{"id":13315,"date":"2010-12-10T00:48:14","date_gmt":"2010-12-10T04:48:14","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=13315"},"modified":"2010-12-10T00:48:14","modified_gmt":"2010-12-10T04:48:14","slug":"december-9-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=13315","title":{"rendered":"December 9, 2010"},"content":{"rendered":"

No commentary at all today … it’s PrefLetter week! I have been grateful for the response to my request for spreadsheet testers<\/a>, but the more the merrier! I need comments prior to about 11:59pm Sunday, but the need is there until then.<\/p>\n

Volume on the Canadian preferred share market eased off to merely above average levels, but prices took a beating, with PerpetualDiscounts down 25bp and FixedResets losing 20bp.<\/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>\n0.2876 %<\/td>\n2,274.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.73 %<\/td>\n3.21 %<\/td>\n28,829<\/td>\n19.02<\/td>\n1<\/td>\n0.0000 %<\/td>\n3,557.5<\/td>\n<\/tr>\n
Floater<\/td>\n2.62 %<\/td>\n2.40 %<\/td>\n54,547<\/td>\n21.24<\/td>\n4<\/td>\n0.2876 %<\/td>\n2,455.3<\/td>\n<\/tr>\n
OpRet<\/td>\n4.81 %<\/td>\n3.47 %<\/td>\n71,718<\/td>\n2.37<\/td>\n8<\/td>\n-0.0529 %<\/td>\n2,371.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.46 %<\/td>\n0.72 %<\/td>\n120,921<\/td>\n1.00<\/td>\n3<\/td>\n0.3017 %<\/td>\n2,463.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0529 %<\/td>\n2,168.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.70 %<\/td>\n5.53 %<\/td>\n152,546<\/td>\n5.43<\/td>\n27<\/td>\n-0.0329 %<\/td>\n2,010.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.38 %<\/td>\n5.40 %<\/td>\n280,094<\/td>\n14.77<\/td>\n51<\/td>\n-0.2475 %<\/td>\n2,022.4<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.25 %<\/td>\n3.54 %<\/td>\n367,935<\/td>\n3.12<\/td>\n52<\/td>\n-0.2025 %<\/td>\n2,252.3<\/td>\n<\/tr>\n<\/table>\n\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
BAM.PR.J<\/td>\nOpRet<\/td>\n-1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2018-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.61
\nBid-YTW : 4.55 %<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-12-09
\nMaturity Price : 21.26
\nEvaluated at bid price : 21.26
\nBid-YTW : 5.60 %<\/td>\n<\/tr>\n
CM.PR.K<\/td>\nFixedReset<\/td>\n-1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.50
\nBid-YTW : 3.74 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n-1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-12-09
\nMaturity Price : 25.13
\nEvaluated at bid price : 25.18
\nBid-YTW : 4.00 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nPerpetual-Discount<\/td>\n-1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-12-09
\nMaturity Price : 22.60
\nEvaluated at bid price : 22.79
\nBid-YTW : 5.32 %<\/td>\n<\/tr>\n
IAG.PR.C<\/td>\nFixedReset<\/td>\n-1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.45
\nBid-YTW : 4.08 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-12-09
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 2.94 %<\/td>\n<\/tr>\n
CM.PR.M<\/td>\nFixedReset<\/td>\n2.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.89
\nBid-YTW : 3.40 %<\/td>\n<\/tr>\n
BAM.PR.I<\/td>\nOpRet<\/td>\n2.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-01-08
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.85
\nBid-YTW : 1.13 %<\/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
MFC.PR.B<\/td>\nPerpetual-Discount<\/td>\n98,407<\/td>\nNesbitt crossed three blocks, each of 25,000 at 20.75.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-12-09
\nMaturity Price : 20.65
\nEvaluated at bid price : 20.65
\nBid-YTW : 5.66 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n90,961<\/td>\nNesbitt crossed 80,000 at 25.35.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-12-09
\nMaturity Price : 25.30
\nEvaluated at bid price : 25.35
\nBid-YTW : 3.83 %<\/td>\n<\/tr>\n
NA.PR.N<\/td>\nFixedReset<\/td>\n80,990<\/td>\nDesjadins crossed blocks of 50,000 and 27,900, both at 26.40.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-09-14
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.36
\nBid-YTW : 3.37 %<\/td>\n<\/tr>\n
BNS.PR.P<\/td>\nFixedReset<\/td>\n57,143<\/td>\nNesbitt crossed 38,500 at 26.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.88
\nBid-YTW : 3.70 %<\/td>\n<\/tr>\n
BNS.PR.K<\/td>\nPerpetual-Discount<\/td>\n55,840<\/td>\nNesbitt bought 10,000 from RBC at 23,50, then crossed 25,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-12-09
\nMaturity Price : 23.15
\nEvaluated at bid price : 23.39
\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n55,573<\/td>\nNesbitt crossed 50,000 at 23.15.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-12-09
\nMaturity Price : 22.80
\nEvaluated at bid price : 23.00
\nBid-YTW : 5.44 %<\/td>\n<\/tr>\n
There were 40 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

No commentary at all today … it’s PrefLetter week! I have been grateful for the response to my request for spreadsheet testers, but the more the merrier! I need comments prior to about 11:59pm Sunday, …<\/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-13315","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/13315","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=13315"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/13315\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=13315"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=13315"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=13315"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}