Esquire has an entertaining and illuminating feature article titled The Deal of the Century, regarding last fall’s Barclays/Lehman deal.
PerpetualDiscounts underperformed today, losing 22bp against the gain of 7bp by FixedResets. This means that the former class is down 69bp on the month-to-date, while the latter is up 30bp, a reversal of fortunes from recent months! Volume picked up today and is relatively heavy
| 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 | 0.9952 % | 1,459.3 |
| FixedFloater | 5.75 % | 4.01 % | 57,606 | 18.58 | 1 | -0.4739 % | 2,669.0 |
| Floater | 2.51 % | 2.10 % | 28,681 | 22.16 | 4 | 0.9952 % | 1,823.1 |
| OpRet | 4.87 % | -11.46 % | 138,012 | 0.09 | 15 | 0.3278 % | 2,284.8 |
| SplitShare | 6.48 % | 6.79 % | 1,036,592 | 4.05 | 2 | -0.9511 % | 2,042.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3278 % | 2,089.2 |
| Perpetual-Premium | 5.77 % | 5.56 % | 149,492 | 2.86 | 12 | -0.0396 % | 1,878.4 |
| Perpetual-Discount | 5.71 % | 5.77 % | 199,189 | 14.23 | 59 | -0.2164 % | 1,799.9 |
| FixedReset | 5.49 % | 3.99 % | 469,921 | 4.14 | 40 | 0.0736 % | 2,110.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| RY.PR.W | Perpetual-Discount | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-11 Maturity Price : 22.49 Evaluated at bid price : 22.66 Bid-YTW : 5.45 % |
| TCA.PR.Y | Perpetual-Discount | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-11 Maturity Price : 45.90 Evaluated at bid price : 48.67 Bid-YTW : 5.77 % |
| BNA.PR.D | SplitShare | -1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-07-09 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : 6.79 % |
| TD.PR.O | Perpetual-Discount | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-11 Maturity Price : 22.23 Evaluated at bid price : 22.37 Bid-YTW : 5.49 % |
| RY.PR.C | Perpetual-Discount | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-11 Maturity Price : 20.72 Evaluated at bid price : 20.72 Bid-YTW : 5.61 % |
| TRI.PR.B | Floater | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-11 Maturity Price : 18.95 Evaluated at bid price : 18.95 Bid-YTW : 2.09 % |
| GWO.PR.I | Perpetual-Discount | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-11 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 5.70 % |
| BAM.PR.J | OpRet | 1.14 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 25.21 Bid-YTW : 5.27 % |
| BAM.PR.P | FixedReset | 1.21 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-30 Maturity Price : 25.00 Evaluated at bid price : 26.59 Bid-YTW : 5.52 % |
| PWF.PR.A | Floater | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-11 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 2.10 % |
| BAM.PR.O | OpRet | 1.36 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 4.75 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.H | Perpetual-Premium | 145,530 | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-23 Maturity Price : 25.00 Evaluated at bid price : 25.27 Bid-YTW : 5.56 % |
| RY.PR.R | FixedReset | 66,060 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.73 Bid-YTW : 3.71 % |
| TD.PR.O | Perpetual-Discount | 54,328 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-09-11 Maturity Price : 22.23 Evaluated at bid price : 22.37 Bid-YTW : 5.49 % |
| BNS.PR.T | FixedReset | 53,637 | Desjardins bought 10,900 from Nesbitt at 27.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 27.88 Bid-YTW : 3.77 % |
| CM.PR.L | FixedReset | 50,986 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.82 Bid-YTW : 4.07 % |
| RY.PR.P | FixedReset | 50,465 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.73 Bid-YTW : 3.71 % |
| There were 49 other index-included issues trading in excess of 10,000 shares. | |||