{"id":10263,"date":"2010-03-26T22:14:42","date_gmt":"2010-03-27T02:14:42","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=10263"},"modified":"2010-03-26T22:14:42","modified_gmt":"2010-03-27T02:14:42","slug":"march-26-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=10263","title":{"rendered":"March 26, 2010"},"content":{"rendered":"<p>OSFI published its <a href=\"http:\/\/www.osfi-bsif.gc.ca\/app\/DocRepository\/1\/eng\/reports\/osfi\/OSFI_RPP_2010_11_e.pdf\">Report on Plans and Priorities<\/a> today. I continue to be amused by their performance targets: under the programme target &#8220;Accurate risk assessments&#8221;, they set a target of 70% for &#8220;Percentage of knowledgeable observers who agree that their institution&#8217;s Composite Risk Rating is appropriate.&#8221;. &#8220;Knowledgeable observers&#8221; are defined as &#8220;Senior Executives and professionals who act on behalf of federally regulated financial institutions.&#8221; Sounds pretty cosy! Don&#8217;t hold your breath waiting for a politician to ask any questions &#8211; that would screw up their chances of post-public-servant employment.<\/p>\n<p>Heavy volume AGAIN, PerpetualDiscounts down AGAIN (this time 20bp) and FixedResets up AGAIN &#8211; this time by 11bp, taking the median average weighted YTW down to a new low of 3.31%. Good volatility.<\/p>\n<table border='1'>\n<tr>\n<td colspan='8'><strong>HIMIPref&trade; Preferred Indices<br \/>These values reflect the December 2008 revision of the HIMIPref&trade; Indices<\/strong><br \/>Values are provisional and are finalized monthly<\/td>\n<\/tr>\n<tr>\n<td>Index<\/td>\n<td>Mean<br \/>Current<br \/>Yield<br \/>(at bid)<\/td>\n<td>Median<br \/>YTW<\/td>\n<td>Median<br \/>Average<br \/>Trading<br \/>Value<\/td>\n<td>Median<br \/>Mod Dur<br \/>(YTW)<\/td>\n<td>Issues<\/td>\n<td>Day&#8217;s Perf.<\/td>\n<td>Index Value<\/td>\n<\/tr>\n<tr>\n<td>Ratchet<\/td>\n<td>2.64 %<\/td>\n<td>2.70 %<\/td>\n<td>59,650<\/td>\n<td>20.71<\/td>\n<td>1<\/td>\n<td>-1.1111 %<\/td>\n<td>2,089.9<\/td>\n<\/tr>\n<tr>\n<td>FixedFloater<\/td>\n<td>4.91 %<\/td>\n<td>3.03 %<\/td>\n<td>50,245<\/td>\n<td>20.14<\/td>\n<td>1<\/td>\n<td>0.6818 %<\/td>\n<td>3,220.2<\/td>\n<\/tr>\n<tr>\n<td>Floater<\/td>\n<td>1.92 %<\/td>\n<td>1.69 %<\/td>\n<td>47,803<\/td>\n<td>23.35<\/td>\n<td>4<\/td>\n<td>0.8467 %<\/td>\n<td>2,407.5<\/td>\n<\/tr>\n<tr>\n<td>OpRet<\/td>\n<td>4.84 %<\/td>\n<td>3.27 %<\/td>\n<td>109,942<\/td>\n<td>0.66<\/td>\n<td>12<\/td>\n<td>-0.0420 %<\/td>\n<td>2,312.1<\/td>\n<\/tr>\n<tr>\n<td>SplitShare<\/td>\n<td>6.36 %<\/td>\n<td>4.38 %<\/td>\n<td>136,088<\/td>\n<td>0.08<\/td>\n<td>2<\/td>\n<td>0.0878 %<\/td>\n<td>2,146.5<\/td>\n<\/tr>\n<tr>\n<td>Interest-Bearing<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>-0.0420 %<\/td>\n<td>2,114.2<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Premium<\/td>\n<td>5.95 %<\/td>\n<td>6.02 %<\/td>\n<td>119,349<\/td>\n<td>13.72<\/td>\n<td>7<\/td>\n<td>0.0172 %<\/td>\n<td>1,871.8<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Discount<\/td>\n<td>6.00 %<\/td>\n<td>6.02 %<\/td>\n<td>185,230<\/td>\n<td>13.85<\/td>\n<td>71<\/td>\n<td>-0.2006 %<\/td>\n<td>1,763.7<\/td>\n<\/tr>\n<tr>\n<td>FixedReset<\/td>\n<td>5.33 %<\/td>\n<td>3.31 %<\/td>\n<td>349,799<\/td>\n<td>3.67<\/td>\n<td>43<\/td>\n<td>0.1075 %<\/td>\n<td>2,214.5<\/td>\n<\/tr>\n<\/table>\n<table border='1'>\n<tr>\n<td colspan='4'><strong>Performance Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Change<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>TD.PR.R<\/td>\n<td>Perpetual-Discount<\/td>\n<td>-1.87 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-03-26<br \/>\nMaturity Price  : 23.47<br \/>\nEvaluated at bid price : 23.66<br \/>\nBid-YTW : 6.02 %<\/td>\n<\/tr>\n<tr>\n<td>CM.PR.D<\/td>\n<td>Perpetual-Discount<\/td>\n<td>-1.49 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-03-26<br \/>\nMaturity Price  : 23.48<br \/>\nEvaluated at bid price : 23.82<br \/>\nBid-YTW : 6.02 %<\/td>\n<\/tr>\n<tr>\n<td>BMO.PR.J<\/td>\n<td>Perpetual-Discount<\/td>\n<td>-1.31 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-03-26<br \/>\nMaturity Price  : 19.60<br \/>\nEvaluated at bid price : 19.60<br \/>\nBid-YTW : 5.82 %<\/td>\n<\/tr>\n<tr>\n<td>BMO.PR.H<\/td>\n<td>Perpetual-Discount<\/td>\n<td>-1.30 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-03-26<br \/>\nMaturity Price  : 22.34<br \/>\nEvaluated at bid price : 22.85<br \/>\nBid-YTW : 5.85 %<\/td>\n<\/tr>\n<tr>\n<td>TD.PR.Q<\/td>\n<td>Perpetual-Discount<\/td>\n<td>-1.28 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-03-26<br \/>\nMaturity Price  : 23.70<br \/>\nEvaluated at bid price : 23.90<br \/>\nBid-YTW : 5.95 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.E<\/td>\n<td>Ratchet<\/td>\n<td>-1.11 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-03-26<br \/>\nMaturity Price  : 21.75<br \/>\nEvaluated at bid price : 21.36<br \/>\nBid-YTW : 2.70 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.N<\/td>\n<td>Perpetual-Discount<\/td>\n<td>-1.03 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-03-26<br \/>\nMaturity Price  : 17.26<br \/>\nEvaluated at bid price : 17.26<br \/>\nBid-YTW : 6.93 %<\/td>\n<\/tr>\n<tr>\n<td>CM.PR.J<\/td>\n<td>Perpetual-Discount<\/td>\n<td>-1.01 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-03-26<br \/>\nMaturity Price  : 18.69<br \/>\nEvaluated at bid price : 18.69<br \/>\nBid-YTW : 6.02 %<\/td>\n<\/tr>\n<tr>\n<td>GWO.PR.H<\/td>\n<td>Perpetual-Discount<\/td>\n<td>1.06 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-03-26<br \/>\nMaturity Price  : 20.00<br \/>\nEvaluated at bid price : 20.00<br \/>\nBid-YTW : 6.10 %<\/td>\n<\/tr>\n<tr>\n<td>GWO.PR.I<\/td>\n<td>Perpetual-Discount<\/td>\n<td>1.56 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-03-26<br \/>\nMaturity Price  : 18.85<br \/>\nEvaluated at bid price : 18.85<br \/>\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n<tr>\n<td>PWF.PR.A<\/td>\n<td>Floater<\/td>\n<td>1.77 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-03-26<br \/>\nMaturity Price  : 22.71<br \/>\nEvaluated at bid price : 23.00<br \/>\nBid-YTW : 1.69 %<\/td>\n<\/tr>\n<\/table>\n<table border='1'>\n<tr>\n<td colspan='4'><strong>Volume Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Shares<br \/>Traded<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>TRI.PR.B<\/td>\n<td>Floater<\/td>\n<td>152,760<\/td>\n<td><a href=\"http:\/\/www.prefblog.com\/?p=10240\">Recently highlighted<\/a> as somewhat comparable to TRI&#8217;s USD bond issue. Nesbitt crossed 150,000 at 24.00.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-03-26<br \/>\nMaturity Price  : 23.71<br \/>\nEvaluated at bid price : 23.98<br \/>\nBid-YTW : 1.61 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.C<\/td>\n<td>Perpetual-Discount<\/td>\n<td>86,240<\/td>\n<td>RBC crossed 44,800 at 18.50. Nesbitt crossed 25,000 at 18.42.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-03-26<br \/>\nMaturity Price  : 18.36<br \/>\nEvaluated at bid price : 18.36<br \/>\nBid-YTW : 6.18 %<\/td>\n<\/tr>\n<tr>\n<td>BNS.PR.T<\/td>\n<td>FixedReset<\/td>\n<td>83,544<\/td>\n<td>Desjardins crossed 20,000 at 28.40; CIBC bought 32,000 from National at 28.36. RBC crossed 13,500 at 28.36.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-05-25<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 28.37<br \/>\nBid-YTW : 3.09 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.P<\/td>\n<td>FixedReset<\/td>\n<td>79,248<\/td>\n<td>National crossed 50,000 at 28.24.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-03-26<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 28.20<br \/>\nBid-YTW : 3.02 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.D<\/td>\n<td>FixedReset<\/td>\n<td>75,095<\/td>\n<td>National crossed 50,000 at 28.10.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-07-19<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 28.12<br \/>\nBid-YTW : 3.54 %<\/td>\n<\/tr>\n<tr>\n<td>BMO.PR.O<\/td>\n<td>FixedReset<\/td>\n<td>74,353<\/td>\n<td>CIBC bought 13,500 from anonymous at 28.50; then another 17,600 from National at the same price.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-06-24<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 28.45<br \/>\nBid-YTW : 3.20 %<\/td>\n<\/tr>\n<tr>\n<td colspan='4'>There were 52 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"<p>OSFI published its Report on Plans and Priorities today. I continue to be amused by their performance targets: under the programme target &#8220;Accurate risk assessments&#8221;, they set a target of 70% for &#8220;Percentage of knowledgeable &hellip;<\/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-10263","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/10263","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=10263"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/10263\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=10263"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=10263"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=10263"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}