Across the Curve notes that today’s 30-year treasury auction was a disaster, perhaps due to considerations of sharply increased supply:
Today’s auction began the Treasury’s monthly sales of the so-called long bond, up from quarterly offerings at the end of last year. That means the government will boost sales of the security from $35 billion in 2008 to $120 billion this year, according to Michael Pond, an interest-rate strategist in New York at Barclays Capital Inc., one of the 16 primary dealers that trade with the central bank and are required to participate in Treasury auctions.
After the close, the Fed released results of the stress tests.
Sorry this is so late, folks! Many, many things going on.
| 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 | 1.7296 % | 1,031.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.7296 % | 1,668.2 |
| Floater | 3.65 % | 4.30 % | 72,325 | 16.79 | 3 | 1.7296 % | 1,288.7 |
| OpRet | 5.07 % | 4.15 % | 139,917 | 1.87 | 15 | 0.1705 % | 2,147.3 |
| SplitShare | 6.04 % | 8.02 % | 47,742 | 4.27 | 3 | -0.0791 % | 1,778.6 |
| Interest-Bearing | 6.00 % | 6.62 % | 27,956 | 0.63 | 1 | 0.0000 % | 1,987.2 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2187 % | 1,681.0 |
| Perpetual-Discount | 6.50 % | 6.58 % | 150,024 | 13.11 | 71 | 0.2187 % | 1,548.2 |
| FixedReset | 5.77 % | 4.92 % | 549,814 | 4.52 | 36 | -0.0313 % | 1,961.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BNS.PR.X | FixedReset | -2.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 26.26 Bid-YTW : 5.18 % |
| TD.PR.Q | Perpetual-Discount | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 22.63 Evaluated at bid price : 22.76 Bid-YTW : 6.20 % |
| TD.PR.P | Perpetual-Discount | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 21.06 Evaluated at bid price : 21.06 Bid-YTW : 6.29 % |
| BMO.PR.H | Perpetual-Discount | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 21.06 Evaluated at bid price : 21.06 Bid-YTW : 6.32 % |
| NA.PR.L | Perpetual-Discount | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 6.70 % |
| BMO.PR.L | Perpetual-Discount | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 22.73 Evaluated at bid price : 22.86 Bid-YTW : 6.36 % |
| BNA.PR.C | SplitShare | 1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 14.06 Bid-YTW : 12.45 % |
| CIU.PR.B | FixedReset | 1.12 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-01 Maturity Price : 25.00 Evaluated at bid price : 27.10 Bid-YTW : 4.78 % |
| BNS.PR.N | Perpetual-Discount | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 21.82 Evaluated at bid price : 21.90 Bid-YTW : 6.04 % |
| BMO.PR.J | Perpetual-Discount | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 6.10 % |
| PWF.PR.F | Perpetual-Discount | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 6.69 % |
| CM.PR.P | Perpetual-Discount | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 21.53 Evaluated at bid price : 21.53 Bid-YTW : 6.45 % |
| W.PR.J | Perpetual-Discount | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 6.75 % |
| NA.PR.K | Perpetual-Discount | 2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 22.32 Evaluated at bid price : 22.50 Bid-YTW : 6.53 % |
| ELF.PR.F | Perpetual-Discount | 2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 17.27 Evaluated at bid price : 17.27 Bid-YTW : 7.78 % |
| GWO.PR.H | Perpetual-Discount | 2.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 6.75 % |
| IAG.PR.A | Perpetual-Discount | 2.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 6.83 % |
| RY.PR.H | Perpetual-Discount | 3.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 23.77 Evaluated at bid price : 23.96 Bid-YTW : 5.91 % |
| PWF.PR.L | Perpetual-Discount | 3.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 19.37 Evaluated at bid price : 19.37 Bid-YTW : 6.65 % |
| PWF.PR.K | Perpetual-Discount | 4.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 6.52 % |
| BAM.PR.K | Floater | 5.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 9.25 Evaluated at bid price : 9.25 Bid-YTW : 4.30 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWO.PR.X | OpRet | 158,322 | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2013-09-29 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.64 % |
| RY.PR.D | Perpetual-Discount | 98,070 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 6.26 % |
| MFC.PR.B | Perpetual-Discount | 90,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-07 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 6.67 % |
| MFC.PR.D | FixedReset | 87,540 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 26.30 Bid-YTW : 5.73 % |
| PWF.PR.J | OpRet | 72,692 | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2013-07-30 Maturity Price : 25.00 Evaluated at bid price : 25.61 Bid-YTW : 4.11 % |
| RY.PR.Y | FixedReset | 68,047 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-24 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 5.33 % |
| There were 56 other index-included issues trading in excess of 10,000 shares. | |||