{"id":9051,"date":"2009-12-15T20:37:17","date_gmt":"2009-12-16T00:37:17","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=9051"},"modified":"2009-12-15T20:37:17","modified_gmt":"2009-12-16T00:37:17","slug":"december-15-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=9051","title":{"rendered":"December 15, 2009"},"content":{"rendered":"

Another day of good returns and good volume for preferreds, with PerpetualDiscounts gaining 5bp and FixedResets up 12bp, taking the median-weighted-average yield for the latter index down to yet another new low of 3.69%. How low can they go?<\/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>\n0.4983 %<\/td>\n1,532.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n5.72 %<\/td>\n3.86 %<\/td>\n41,220<\/td>\n18.96<\/td>\n1<\/td>\n2.9794 %<\/td>\n2,723.5<\/td>\n<\/tr>\n
Floater<\/td>\n2.56 %<\/td>\n2.99 %<\/td>\n97,023<\/td>\n19.76<\/td>\n3<\/td>\n0.4983 %<\/td>\n1,914.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.87 %<\/td>\n-2.60 %<\/td>\n138,520<\/td>\n0.09<\/td>\n15<\/td>\n0.0562 %<\/td>\n2,314.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.43 %<\/td>\n-5.11 %<\/td>\n254,766<\/td>\n0.08<\/td>\n2<\/td>\n0.1332 %<\/td>\n2,089.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0562 %<\/td>\n2,116.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.87 %<\/td>\n5.80 %<\/td>\n80,709<\/td>\n2.34<\/td>\n7<\/td>\n0.2106 %<\/td>\n1,879.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.79 %<\/td>\n5.84 %<\/td>\n199,252<\/td>\n14.02<\/td>\n68<\/td>\n0.0525 %<\/td>\n1,796.8<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.41 %<\/td>\n3.69 %<\/td>\n354,037<\/td>\n3.88<\/td>\n41<\/td>\n0.1151 %<\/td>\n2,162.3<\/td>\n<\/tr>\n<\/table>\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.K<\/td>\nPerpetual-Discount<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-15
\nMaturity Price : 22.99
\nEvaluated at bid price : 23.15
\nBid-YTW : 5.72 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-15
\nMaturity Price : 13.13
\nEvaluated at bid price : 13.13
\nBid-YTW : 2.99 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n2.98 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.01
\nBid-YTW : 3.86 %<\/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
BMO.PR.L<\/td>\nPerpetual-Discount<\/td>\n88,335<\/td>\nRBC crossed 79,100 at 25.13.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-15
\nMaturity Price : 24.84
\nEvaluated at bid price : 25.07
\nBid-YTW : 5.84 %<\/td>\n<\/tr>\n
CU.PR.B<\/td>\nPerpetual-Premium<\/td>\n72,900<\/td>\nRBC crossed 72,400 at 25.15.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-07-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.20
\nBid-YTW : 5.80 %<\/td>\n<\/tr>\n
TD.PR.N<\/td>\nOpRet<\/td>\n67,000<\/td>\nRBC crossed 25,000 at 26.30; TD crossed 35,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-01-14
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.25
\nBid-YTW : -0.64 %<\/td>\n<\/tr>\n
TD.PR.O<\/td>\nPerpetual-Discount<\/td>\n55,608<\/td>\nNesbitt crossed 37,200 at 22.90.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-15
\nMaturity Price : 22.72
\nEvaluated at bid price : 22.90
\nBid-YTW : 5.36 %<\/td>\n<\/tr>\n
RY.PR.X<\/td>\nFixedReset<\/td>\n51,653<\/td>\nRBC crossed 27,000 at 28.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-09-23
\nMaturity Price : 25.00
\nEvaluated at bid price : 28.00
\nBid-YTW : 3.63 %<\/td>\n<\/tr>\n
MFC.PR.A<\/td>\nOpRet<\/td>\n40,860<\/td>\nNesbitt crossed 35,500 at 26.43.
\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2015-12-18
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.32
\nBid-YTW : 3.14 %<\/td>\n<\/tr>\n
There were 43 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Another day of good returns and good volume for preferreds, with PerpetualDiscounts gaining 5bp and FixedResets up 12bp, taking the median-weighted-average yield for the latter index down to yet another new low of 3.69%. How …<\/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-9051","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/9051","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=9051"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/9051\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=9051"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=9051"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=9051"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}