So much for the Christmas lull! Trading was heavy today and PerpetualDiscounts were down 14bp, while FixedResets were up 13bp as investors realized that a lot of the product available was not the YPG.PR.D new issue.
| 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 | 0.1266 % | 1,576.6 |
| FixedFloater | 5.84 % | 3.97 % | 41,119 | 18.81 | 1 | -1.4293 % | 2,667.6 |
| Floater | 2.49 % | 2.90 % | 111,326 | 19.99 | 3 | 0.1266 % | 1,969.6 |
| OpRet | 4.86 % | -4.45 % | 129,703 | 0.09 | 15 | 0.0306 % | 2,319.2 |
| SplitShare | 6.44 % | -4.43 % | 227,943 | 0.08 | 2 | -0.0887 % | 2,086.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0306 % | 2,120.7 |
| Perpetual-Premium | 5.86 % | 5.80 % | 81,734 | 2.32 | 7 | -0.0397 % | 1,881.3 |
| Perpetual-Discount | 5.80 % | 5.86 % | 197,765 | 14.03 | 68 | -0.1436 % | 1,795.4 |
| FixedReset | 5.39 % | 3.63 % | 343,652 | 3.86 | 41 | 0.1317 % | 2,168.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSB.PR.D | Perpetual-Discount | -2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-22 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.90 % |
| RY.PR.C | Perpetual-Discount | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-22 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 5.61 % |
| POW.PR.D | Perpetual-Discount | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-22 Maturity Price : 20.63 Evaluated at bid price : 20.63 Bid-YTW : 6.08 % |
| BAM.PR.J | OpRet | -1.52 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 4.82 % |
| BAM.PR.G | FixedFloater | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-22 Maturity Price : 25.00 Evaluated at bid price : 18.62 Bid-YTW : 3.97 % |
| BNS.PR.Q | FixedReset | -1.09 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-11-24 Maturity Price : 25.00 Evaluated at bid price : 26.36 Bid-YTW : 3.68 % |
| PWF.PR.K | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-22 Maturity Price : 20.93 Evaluated at bid price : 20.93 Bid-YTW : 6.02 % |
| BAM.PR.K | Floater | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-22 Maturity Price : 13.40 Evaluated at bid price : 13.40 Bid-YTW : 2.93 % |
| CM.PR.K | FixedReset | 1.26 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 27.25 Bid-YTW : 3.42 % |
| RY.PR.Y | FixedReset | 1.30 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-24 Maturity Price : 25.00 Evaluated at bid price : 28.00 Bid-YTW : 3.61 % |
| CM.PR.A | OpRet | 1.32 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2010-01-21 Maturity Price : 25.25 Evaluated at bid price : 26.85 Bid-YTW : -52.24 % |
| NA.PR.L | Perpetual-Discount | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-22 Maturity Price : 21.48 Evaluated at bid price : 21.75 Bid-YTW : 5.64 % |
| HSB.PR.C | Perpetual-Discount | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-22 Maturity Price : 21.58 Evaluated at bid price : 21.90 Bid-YTW : 5.84 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.L | FixedReset | 268,035 | RBC crossed 26,700 at 28.15; then bought 19,900 from CIBC at the same price. CIBC then sold 19,000 to TD and 17,900 more to RBC at 28.15; TD bought 13,500 from HSBC at 28.15; RBC crossed 40,400 at 28.15. TD crossed a block of 30,900 at 28.16 (finally, a different price) and crossed two blocks, of 37,000 and 15,400 shares, both at the same old 28.15. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 28.14 Bid-YTW : 3.69 % |
| ACO.PR.A | OpRet | 194,888 | RBC crossed 194,800 at 25.90. YTW SCENARIO Maturity Type : Call Maturity Date : 2010-01-21 Maturity Price : 25.50 Evaluated at bid price : 25.99 Bid-YTW : -13.17 % |
| GWO.PR.J | FixedReset | 53,065 | RBC crossed 50,000 at 27.16. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 27.16 Bid-YTW : 3.67 % |
| TD.PR.N | OpRet | 51,880 | TD crossed blocks of 31,000 and 15,000 at 26.33. YTW SCENARIO Maturity Type : Call Maturity Date : 2010-01-21 Maturity Price : 26.00 Evaluated at bid price : 26.40 Bid-YTW : -6.45 % |
| BNS.PR.T | FixedReset | 38,555 | RBC crossed 18,800 at 28.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 28.00 Bid-YTW : 3.57 % |
| BNS.PR.J | Perpetual-Discount | 36,620 | RBC crossed 18,000 at 23.92. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-22 Maturity Price : 22.74 Evaluated at bid price : 23.74 Bid-YTW : 5.57 % |
| There were 64 other index-included issues trading in excess of 10,000 shares. | |||