{"id":7388,"date":"2009-07-29T19:34:41","date_gmt":"2009-07-29T23:34:41","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=7388"},"modified":"2009-07-29T19:34:41","modified_gmt":"2009-07-29T23:34:41","slug":"july-29-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=7388","title":{"rendered":"July 29, 2009"},"content":{"rendered":"

Good column by Jane Bryant Quinn on Bloomberg, Money Funds Are Ripe for \u2018Radical Surgery<\/a>.<\/p>\n

Quadravest has announced semi-annual results for most of its funds (DF, DFN, FTN, FFN …), but neither the announcements nor the semi-annual statements are yet available. I’ll post links when this situation changes.<\/p>\n

I’ve been very pleased with the response to yesterday<\/a>‘s plea for reviews of my essay on Preferred Shares and GICs. There is definitely more work to be done on the essay … more comments will be appreciated, and those who would like to review the first draft may still eMail me<\/a> to receive it.<\/p>\n

Another very good day for the Canadian preferred share market, with PerpetualDiscounts posting a gain of 0.45%, bringing their median YTW to 6.10%. This is equivalent to 8.54% interest at the standard equivalency factor of 1.4x, while long corporates<\/a> remain at about 6.4%, having returned +1.36% month-to-date and +19.15% year-to-date. The pre-tax interest-equivalent spread is thus about 215bp, tightening in about 15bp in the week since July 22<\/a>, but still above the Credit Crunch norm of about 200bp and, of course, well above the pre-Credit Crunch range of 100-150bp.<\/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>\n0.1349 %<\/td>\n1,197.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n7.25 %<\/td>\n5.42 %<\/td>\n36,209<\/td>\n16.74<\/td>\n1<\/td>\n1.2146 %<\/td>\n2,118.3<\/td>\n<\/tr>\n
Floater<\/td>\n3.18 %<\/td>\n3.78 %<\/td>\n72,718<\/td>\n17.89<\/td>\n3<\/td>\n0.1349 %<\/td>\n1,495.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.92 %<\/td>\n-0.92 %<\/td>\n141,549<\/td>\n0.09<\/td>\n15<\/td>\n0.2955 %<\/td>\n2,242.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.89 %<\/td>\n6.75 %<\/td>\n98,111<\/td>\n4.13<\/td>\n3<\/td>\n0.5096 %<\/td>\n1,969.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2955 %<\/td>\n2,050.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.4504 %<\/td>\n1,833.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.06 %<\/td>\n6.10 %<\/td>\n163,397<\/td>\n13.75<\/td>\n71<\/td>\n0.4504 %<\/td>\n1,688.4<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.50 %<\/td>\n4.10 %<\/td>\n565,938<\/td>\n4.19<\/td>\n40<\/td>\n0.0731 %<\/td>\n2,095.2<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\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
BAM.PR.P<\/td>\nFixedReset<\/td>\n-1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-10-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.75
\nBid-YTW : 5.73 %<\/td>\n<\/tr>\n
BMO.PR.L<\/td>\nPerpetual-Discount<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-07-29
\nMaturity Price : 24.68
\nEvaluated at bid price : 24.90
\nBid-YTW : 5.93 %<\/td>\n<\/tr>\n
GWO.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-07-29
\nMaturity Price : 23.72
\nEvaluated at bid price : 24.00
\nBid-YTW : 6.21 %<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nPerpetual-Discount<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-07-29
\nMaturity Price : 20.50
\nEvaluated at bid price : 20.50
\nBid-YTW : 5.94 %<\/td>\n<\/tr>\n
TD.PR.O<\/td>\nPerpetual-Discount<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-07-29
\nMaturity Price : 21.15
\nEvaluated at bid price : 21.15
\nBid-YTW : 5.77 %<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-07-29
\nMaturity Price : 18.65
\nEvaluated at bid price : 18.65
\nBid-YTW : 6.07 %<\/td>\n<\/tr>\n
RY.PR.W<\/td>\nPerpetual-Discount<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-07-29
\nMaturity Price : 21.11
\nEvaluated at bid price : 21.11
\nBid-YTW : 5.82 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-07-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 15.00
\nBid-YTW : 5.42 %<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-07-29
\nMaturity Price : 21.82
\nEvaluated at bid price : 22.15
\nBid-YTW : 6.23 %<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2018-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.08
\nBid-YTW : 6.69 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nPerpetual-Discount<\/td>\n1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-07-29
\nMaturity Price : 19.60
\nEvaluated at bid price : 19.60
\nBid-YTW : 6.27 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetual-Discount<\/td>\n2.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-07-29
\nMaturity Price : 18.58
\nEvaluated at bid price : 18.58
\nBid-YTW : 6.15 %<\/td>\n<\/tr>\n
IGM.PR.A<\/td>\nOpRet<\/td>\n2.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2009-08-28
\nMaturity Price : 26.00
\nEvaluated at bid price : 27.51
\nBid-YTW : -50.28 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n2.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-07-29
\nMaturity Price : 20.60
\nEvaluated at bid price : 20.60
\nBid-YTW : 6.13 %<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n2.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-01-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.56
\nBid-YTW : 9.30 %<\/td>\n<\/tr>\n
BMO.PR.H<\/td>\nPerpetual-Discount<\/td>\n2.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-07-29
\nMaturity Price : 22.49
\nEvaluated at bid price : 23.20
\nBid-YTW : 5.78 %<\/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
TD.PR.E<\/td>\nFixedReset<\/td>\n96,748<\/td>\nRBC crossed blocks of 30,000 and 25,000 shares at 27.62 and bought two blocks (10,000 and 12,000 shares) from National at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.63
\nBid-YTW : 3.90 %<\/td>\n<\/tr>\n
TD.PR.K<\/td>\nFixedReset<\/td>\n48,602<\/td>\nDesjardins crossed 11,300 at 27.54 and bought 11,100 from National at 27.58.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.59
\nBid-YTW : 4.03 %<\/td>\n<\/tr>\n
BMO.PR.L<\/td>\nPerpetual-Discount<\/td>\n45,530<\/td>\nScotia crossed 24,200 shares at 24.95.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-07-29
\nMaturity Price : 24.68
\nEvaluated at bid price : 24.90
\nBid-YTW : 5.93 %<\/td>\n<\/tr>\n
BMO.PR.P<\/td>\nFixedReset<\/td>\n42,385<\/td>\nScotia crossed 23,700 at 26.60.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-03-27
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.60
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n
RY.PR.G<\/td>\nPerpetual-Discount<\/td>\n39,815<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-07-29
\nMaturity Price : 19.27
\nEvaluated at bid price : 19.27
\nBid-YTW : 5.85 %<\/td>\n<\/tr>\n
RY.PR.Y<\/td>\nFixedReset<\/td>\n37,420<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.40
\nBid-YTW : 4.07 %<\/td>\n<\/tr>\n
There were 41 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Good column by Jane Bryant Quinn on Bloomberg, Money Funds Are Ripe for \u2018Radical Surgery. Quadravest has announced semi-annual results for most of its funds (DF, DFN, FTN, FFN …), but neither the announcements nor …<\/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-7388","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/7388","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=7388"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/7388\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=7388"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=7388"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=7388"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}