{"id":15213,"date":"2011-05-31T22:54:55","date_gmt":"2011-06-01T02:54:55","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=15213"},"modified":"2011-05-31T22:54:55","modified_gmt":"2011-06-01T02:54:55","slug":"may-31-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=15213","title":{"rendered":"May 31, 2011"},"content":{"rendered":"

There was a yellow cat bounce today.<\/p>\n

\n\n\n\n\n\n\n\n
YLO Issues, 2011-5-31<\/td>\n<\/tr>\n
Ticker<\/td>\nQuote
5\/30<\/td>\n		Quote
5\/31<\/td>\n		Bid YTW
5\/31<\/td>\n		YTW
Scenario
5\/31<\/td>\n		Performance
5\/31
(bid\/bid)<\/td>\n<\/tr>\n
YLO.PR.A<\/td>\n22.80-90<\/td>\n23.10-23<\/td>\n10.09%<\/td>\nSoft Maturity
2012-12-30<\/td>\n		-1.46%<\/td>\n<\/tr>\n
YLO.PR.B<\/td>\n15.64-80<\/td>\n16.57-59<\/td>\n13.62%<\/td>\nSoft Maturity
2017-06-29<\/td>\n		+5.95%<\/td>\n<\/tr>\n
YLO.PR.C<\/td>\n16.57-70<\/td>\n16.89-01<\/td>\n9.88%<\/td>\nLimit Maturity<\/td>\n+1.93%<\/td>\n<\/tr>\n
YLO.PR.D<\/td>\n17.85-00<\/td>\n17.59-70<\/td>\n9.67%<\/td>\nLimit Maturity<\/td>\n-1.46%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

It was a relatively quite day on the Canadian preferred share market, with PerpetualDiscounts up 6bp, FixedResets basically flat and DeemedRetractibles gaining 4bp. Volatility was muted, with only two issues on the Performance Highlights table. FixedResets thoroughly dominated the Volume Highlights table, possibly due to the settlement today of SJR.PR.A; although it looks like HSBC (who?) got some work acting for a big client reducing preferred share exposure in a big way.<\/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-0.1631 %<\/td>\n2,458.9<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1631 %<\/td>\n3,698.1<\/td>\n<\/tr>\n
Floater<\/td>\n2.45 %<\/td>\n2.24 %<\/td>\n42,832<\/td>\n21.63<\/td>\n4<\/td>\n-0.1631 %<\/td>\n2,654.9<\/td>\n<\/tr>\n
OpRet<\/td>\n4.87 %<\/td>\n3.54 %<\/td>\n66,952<\/td>\n0.97<\/td>\n9<\/td>\n-0.0815 %<\/td>\n2,421.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.23 %<\/td>\n-0.60 %<\/td>\n61,773<\/td>\n0.54<\/td>\n6<\/td>\n0.0644 %<\/td>\n2,506.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0815 %<\/td>\n2,214.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.66 %<\/td>\n5.01 %<\/td>\n163,642<\/td>\n1.43<\/td>\n12<\/td>\n-0.0016 %<\/td>\n2,074.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.45 %<\/td>\n5.52 %<\/td>\n124,707<\/td>\n14.53<\/td>\n18<\/td>\n0.0608 %<\/td>\n2,179.0<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.15 %<\/td>\n3.23 %<\/td>\n194,864<\/td>\n2.85<\/td>\n57<\/td>\n-0.0017 %<\/td>\n2,309.9<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.08 %<\/td>\n4.91 %<\/td>\n299,630<\/td>\n8.17<\/td>\n47<\/td>\n0.0441 %<\/td>\n2,150.6<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n-1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-05-31
\nMaturity Price : 23.35
\nEvaluated at bid price : 23.61
\nBid-YTW : 5.36 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-05-31
\nMaturity Price : 21.65
\nEvaluated at bid price : 22.00
\nBid-YTW : 5.47 %<\/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>\n191,865<\/td>\nRBC bought blocks of 25,000 and 127,700 from anonymous, both at 25.60.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-05-31
\nMaturity Price : 25.47
\nEvaluated at bid price : 25.52
\nBid-YTW : 4.06 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n144,488<\/td>\nHSBC (who?) shold four blocks: three, of 49,200 shares, 25,000 and 45,900 to RBC at 25.25; and one of 10,000 to TD at the same price.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.25
\nBid-YTW : 3.78 %<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\n143,292<\/td>\nTD sold four blocks of 10,000 each to TD at 26.25; then another 30,000 to RBC at the same price. TD crossed 29,400 at the same price; RBC crossed 30,000 at the same price again.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-11-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.25
\nBid-YTW : 3.20 %<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n84,032<\/td>\nTD bought 35,000 from anonymous at 26.15; then bought blocks of 15,000 and 25,000 from HSBC at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-11-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.11
\nBid-YTW : 3.23 %<\/td>\n<\/tr>\n
RY.PR.W<\/td>\nPerpetual-Discount<\/td>\n75,670<\/td>\nRBC bought blocks of 11,700 shares, 10,300 and 12,000, all at 24.80.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-05-31
\nMaturity Price : 24.47
\nEvaluated at bid price : 24.78
\nBid-YTW : 4.96 %<\/td>\n<\/tr>\n
TD.PR.G<\/td>\nFixedReset<\/td>\n65,983<\/td>\nTD bought blocks of 39,800 and 14,100 from HSBC at 27.35.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.41
\nBid-YTW : 3.09 %<\/td>\n<\/tr>\n
There were 44 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
FTS.PR.G<\/td>\nFixedReset<\/td>\nQuote: 25.90 – 27.00
\nSpot Rate : 1.1000
\nAverage : 0.7567<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.90
\nBid-YTW : 3.55 %<\/td>\n<\/tr>\n

CIU.PR.C<\/td>\nFixedReset<\/td>\nQuote: 25.20 – 25.75
\nSpot Rate : 0.5500
\nAverage : 0.3225<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-05-31
\nMaturity Price : 25.15
\nEvaluated at bid price : 25.20
\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n

IAG.PR.C<\/td>\nFixedReset<\/td>\nQuote: 26.71 – 27.24
\nSpot Rate : 0.5300
\nAverage : 0.4162<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.71
\nBid-YTW : 3.32 %<\/td>\n<\/tr>\n

GWO.PR.J<\/td>\nFixedReset<\/td>\nQuote: 26.60 – 27.00
\nSpot Rate : 0.4000
\nAverage : 0.2878<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.60
\nBid-YTW : 3.30 %<\/td>\n<\/tr>\n

SLF.PR.F<\/td>\nFixedReset<\/td>\nQuote: 27.01 – 27.34
\nSpot Rate : 0.3300
\nAverage : 0.2355<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.01
\nBid-YTW : 3.17 %<\/td>\n<\/tr>\n

BMO.PR.H<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.43 – 25.73
\nSpot Rate : 0.3000
\nAverage : 0.2103<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-03-27
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.43
\nBid-YTW : 4.37 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

There was a yellow cat bounce today. YLO Issues, 2011-5-31 Ticker Quote5\/30 Quote5\/31 Bid YTW5\/31 YTWScenario5\/31 Performance5\/31(bid\/bid) YLO.PR.A 22.80-90 23.10-23 10.09% Soft Maturity2012-12-30 -1.46% YLO.PR.B 15.64-80 16.57-59 13.62% Soft Maturity2017-06-29 +5.95% YLO.PR.C 16.57-70 16.89-01 9.88% …<\/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-15213","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/15213","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=15213"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/15213\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=15213"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=15213"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=15213"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}