{"id":12153,"date":"2010-09-08T22:46:55","date_gmt":"2010-09-09T02:46:55","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=12153"},"modified":"2010-09-08T22:46:55","modified_gmt":"2010-09-09T02:46:55","slug":"september-8-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=12153","title":{"rendered":"September 8, 2010"},"content":{"rendered":"<p>Nothing happened today.<\/p>\n<p>It was a strong day on the Canadian preferred share market AGAIN, on good volume AGAIN, with MFC issues featured on the volume table AGAIN. This is getting a little dull. PerpetualDiscounts were up 28bp, while FixedResets gained 8bp, taking the median weighted average yield on the latter class down to 3.06% &#8230; creeping slowly towards the magic 3% mark.<\/p>\n<p>PerpetualDiscounts now yield 5.75%, equivalent to 8.05% interest at the standard equivalency factor of 1.4x. <a href=\"http:\/\/www.canadianbondindices.com\/ltbi.asp\">Long Corporates<\/a> now yield about 5.35%, so the pre-tax interest-equivalent spread (also called the Seniority Spread) now stands at 270bp, a significant tightening from the 280bp reported on <a href=\"http:\/\/www.prefblog.com\/?p=12041\">September 1<\/a>, as PerpetualDiscount yields and long corporate yields made small moves in opposite directions.<\/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>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>0.2078 %<\/td>\n<td>2,040.7<\/td>\n<\/tr>\n<tr>\n<td>FixedFloater<\/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>0.2078 %<\/td>\n<td>3,091.4<\/td>\n<\/tr>\n<tr>\n<td>Floater<\/td>\n<td>2.72 %<\/td>\n<td>3.23 %<\/td>\n<td>61,436<\/td>\n<td>19.07<\/td>\n<td>3<\/td>\n<td>0.2078 %<\/td>\n<td>2,203.4<\/td>\n<\/tr>\n<tr>\n<td>OpRet<\/td>\n<td>4.88 %<\/td>\n<td>0.87 %<\/td>\n<td>94,676<\/td>\n<td>0.22<\/td>\n<td>9<\/td>\n<td>0.0943 %<\/td>\n<td>2,361.4<\/td>\n<\/tr>\n<tr>\n<td>SplitShare<\/td>\n<td>5.97 %<\/td>\n<td>-35.61 %<\/td>\n<td>65,905<\/td>\n<td>0.09<\/td>\n<td>2<\/td>\n<td>0.0824 %<\/td>\n<td>2,359.3<\/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>0.0943 %<\/td>\n<td>2,159.3<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Premium<\/td>\n<td>5.74 %<\/td>\n<td>5.54 %<\/td>\n<td>131,411<\/td>\n<td>5.38<\/td>\n<td>14<\/td>\n<td>0.1156 %<\/td>\n<td>1,973.7<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Discount<\/td>\n<td>5.66 %<\/td>\n<td>5.75 %<\/td>\n<td>189,663<\/td>\n<td>14.22<\/td>\n<td>63<\/td>\n<td>0.2831 %<\/td>\n<td>1,920.4<\/td>\n<\/tr>\n<tr>\n<td>FixedReset<\/td>\n<td>5.25 %<\/td>\n<td>3.06 %<\/td>\n<td>268,246<\/td>\n<td>3.33<\/td>\n<td>47<\/td>\n<td>0.0750 %<\/td>\n<td>2,261.3<\/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>IAG.PR.C<\/td>\n<td>FixedReset<\/td>\n<td>-1.03 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-01-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 27.01<br \/>\nBid-YTW : 3.58 %<\/td>\n<\/tr>\n<tr>\n<td>GWO.PR.M<\/td>\n<td>Perpetual-Discount<\/td>\n<td>1.02 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-09-08<br \/>\nMaturity Price  : 24.54<br \/>\nEvaluated at bid price : 24.75<br \/>\nBid-YTW : 5.87 %<\/td>\n<\/tr>\n<tr>\n<td>POW.PR.C<\/td>\n<td>Perpetual-Discount<\/td>\n<td>1.22 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-09-08<br \/>\nMaturity Price  : 24.57<br \/>\nEvaluated at bid price : 24.93<br \/>\nBid-YTW : 5.90 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.M<\/td>\n<td>Perpetual-Discount<\/td>\n<td>1.47 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-09-08<br \/>\nMaturity Price  : 20.05<br \/>\nEvaluated at bid price : 20.05<br \/>\nBid-YTW : 6.05 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.H<\/td>\n<td>Perpetual-Premium<\/td>\n<td>1.76 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2017-06-23<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.50<br \/>\nBid-YTW : 5.37 %<\/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>MFC.PR.A<\/td>\n<td>OpRet<\/td>\n<td>193,380<\/td>\n<td>RBC crossed blocks of 50,000 and 46,600, both at 25.00.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Soft Maturity<br \/>\nMaturity Date\t: 2015-12-18<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 24.97<br \/>\nBid-YTW : 4.12 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.C<\/td>\n<td>Perpetual-Discount<\/td>\n<td>112,745<\/td>\n<td>RBC crossed 75,000 at 18.35.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-09-08<br \/>\nMaturity Price  : 18.33<br \/>\nEvaluated at bid price : 18.33<br \/>\nBid-YTW : 6.17 %<\/td>\n<\/tr>\n<tr>\n<td>GWL.PR.O<\/td>\n<td>Perpetual-Premium<\/td>\n<td>82,950<\/td>\n<td><a href=\"http:\/\/www.prefblog.com\/?p=12077\">Called for redemption<\/a>. TD crossed 79,000 at 25.21.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2010-11-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.23<br \/>\nBid-YTW : 3.18 %<\/td>\n<\/tr>\n<tr>\n<td>BNS.PR.Y<\/td>\n<td>FixedReset<\/td>\n<td>80,175<\/td>\n<td>RBC bought 11,000 from anonymous at 25.25 and the same number from National at the same price. It then bought another 10,000 from National at the same price again.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-09-08<br \/>\nMaturity Price  : 25.10<br \/>\nEvaluated at bid price : 25.15<br \/>\nBid-YTW : 3.27 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.D<\/td>\n<td>FixedReset<\/td>\n<td>69,611<\/td>\n<td>RBC crossed 48,900 at 26.75.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-07-19<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.73<br \/>\nBid-YTW : 4.61 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.K<\/td>\n<td>Floater<\/td>\n<td>64,000<\/td>\n<td>Nesbitt crossed 60,400 at 15.00.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-09-08<br \/>\nMaturity Price  : 15.01<br \/>\nEvaluated at bid price : 15.01<br \/>\nBid-YTW : 3.24 %<\/td>\n<\/tr>\n<tr>\n<td colspan='4'>There were 30 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"<p>Nothing happened today. It was a strong day on the Canadian preferred share market AGAIN, on good volume AGAIN, with MFC issues featured on the volume table AGAIN. This is getting a little dull. PerpetualDiscounts &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-12153","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/12153","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=12153"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/12153\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=12153"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=12153"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=12153"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}