.00 Probability of Maturity : 100.00 % Evaluated at bid price : 14.89 Yield to Worst : 7.53 %
PWF.PR.A	Floater	2.04 %	Yield-to-Worst (at Bid) : 4.96 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 12.51 Probability of Maturity : 100.00 % Evaluated at bid price : 12.51 Yield to Worst : 4.96 %
PWF.PR.E	Perpetual-Discount	2.04 %	Yield-to-Worst (at Bid) : 7.15 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 19.30 Probability of Maturity : 100.00 % Evaluated at bid price : 19.30 Yield to Worst : 7.15 %
PWF.PR.K	Perpetual-Discount	2.06 %	Yield-to-Worst (at Bid) : 6.90 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 18.00 Probability of Maturity : 100.00 % Evaluated at bid price : 18.00 Yield to Worst : 6.90 %
PWF.PR.I	Perpetual-Discount	2.06 %	Yield-to-Worst (at Bid) : 7.11 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 21.17 Probability of Maturity : 100.00 % Evaluated at bid price : 21.17 Yield to Worst : 7.11 %
CL.PR.B	Perpetual-Discount	2.11 %	Yield-to-Worst (at Bid) : 7.09 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 22.26 Probability of Maturity : 100.00 % Evaluated at bid price : 22.26 Yield to Worst : 7.09 %
NA.PR.M	Perpetual-Discount	2.12 %	Yield-to-Worst (at Bid) : 7.12 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 21.08 Probability of Maturity : 100.00 % Evaluated at bid price : 21.08 Yield to Worst : 7.12 %
PWF.PR.L	Perpetual-Discount	2.12 %	Yield-to-Worst (at Bid) : 7.15 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 17.90 Probability of Maturity : 100.00 % Evaluated at bid price : 17.90 Yield to Worst : 7.15 %
BNS.PR.O	Perpetual-Discount	2.14 %	Yield-to-Worst (at Bid) : 6.69 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 21.00 Probability of Maturity : 100.00 % Evaluated at bid price : 21.00 Yield to Worst : 6.69 %
SBN.PR.A	SplitShare	2.15 %	Yield-to-Worst (at Bid) : 6.36 % YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-12-01 Maturity Price : 10.00 Probability of Maturity : 100.00 % Evaluated at bid price : 9.50 Yield to Worst : 6.36 %
FFN.PR.A	SplitShare	2.29 %	Yield-to-Worst (at Bid) : 9.80 % YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-12-01 Maturity Price : 10.00 Probability of Maturity : 100.00 % Evaluated at bid price : 8.04 Yield to Worst : 9.80 %
GWO.PR.H	Perpetual-Discount	2.35 %	Yield-to-Worst (at Bid) : 7.02 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 17.45 Probability of Maturity : 100.00 % Evaluated at bid price : 17.45 Yield to Worst : 7.02 %
RY.PR.H	Perpetual-Discount	2.36 %	Yield-to-Worst (at Bid) : 6.61 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 21.38 Probability of Maturity : 94.07 % Evaluated at bid price : 21.70 Yield to Worst : 6.61 %
BCE.PR.I	FixedFloater	2.40 %	Yield-to-Worst (at Bid) : 7.22 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 25.00 Probability of Maturity : 100.00 % Evaluated at bid price : 15.76 Yield to Worst : 7.22 %
POW.PR.C	Perpetual-Discount	2.62 %	Yield-to-Worst (at Bid) : 6.90 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 21.16 Probability of Maturity : 100.00 % Evaluated at bid price : 21.16 Yield to Worst : 6.90 %
GWO.PR.I	Perpetual-Discount	2.74 %	Yield-to-Worst (at Bid) : 7.05 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 16.13 Probability of Maturity : 100.00 % Evaluated at bid price : 16.13 Yield to Worst : 7.05 %
NA.PR.N	FixedReset	2.77 %	Yield-to-Worst (at Bid) : 4.97 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 21.41 Probability of Maturity : 100.00 % Evaluated at bid price : 21.41 Yield to Worst : 4.97 %
BCE.PR.R	FixedFloater	3.33 %	Yield-to-Worst (at Bid) : 7.37 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 25.00 Probability of Maturity : 100.00 % Evaluated at bid price : 15.50 Yield to Worst : 7.37 %
CIU.PR.A	Perpetual-Discount	3.35 %	Yield-to-Worst (at Bid) : 7.02 % YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-07 Maturity Price : 16.65 Probability of Maturity : 100.00 % Evaluated at bid price : 16.65 Yield to Worst : 7.02 %

Volume Highlights
Issue	Index	Shares Traded	Notes
WFS.PR.A	SplitShare	490,900
LFE.PR.A	SplitShare	64,507
GWO.PR.H	Perpetual-Discount	63,899
GWO.PR.I	Perpetual-Discount	55,300
RY.PR.D	Perpetual-Discount	39,570
RY.PR.N	FixedReset	38,762
BAM.PR.O	OpRet	30,855
PPL.PR.A	SplitShare	29,313
RY.PR.E	Perpetual-Discount	26,200
BCE.PR.I	FixedFloater	23,613
FFN.PR.A	SplitShare	22,255
CU.PR.B	Perpetual-Discount	20,587
BNS.PR.L	Perpetual-Discount	18,240
BAM.PR.N	Perpetual-Discount	17,574
CIU.PR.A	Perpetual-Discount	17,000
RY.PR.B	Perpetual-Discount	16,410
HSB.PR.C	Perpetual-Discount	16,400
CM.PR.H	Perpetual-Discount	15,655
BMO.PR.J	Perpetual-Discount	15,150
BNS.PR.M	Perpetual-Discount	14,935
SLF.PR.B	Perpetual-Discount	14,240
BMO.PR.N	FixedReset	13,950
BMO.PR.L	Perpetual-Discount	13,030
CM.PR.G	Perpetual-Discount	13,015
BNA.PR.C	SplitShare	12,600
MFC.PR.A	OpRet	12,400
SLF.PR.D	Perpetual-Discount	12,379
FIG.PR.A	Interest-Bearing	12,376
CM.PR.D	Perpetual-Discount	12,250
TD.PR.P	Perpetual-Discount	11,465
BCE.PR.Z	FixedFloater	10,341

This entry was posted on Wednesday, January 7th, 2009 at 10:57 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.