{"id":7900,"date":"2009-09-16T23:05:11","date_gmt":"2009-09-17T03:05:11","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=7900"},"modified":"2009-09-16T23:05:11","modified_gmt":"2009-09-17T03:05:11","slug":"september-16-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=7900","title":{"rendered":"September 16, 2009"},"content":{"rendered":"

Not much price action today, as PerpetualDiscounts resumed their downward drift, losing 8bp, while FixedResets gained about 2bp. Volume was strong.<\/p>\n

PerpetualDiscounts now yield 5.78%, equivalent to 8.09% interest at the standard equivalency factor of 1.4x. Long Corporates<\/a> yield a hair under 6.0%, so the pre-tax interest equivalent spread is about 210bp, a slight (and possibly simply tecnical) widening from the 205bp reported September 9<\/a> and at the upper end of the range it has reported through September – and in the pre-Lehman Credit Crunch.<\/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>\n0.4503 %<\/td>\n1,453.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n5.80 %<\/td>\n4.05 %<\/td>\n56,280<\/td>\n18.53<\/td>\n1<\/td>\n-1.2112 %<\/td>\n2,649.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.52 %<\/td>\n2.12 %<\/td>\n30,888<\/td>\n22.14<\/td>\n4<\/td>\n0.4503 %<\/td>\n1,816.2<\/td>\n<\/tr>\n
OpRet<\/td>\n4.86 %<\/td>\n-12.42 %<\/td>\n138,192<\/td>\n0.09<\/td>\n15<\/td>\n0.1227 %<\/td>\n2,287.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.43 %<\/td>\n6.62 %<\/td>\n954,242<\/td>\n4.04<\/td>\n2<\/td>\n-0.1771 %<\/td>\n2,055.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1227 %<\/td>\n2,091.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.77 %<\/td>\n5.67 %<\/td>\n148,118<\/td>\n2.84<\/td>\n12<\/td>\n0.0429 %<\/td>\n1,879.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.72 %<\/td>\n5.78 %<\/td>\n194,520<\/td>\n14.19<\/td>\n59<\/td>\n-0.0827 %<\/td>\n1,795.9<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.48 %<\/td>\n4.01 %<\/td>\n460,336<\/td>\n4.08<\/td>\n40<\/td>\n0.0184 %<\/td>\n2,112.1<\/td>\n<\/tr>\n<\/table>\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
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-16
\nMaturity Price : 20.16
\nEvaluated at bid price : 20.16
\nBid-YTW : 5.76 %<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetual-Discount<\/td>\n-1.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-16
\nMaturity Price : 21.55
\nEvaluated at bid price : 21.90
\nBid-YTW : 5.71 %<\/td>\n<\/tr>\n
RY.PR.W<\/td>\nPerpetual-Discount<\/td>\n-1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-16
\nMaturity Price : 22.36
\nEvaluated at bid price : 22.52
\nBid-YTW : 5.49 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetual-Discount<\/td>\n-1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-16
\nMaturity Price : 19.95
\nEvaluated at bid price : 19.95
\nBid-YTW : 5.87 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n-1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-16
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.76
\nBid-YTW : 4.05 %<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-16
\nMaturity Price : 18.05
\nEvaluated at bid price : 18.05
\nBid-YTW : 6.61 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n1.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-16
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 2.08 %<\/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
PWF.PR.J<\/td>\nOpRet<\/td>\n113,898<\/td>\nRBC crossed 50,000 at 26.30 and Desjardins crossed 10,000 at the same price, followed by RBC again with 50,000 again at 26.30 again.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2009-10-16
\nMaturity Price : 25.75
\nEvaluated at bid price : 26.26
\nBid-YTW : -11.86 %<\/td>\n<\/tr>\n
MFC.PR.E<\/td>\nFixedReset<\/td>\n78,339<\/td>\n“Anonymous” “crossed” (might not have been a cross!) 50,000 at 26.59.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-10-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.57
\nBid-YTW : 4.24 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n73,746<\/td>\nNesbitt bought 20,000 from TD at 12.50.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-16
\nMaturity Price : 12.46
\nEvaluated at bid price : 12.46
\nBid-YTW : 3.15 %<\/td>\n<\/tr>\n
BMO.PR.K<\/td>\nPerpetual-Discount<\/td>\n60,450<\/td>\nNesbitt crossed 25,000 at 23.50, then 15,300 at 23.45.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-16
\nMaturity Price : 23.26
\nEvaluated at bid price : 23.44
\nBid-YTW : 5.65 %<\/td>\n<\/tr>\n
SLF.PR.F<\/td>\nFixedReset<\/td>\n58,200<\/td>\n“Anonymous” “crossed” 50,000 at 27.21.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.18
\nBid-YTW : 4.00 %<\/td>\n<\/tr>\n
MFC.PR.D<\/td>\nFixedReset<\/td>\n49,712<\/td>\n“Anonymous” “crossed” 40,000 at 27.80.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.75
\nBid-YTW : 4.11 %<\/td>\n<\/tr>\n
There were 52 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Not much price action today, as PerpetualDiscounts resumed their downward drift, losing 8bp, while FixedResets gained about 2bp. Volume was strong. PerpetualDiscounts now yield 5.78%, equivalent to 8.09% interest at the standard equivalency factor of …<\/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-7900","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/7900","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=7900"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/7900\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=7900"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=7900"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=7900"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}