{"id":14205,"date":"2011-02-24T22:08:16","date_gmt":"2011-02-25T02:08:16","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=14205"},"modified":"2011-02-24T22:08:16","modified_gmt":"2011-02-25T02:08:16","slug":"february-24-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=14205","title":{"rendered":"February 24, 2011"},"content":{"rendered":"

No commentary today! Sorry!<\/p>\n

It was quite the day for FixedResets on the Canadian preferred share market, as the issuer bid for NA.PR.N, NA.PR.O and NA.PR.P<\/a> seems to have ignited some speculative buying. PerpetualDiscounts gained 1bp, FixedResets leaped upwards by 62bp and DeemedRetractibles were basically flat. Volume was heavy.<\/p>\n\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>\n-0.1669 %<\/td>\n2,388.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.74 %<\/td>\n3.46 %<\/td>\n15,937<\/td>\n19.09<\/td>\n1<\/td>\n0.1746 %<\/td>\n3,592.3<\/td>\n<\/tr>\n
Floater<\/td>\n2.51 %<\/td>\n2.27 %<\/td>\n50,015<\/td>\n21.56<\/td>\n4<\/td>\n-0.1669 %<\/td>\n2,578.6<\/td>\n<\/tr>\n
OpRet<\/td>\n4.83 %<\/td>\n4.01 %<\/td>\n88,535<\/td>\n2.19<\/td>\n8<\/td>\n-0.0725 %<\/td>\n2,385.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.32 %<\/td>\n0.19 %<\/td>\n245,110<\/td>\n0.79<\/td>\n4<\/td>\n0.2516 %<\/td>\n2,480.4<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0725 %<\/td>\n2,181.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.75 %<\/td>\n5.52 %<\/td>\n122,476<\/td>\n1.20<\/td>\n9<\/td>\n-0.0155 %<\/td>\n2,031.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.55 %<\/td>\n5.62 %<\/td>\n127,891<\/td>\n14.39<\/td>\n15<\/td>\n0.0142 %<\/td>\n2,109.1<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.23 %<\/td>\n3.69 %<\/td>\n193,453<\/td>\n3.01<\/td>\n54<\/td>\n0.6206 %<\/td>\n2,269.5<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.22 %<\/td>\n5.26 %<\/td>\n387,043<\/td>\n8.25<\/td>\n53<\/td>\n0.0040 %<\/td>\n2,079.7<\/td>\n<\/tr>\n<\/table>\n\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
TD.PR.E<\/td>\nFixedReset<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.26
\nBid-YTW : 3.52 %<\/td>\n<\/tr>\n
TD.PR.K<\/td>\nFixedReset<\/td>\n1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.27
\nBid-YTW : 3.64 %<\/td>\n<\/tr>\n
IAG.PR.F<\/td>\nDeemed-Retractible<\/td>\n1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.57
\nBid-YTW : 5.50 %<\/td>\n<\/tr>\n
RY.PR.L<\/td>\nFixedReset<\/td>\n1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.70
\nBid-YTW : 3.26 %<\/td>\n<\/tr>\n
BNS.PR.X<\/td>\nFixedReset<\/td>\n1.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.26
\nBid-YTW : 3.53 %<\/td>\n<\/tr>\n
BNS.PR.T<\/td>\nFixedReset<\/td>\n1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.26
\nBid-YTW : 3.50 %<\/td>\n<\/tr>\n
IAG.PR.E<\/td>\nDeemed-Retractible<\/td>\n1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.62
\nBid-YTW : 5.56 %<\/td>\n<\/tr>\n
NA.PR.P<\/td>\nFixedReset<\/td>\n3.33 %<\/td>\nIssuer Bid<\/a>
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 28.27
\nBid-YTW : 2.29 %<\/td>\n<\/tr>\n
NA.PR.O<\/td>\nFixedReset<\/td>\n3.36 %<\/td>\nIssuer Bid<\/a>
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 28.27
\nBid-YTW : 2.28 %<\/td>\n<\/tr>\n
NA.PR.N<\/td>\nFixedReset<\/td>\n4.09 %<\/td>\nIssuer Bid<\/a>
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-09-14
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.96
\nBid-YTW : 2.21 %<\/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
NA.PR.P<\/td>\nFixedReset<\/td>\n156,400<\/td>\nIssuer Bid<\/a>. National bought 13,200 from CIBC at 28.27; anonymous bought 13,900 from TD at 28.22; anonymous crossed (?) 25,000 at 28.25; National crossed 25,000 at 28.25.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 28.27
\nBid-YTW : 2.29 %<\/td>\n<\/tr>\n
NA.PR.O<\/td>\nFixedReset<\/td>\n152,991<\/td>\nIssuer Bid<\/a>. Anonymous bought 19,500 from Nesbitt at 28.24; National crossed blocks of 52,300 and 25,000, both at 28.25.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 28.27
\nBid-YTW : 2.28 %<\/td>\n<\/tr>\n
NA.PR.N<\/td>\nFixedReset<\/td>\n95,520<\/td>\nIssuer Bid<\/a>. Anonymous bought 10,000 from RBC at 26.95; National crossed 27,900 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-09-14
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.96
\nBid-YTW : 2.21 %<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n74,243<\/td>\nDesjardins crossed 44,100 at 26.10; RBC crossed 11,800 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.08
\nBid-YTW : 3.58 %<\/td>\n<\/tr>\n
BMO.PR.O<\/td>\nFixedReset<\/td>\n57,706<\/td>\nTD bought 17,900 from Raymond James at 27.25, then crossed 25,000 at 27.40.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.43
\nBid-YTW : 3.47 %<\/td>\n<\/tr>\n
MFC.PR.D<\/td>\nFixedReset<\/td>\n55,724<\/td>\nDesjardins bought 10,100 from anonymous at 27.10; TD bought 15,000 from anonymous at the same price; and anonymous crossed (?) 14,200 at the same price again.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.12
\nBid-YTW : 3.85 %<\/td>\n<\/tr>\n
There were 57 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
CM.PR.K<\/td>\nFixedReset<\/td>\nQuote: 26.56 – 26.99
\nSpot Rate : 0.4300
\nAverage : 0.2758<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.56
\nBid-YTW : 3.59 %<\/td>\n<\/tr>\n

