PerpetualDiscounts managed to keep the rally going today, with a gain of 18bp taking yields down to 5.61%. Today was the eighteenth consecutive trading day of advances, with the index gaining 9.71% total return in this span, with yields declining from 6.15% on July 27 to 5.61% today.
| 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 | -0.1203 % | 1,441.6 |
| FixedFloater | 6.04 % | 4.31 % | 59,797 | 18.19 | 1 | -0.0555 % | 2,541.9 |
| Floater | 3.16 % | 3.18 % | 71,203 | 19.23 | 2 | -0.1203 % | 1,801.0 |
| OpRet | 4.84 % | -11.51 % | 138,795 | 0.09 | 15 | 0.0585 % | 2,282.3 |
| SplitShare | 5.69 % | 2.64 % | 102,542 | 0.08 | 3 | -0.2098 % | 2,038.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0585 % | 2,086.9 |
| Perpetual-Premium | 5.72 % | 5.32 % | 71,712 | 2.41 | 4 | -0.0198 % | 1,879.6 |
| Perpetual-Discount | 5.62 % | 5.61 % | 189,963 | 14.39 | 67 | 0.1787 % | 1,827.3 |
| FixedReset | 5.49 % | 4.03 % | 493,360 | 4.13 | 40 | 0.0018 % | 2,105.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSB.PR.D | Perpetual-Discount | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-21 Maturity Price : 22.96 Evaluated at bid price : 23.15 Bid-YTW : 5.48 % |
| NA.PR.N | FixedReset | -1.47 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-09-14 Maturity Price : 25.00 Evaluated at bid price : 26.11 Bid-YTW : 4.18 % |
| TD.PR.M | OpRet | -1.20 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2009-09-20 Maturity Price : 26.00 Evaluated at bid price : 26.42 Bid-YTW : -11.51 % |
| CM.PR.H | Perpetual-Discount | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-21 Maturity Price : 21.46 Evaluated at bid price : 21.75 Bid-YTW : 5.56 % |
| BMO.PR.K | Perpetual-Discount | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-21 Maturity Price : 23.57 Evaluated at bid price : 23.76 Bid-YTW : 5.55 % |
| BAM.PR.J | OpRet | 1.03 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 5.31 % |
| BAM.PR.P | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-30 Maturity Price : 25.00 Evaluated at bid price : 27.04 Bid-YTW : 5.55 % |
| BMO.PR.J | Perpetual-Discount | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-21 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 5.30 % |
| CM.PR.G | Perpetual-Discount | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-21 Maturity Price : 23.86 Evaluated at bid price : 24.10 Bid-YTW : 5.65 % |
| ELF.PR.F | Perpetual-Discount | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-21 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 6.56 % |
| IAG.PR.C | FixedReset | 1.34 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 27.27 Bid-YTW : 4.19 % |
| NA.PR.L | Perpetual-Discount | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-21 Maturity Price : 21.57 Evaluated at bid price : 21.90 Bid-YTW : 5.56 % |
| ELF.PR.G | Perpetual-Discount | 2.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-21 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.34 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.K | Perpetual-Discount | 204,175 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-21 Maturity Price : 21.94 Evaluated at bid price : 22.06 Bid-YTW : 5.49 % |
| GWO.PR.I | Perpetual-Discount | 106,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-21 Maturity Price : 20.21 Evaluated at bid price : 20.21 Bid-YTW : 5.66 % |
| TD.PR.Q | Perpetual-Discount | 85,020 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-21 Maturity Price : 24.83 Evaluated at bid price : 25.06 Bid-YTW : 5.64 % |
| BNS.PR.Q | FixedReset | 75,226 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-21 Maturity Price : 23.47 Evaluated at bid price : 25.82 Bid-YTW : 4.16 % |
| BNS.PR.P | FixedReset | 60,450 | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-25 Maturity Price : 25.00 Evaluated at bid price : 26.01 Bid-YTW : 3.92 % |
| HSB.PR.E | FixedReset | 48,678 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-30 Maturity Price : 25.00 Evaluated at bid price : 27.90 Bid-YTW : 4.26 % |
| There were 53 other index-included issues trading in excess of 10,000 shares. | |||