{"id":14510,"date":"2011-03-21T22:27:45","date_gmt":"2011-03-22T02:27:45","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=14510"},"modified":"2011-03-21T22:27:45","modified_gmt":"2011-03-22T02:27:45","slug":"march-21-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=14510","title":{"rendered":"March 21, 2011"},"content":{"rendered":"

No commentary today – sorry!<\/p>\n

It was a strong day on the Canadian preferred share market, with PerpetualDiscounts gaining 16bp, FixedResets up 10bp and DeemedRetractibles winning 20bp. Volume was light – most investors (other than myself, of course) being too busy dancing naked in lascivious spring rites. Why don’t I ever get invited?<\/p>\n

To my astonishment, not only did BMO.PR.J not crash heavily to earth after Friday’s fireworks<\/a>, but it again topped the list of Performance Highlights! It now looks even more expensive and there is the possibility that there is more behind the story than a simple fat-finger or algo-gone-wild. A short squeeze, maybe? Unlikely, I know, but what else is there? A point against the short-squeeze story is that today’s buying – of 13,941 shares – was broadly based, with RBC taking the largest share with 4,005 shares. Friday’s buyer, Desjardins, bought 2,618 shares. It’s all very peculiar, but living in PreferredShareLand is a little like being the White Queen in Through the Looking Glass<\/a> – one sometimes see six preposterous things before breakfast.<\/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>\n0.0845 %<\/td>\n2,374.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0845 %<\/td>\n3,570.8<\/td>\n<\/tr>\n
Floater<\/td>\n2.53 %<\/td>\n2.35 %<\/td>\n47,509<\/td>\n21.38<\/td>\n4<\/td>\n0.0845 %<\/td>\n2,563.5<\/td>\n<\/tr>\n
OpRet<\/td>\n4.90 %<\/td>\n3.70 %<\/td>\n52,876<\/td>\n1.15<\/td>\n9<\/td>\n0.1599 %<\/td>\n2,394.8<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.11 %<\/td>\n3.25 %<\/td>\n155,387<\/td>\n1.00<\/td>\n5<\/td>\n-0.0038 %<\/td>\n2,474.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1599 %<\/td>\n2,189.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.74 %<\/td>\n5.60 %<\/td>\n137,236<\/td>\n6.21<\/td>\n10<\/td>\n0.0675 %<\/td>\n2,033.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.51 %<\/td>\n5.55 %<\/td>\n121,638<\/td>\n14.37<\/td>\n14<\/td>\n0.1581 %<\/td>\n2,120.4<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.17 %<\/td>\n3.54 %<\/td>\n245,446<\/td>\n2.95<\/td>\n57<\/td>\n0.1017 %<\/td>\n2,277.5<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.23 %<\/td>\n5.21 %<\/td>\n344,987<\/td>\n8.28<\/td>\n53<\/td>\n0.1962 %<\/td>\n2,082.3<\/td>\n<\/tr>\n<\/table>\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.R<\/td>\nFixedReset<\/td>\n-1.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-03-21
\nMaturity Price : 25.10
\nEvaluated at bid price : 25.15
\nBid-YTW : 4.95 %<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.10
\nBid-YTW : 6.09 %<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nDeemed-Retractible<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.75
\nBid-YTW : 5.03 %<\/td>\n<\/tr>\n
RY.PR.A<\/td>\nDeemed-Retractible<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.62
\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2018-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.21
\nBid-YTW : 4.59 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nDeemed-Retractible<\/td>\n1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.55
\nBid-YTW : 4.78 %<\/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
HSE.PR.A<\/td>\nFixedReset<\/td>\n104,718<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-03-21
\nMaturity Price : 24.80
\nEvaluated at bid price : 24.85
\nBid-YTW : 4.32 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n80,264<\/td>\nNesbitt crossed 75,000 at 26.20.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.11
\nBid-YTW : 3.53 %<\/td>\n<\/tr>\n
BMO.PR.Q<\/td>\nFixedReset<\/td>\n63,150<\/td>\nScotia bought 10,000 from anonymous at 24.73; Nesbitt crossed 12,100 at 24.77.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.76
\nBid-YTW : 3.91 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n59,416<\/td>\nDesjardins crossed 45,000 at 25.00.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-03-21
\nMaturity Price : 24.89
\nEvaluated at bid price : 24.94
\nBid-YTW : 3.83 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n56,128<\/td>\nDesjardins crossed 45,000 at 25.49.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-03-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.45
\nBid-YTW : 4.09 %<\/td>\n<\/tr>\n
NA.PR.O<\/td>\nFixedReset<\/td>\n41,359<\/td>\nIssuer bid<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 28.30
\nBid-YTW : 2.28 %<\/td>\n<\/tr>\n
There were 26 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
BAM.PR.R<\/td>\nFixedReset<\/td>\nQuote: 25.15 – 26.11
\nSpot Rate : 0.9600
\nAverage : 0.5791<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-03-21
\nMaturity Price : 25.10
\nEvaluated at bid price : 25.15
\nBid-YTW : 4.95 %<\/td>\n<\/tr>\n

TRI.PR.B<\/td>\nFloater<\/td>\nQuote: 22.90 – 23.75
\nSpot Rate : 0.8500
\nAverage : 0.7032<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-03-21
\nMaturity Price : 22.66
\nEvaluated at bid price : 22.90
\nBid-YTW : 2.26 %<\/td>\n<\/tr>\n

GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\nQuote: 23.20 – 23.48
\nSpot Rate : 0.2800
\nAverage : 0.1973<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.20
\nBid-YTW : 5.77 %<\/td>\n<\/tr>\n

PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.75 – 24.12
\nSpot Rate : 0.3700
\nAverage : 0.2982<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-03-21
\nMaturity Price : 23.52
\nEvaluated at bid price : 23.75
\nBid-YTW : 5.44 %<\/td>\n<\/tr>\n

BNS.PR.Z<\/td>\nFixedReset<\/td>\nQuote: 24.27 – 24.90
\nSpot Rate : 0.6300
\nAverage : 0.5684<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.27
\nBid-YTW : 4.17 %<\/td>\n<\/tr>\n

HSB.PR.D<\/td>\nDeemed-Retractible<\/td>\nQuote: 23.91 – 24.17
\nSpot Rate : 0.2600
\nAverage : 0.2002<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.91
\nBid-YTW : 5.55 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

No commentary today – sorry! It was a strong day on the Canadian preferred share market, with PerpetualDiscounts gaining 16bp, FixedResets up 10bp and DeemedRetractibles winning 20bp. Volume was light – most investors (other than …<\/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-14510","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14510","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=14510"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14510\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=14510"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=14510"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=14510"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}