Volume held up today, as PerpetualDiscounts slipped 14bp but FixedResets continued to defy gravity, gaining 3bp to take yields down to 3.66%.
| 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 | 1.4325 % | 1,599.1 |
| FixedFloater | 5.85 % | 3.99 % | 40,798 | 18.79 | 1 | -0.2148 % | 2,661.9 |
| Floater | 2.45 % | 2.83 % | 117,020 | 20.17 | 3 | 1.4325 % | 1,997.8 |
| OpRet | 4.86 % | -6.31 % | 127,956 | 0.09 | 15 | 0.0435 % | 2,320.2 |
| SplitShare | 6.43 % | -6.01 % | 219,731 | 0.08 | 2 | 0.1776 % | 2,090.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0435 % | 2,121.6 |
| Perpetual-Premium | 5.86 % | 5.87 % | 79,094 | 2.32 | 7 | 0.1191 % | 1,883.5 |
| Perpetual-Discount | 5.82 % | 5.86 % | 198,300 | 14.09 | 68 | -0.1351 % | 1,793.0 |
| FixedReset | 5.40 % | 3.66 % | 337,300 | 3.86 | 41 | 0.0299 % | 2,169.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| POW.PR.D | Perpetual-Discount | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-23 Maturity Price : 20.26 Evaluated at bid price : 20.26 Bid-YTW : 6.19 % |
| BAM.PR.P | FixedReset | -1.24 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-30 Maturity Price : 25.00 Evaluated at bid price : 27.01 Bid-YTW : 5.11 % |
| POW.PR.B | Perpetual-Discount | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-23 Maturity Price : 21.44 Evaluated at bid price : 21.75 Bid-YTW : 6.15 % |
| CM.PR.E | Perpetual-Discount | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-23 Maturity Price : 23.54 Evaluated at bid price : 23.83 Bid-YTW : 5.86 % |
| POW.PR.A | Perpetual-Discount | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-23 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 6.09 % |
| TRI.PR.B | Floater | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-23 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 1.89 % |
| CIU.PR.A | Perpetual-Discount | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-23 Maturity Price : 19.96 Evaluated at bid price : 19.96 Bid-YTW : 5.83 % |
| BMO.PR.M | FixedReset | 1.71 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-09-24 Maturity Price : 25.00 Evaluated at bid price : 26.75 Bid-YTW : 3.09 % |
| BAM.PR.B | Floater | 2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-23 Maturity Price : 13.90 Evaluated at bid price : 13.90 Bid-YTW : 2.83 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.E | FixedReset | 58,865 | RBC crossed 49,900 at 27.05. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 27.05 Bid-YTW : 3.77 % |
| IGM.PR.B | Perpetual-Discount | 45,825 | Inventory Blow-Out Sale YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-23 Maturity Price : 24.11 Evaluated at bid price : 24.30 Bid-YTW : 6.12 % |
| SLF.PR.F | FixedReset | 38,974 | RBC crossed 35,000 at 27.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-30 Maturity Price : 25.00 Evaluated at bid price : 27.50 Bid-YTW : 3.63 % |
| CM.PR.I | Perpetual-Discount | 38,080 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-23 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 5.82 % |
| TRP.PR.A | FixedReset | 33,146 | YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 3.81 % |
| RY.PR.X | FixedReset | 31,978 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 27.95 Bid-YTW : 3.70 % |
| There were 38 other index-included issues trading in excess of 10,000 shares. | |||