{"id":8973,"date":"2009-12-07T21:05:36","date_gmt":"2009-12-08T01:05:36","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=8973"},"modified":"2009-12-07T21:05:36","modified_gmt":"2009-12-08T01:05:36","slug":"december-7-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=8973","title":{"rendered":"December 7, 2009"},"content":{"rendered":"

Bob Eisenbeis, Chief Monetary Economist at Cumberland Advisors, has posted a good commentary on Contingent Capital<\/a>.<\/p>\n

It was a mixed day for preferred shares, with PerpetualDiscounts down 10bp and FixedResets up 11bp – which took the weighted median yield-to-worst of the latter class down to 3.75%. How low can it go? The five lowest yields recorded on the FixedReset index have been observed on the last five trading days. Volume returned to normal levels.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1538 %<\/td>\n1,504.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n6.04 %<\/td>\n4.16 %<\/td>\n37,390<\/td>\n18.59<\/td>\n1<\/td>\n0.1669 %<\/td>\n2,578.8<\/td>\n<\/tr>\n
Floater<\/td>\n2.59 %<\/td>\n3.04 %<\/td>\n97,849<\/td>\n19.55<\/td>\n3<\/td>\n0.1538 %<\/td>\n1,879.5<\/td>\n<\/tr>\n
OpRet<\/td>\n4.87 %<\/td>\n-3.81 %<\/td>\n140,288<\/td>\n0.08<\/td>\n15<\/td>\n-0.1555 %<\/td>\n2,306.9<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.37 %<\/td>\n-6.89 %<\/td>\n271,118<\/td>\n0.08<\/td>\n2<\/td>\n-0.3067 %<\/td>\n2,108.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1555 %<\/td>\n2,109.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.88 %<\/td>\n5.83 %<\/td>\n60,931<\/td>\n6.00<\/td>\n7<\/td>\n-0.3065 %<\/td>\n1,874.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.81 %<\/td>\n5.88 %<\/td>\n184,910<\/td>\n14.03<\/td>\n67<\/td>\n-0.1012 %<\/td>\n1,788.1<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.42 %<\/td>\n3.75 %<\/td>\n366,983<\/td>\n3.90<\/td>\n41<\/td>\n0.1056 %<\/td>\n2,155.6<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BMO.PR.H<\/td>\nPerpetual-Discount<\/td>\n-1.68 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-07
\nMaturity Price : 22.61
\nEvaluated at bid price : 23.36
\nBid-YTW : 5.68 %<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n-1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2018-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.41
\nBid-YTW : 4.75 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetual-Discount<\/td>\n-1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-07
\nMaturity Price : 19.40
\nEvaluated at bid price : 19.40
\nBid-YTW : 6.02 %<\/td>\n<\/tr>\n
CM.PR.R<\/td>\nOpRet<\/td>\n-1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-01-06
\nMaturity Price : 25.60
\nEvaluated at bid price : 25.94
\nBid-YTW : -5.24 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetual-Discount<\/td>\n-1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-07
\nMaturity Price : 18.98
\nEvaluated at bid price : 18.98
\nBid-YTW : 5.94 %<\/td>\n<\/tr>\n
BMO.PR.K<\/td>\nPerpetual-Discount<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-07
\nMaturity Price : 23.33
\nEvaluated at bid price : 23.51
\nBid-YTW : 5.62 %<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-07
\nMaturity Price : 21.07
\nEvaluated at bid price : 21.07
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-07
\nMaturity Price : 22.21
\nEvaluated at bid price : 22.35
\nBid-YTW : 5.70 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
PWF.PR.M<\/td>\nFixedReset<\/td>\n212,750<\/td>\nNational Bank crossed two blocks at 27.25, of 200,000 and 10,000 shares.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-02
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.18
\nBid-YTW : 3.90 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetual-Discount<\/td>\n79,596<\/td>\nRBC crossed 60,000 at 20.10.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-07
\nMaturity Price : 20.02
\nEvaluated at bid price : 20.02
\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n
TRI.PR.B<\/td>\nFloater<\/td>\n75,000<\/td>\nRBC crossed two blocks at 19.75, of 50,000 and 25,000 shares.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-07
\nMaturity Price : 19.75
\nEvaluated at bid price : 19.75
\nBid-YTW : 2.01 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n73,585<\/td>\nScotia crossed 50,000 at 25.85.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.86
\nBid-YTW : 3.80 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetual-Discount<\/td>\n62,748<\/td>\nRBC crossed 60,000 at 18.75.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-07
\nMaturity Price : 18.71
\nEvaluated at bid price : 18.71
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n56,648<\/td>\nRBC crossed 50,000 at 13.06.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-07
\nMaturity Price : 13.06
\nEvaluated at bid price : 13.06
\nBid-YTW : 3.04 %<\/td>\n<\/tr>\n
There were 36 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Bob Eisenbeis, Chief Monetary Economist at Cumberland Advisors, has posted a good commentary on Contingent Capital. It was a mixed day for preferred shares, with PerpetualDiscounts down 10bp and FixedResets up 11bp – which took …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-8973","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/8973","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=8973"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/8973\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=8973"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=8973"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=8973"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}