BAM.PR.H<\/td>\nOpRet<\/td>\nQuote: 25.50 – 25.93
\nSpot Rate : 0.4300
\nAverage : 0.3086<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-03-26
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.50
\nBid-YTW : 4.07 %<\/td>\n<\/tr>\n

PWF.PR.A<\/td>\nFloater<\/td>\nQuote: 23.20 – 23.59
\nSpot Rate : 0.3900
\nAverage : 0.2922<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-02-24
\nMaturity Price : 22.93
\nEvaluated at bid price : 23.20
\nBid-YTW : 2.24 %<\/td>\n<\/tr>\n

RY.PR.N<\/td>\nFixedReset<\/td>\nQuote: 26.90 – 27.15
\nSpot Rate : 0.2500
\nAverage : 0.1609<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.90
\nBid-YTW : 3.64 %<\/td>\n<\/tr>\n

PWF.PR.M<\/td>\nFixedReset<\/td>\nQuote: 26.66 – 27.00
\nSpot Rate : 0.3400
\nAverage : 0.2543<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-02
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.66
\nBid-YTW : 3.80 %<\/td>\n<\/tr>\n

PWF.PR.O<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.02 – 25.25
\nSpot Rate : 0.2300
\nAverage : 0.1678<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-02-24
\nMaturity Price : 24.80
\nEvaluated at bid price : 25.02
\nBid-YTW : 5.85 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

No commentary today! Sorry! It was quite the day for FixedResets on the Canadian preferred share market, as the issuer bid for NA.PR.N, NA.PR.O and NA.PR.P seems to have ignited some speculative buying. PerpetualDiscounts gained …<\/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-14205","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14205","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=14205"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14205\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=14205"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=14205"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=14205"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}