PerpetualDiscounts took a hit today, losing 15bp, but FixedResets just kept on keeping on, up 8bp to close with a weighted-median-average YTW of 3.68%. How Low Can They Go? Volume was moderately good.
| 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 | 0.8787 % | 1,563.3 |
| FixedFloater | 5.66 % | 3.81 % | 41,788 | 19.03 | 1 | 0.4710 % | 2,750.7 |
| Floater | 2.51 % | 2.96 % | 102,744 | 19.83 | 3 | 0.8787 % | 1,953.0 |
| OpRet | 4.86 % | -3.11 % | 133,338 | 0.09 | 15 | 0.1277 % | 2,318.1 |
| SplitShare | 6.44 % | -4.65 % | 243,143 | 0.08 | 2 | -0.2217 % | 2,084.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1277 % | 2,119.7 |
| Perpetual-Premium | 5.87 % | 5.80 % | 82,127 | 2.33 | 7 | -0.1021 % | 1,879.2 |
| Perpetual-Discount | 5.79 % | 5.83 % | 199,269 | 14.03 | 68 | -0.1520 % | 1,797.9 |
| FixedReset | 5.41 % | 3.68 % | 352,168 | 3.87 | 41 | 0.0758 % | 2,164.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IGM.PR.B | Perpetual-Discount | -2.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-17 Maturity Price : 24.07 Evaluated at bid price : 24.26 Bid-YTW : 6.13 % |
| PWF.PR.H | Perpetual-Discount | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-17 Maturity Price : 23.73 Evaluated at bid price : 24.04 Bid-YTW : 6.06 % |
| BNS.PR.K | Perpetual-Discount | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-17 Maturity Price : 21.49 Evaluated at bid price : 21.77 Bid-YTW : 5.58 % |
| BAM.PR.K | Floater | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-17 Maturity Price : 13.15 Evaluated at bid price : 13.15 Bid-YTW : 2.99 % |
| TD.PR.P | Perpetual-Discount | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-17 Maturity Price : 23.85 Evaluated at bid price : 24.06 Bid-YTW : 5.53 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| IGM.PR.B | Perpetual-Discount | 177,249 | Inventory Blow-Out Sale. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-17 Maturity Price : 24.07 Evaluated at bid price : 24.26 Bid-YTW : 6.13 % |
| BAM.PR.B | Floater | 168,255 | RBC crossed two blocks, of 50,000 and 80,000 shares, at 13.28. Nesbitt crossed 25,000 at 13.26. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-17 Maturity Price : 13.27 Evaluated at bid price : 13.27 Bid-YTW : 2.96 % |
| IGM.PR.A | OpRet | 164,934 | Called for Redemption. Nesbitt crossed 155,000 at 26.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2010-07-30 Maturity Price : 25.67 Evaluated at bid price : 25.97 Bid-YTW : 3.36 % |
| SLF.PR.E | Perpetual-Discount | 120,236 | Nesbitt crossed 100,000 at 18.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-17 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 6.00 % |
| BMO.PR.O | FixedReset | 114,335 | TD crossed 88,800 at 28.10; sold 11,000 to National at 28.15; and sold two blocks of 10,000 each to RBC at 28.15. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-24 Maturity Price : 25.00 Evaluated at bid price : 28.11 Bid-YTW : 3.64 % |
| CM.PR.L | FixedReset | 55,313 | RBC bought 14,400 from CIBC at 28.15, then crossed 25,500 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 28.13 Bid-YTW : 3.68 % |
| There were 34 other index-included issues trading in excess of 10,000 shares. | |||