{"id":8678,"date":"2009-11-13T20:51:09","date_gmt":"2009-11-14T00:51:09","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=8678"},"modified":"2009-11-13T20:51:09","modified_gmt":"2009-11-14T00:51:09","slug":"november-13-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=8678","title":{"rendered":"November 13, 2009"},"content":{"rendered":"

A good solid day for the Canadian preferred share market, with PerpetualDiscounts up 15bp while FixedResets gained 4bp … reasonably close to a parallel shift in yields, given the difference in their weighted-median average modified duration. Not a lot of price volatility, not a lot of volume.<\/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>\n0.5582 %<\/td>\n1,486.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n6.02 %<\/td>\n4.14 %<\/td>\n43,467<\/td>\n18.63<\/td>\n1<\/td>\n1.3476 %<\/td>\n2,585.9<\/td>\n<\/tr>\n
Floater<\/td>\n2.62 %<\/td>\n3.09 %<\/td>\n94,418<\/td>\n19.45<\/td>\n3<\/td>\n0.5582 %<\/td>\n1,856.8<\/td>\n<\/tr>\n
OpRet<\/td>\n4.81 %<\/td>\n-7.44 %<\/td>\n114,939<\/td>\n0.09<\/td>\n14<\/td>\n0.1082 %<\/td>\n2,306.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.35 %<\/td>\n6.34 %<\/td>\n352,496<\/td>\n3.89<\/td>\n2<\/td>\n-0.0219 %<\/td>\n2,084.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1082 %<\/td>\n2,108.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.92 %<\/td>\n5.67 %<\/td>\n126,864<\/td>\n1.15<\/td>\n4<\/td>\n-0.2486 %<\/td>\n1,857.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.89 %<\/td>\n5.95 %<\/td>\n182,981<\/td>\n13.97<\/td>\n70<\/td>\n0.1509 %<\/td>\n1,760.7<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.49 %<\/td>\n4.03 %<\/td>\n399,738<\/td>\n3.95<\/td>\n41<\/td>\n0.0418 %<\/td>\n2,128.2<\/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
BMO.PR.J<\/td>\nPerpetual-Discount<\/td>\n-1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-11-13
\nMaturity Price : 19.78
\nEvaluated at bid price : 19.78
\nBid-YTW : 5.71 %<\/td>\n<\/tr>\n
BNS.PR.N<\/td>\nPerpetual-Discount<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-11-13
\nMaturity Price : 22.90
\nEvaluated at bid price : 23.05
\nBid-YTW : 5.74 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-11-13
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.05
\nBid-YTW : 4.14 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n1.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-11-13
\nMaturity Price : 12.82
\nEvaluated at bid price : 12.82
\nBid-YTW : 3.09 %<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.98 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-11-13
\nMaturity Price : 21.35
\nEvaluated at bid price : 21.62
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nPerpetual-Discount<\/td>\n2.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-11-13
\nMaturity Price : 22.40
\nEvaluated at bid price : 22.56
\nBid-YTW : 5.73 %<\/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
RY.PR.P<\/td>\nFixedReset<\/td>\n99,550<\/td>\nRBC bought three blocks of 10,000 shares each from HSBC, all at 27.25, then crossed 25,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.21
\nBid-YTW : 4.03 %<\/td>\n<\/tr>\n
SLF.PR.F<\/td>\nFixedReset<\/td>\n54,220<\/td>\nNesbitt crossed 20,000 at 27.30; RBC crossed 25,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.30
\nBid-YTW : 4.06 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nPerpetual-Discount<\/td>\n44,215<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-11-13
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 6.09 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetual-Discount<\/td>\n43,180<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-11-13
\nMaturity Price : 19.78
\nEvaluated at bid price : 19.78
\nBid-YTW : 5.71 %<\/td>\n<\/tr>\n
BNS.PR.P<\/td>\nFixedReset<\/td>\n36,695<\/td>\nRBC crossed 25,000 at 26.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.91
\nBid-YTW : 3.95 %<\/td>\n<\/tr>\n
TRI.PR.B<\/td>\nFloater<\/td>\n32,600<\/td>\nRBC crossed 31,000 at 19.74.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-11-13
\nMaturity Price : 19.60
\nEvaluated at bid price : 19.60
\nBid-YTW : 2.02 %<\/td>\n<\/tr>\n
There were 31 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

A good solid day for the Canadian preferred share market, with PerpetualDiscounts up 15bp while FixedResets gained 4bp … reasonably close to a parallel shift in yields, given the difference in their weighted-median average modified …<\/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-8678","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/8678","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=8678"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/8678\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=8678"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=8678"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=8678"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}