{"id":8884,"date":"2009-12-01T21:39:34","date_gmt":"2009-12-02T01:39:34","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=8884"},"modified":"2009-12-01T21:39:34","modified_gmt":"2009-12-02T01:39:34","slug":"december-1-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=8884","title":{"rendered":"December 1, 2009"},"content":{"rendered":"

The market-timing fiasco (in which trades were executed at stale prices) is heating up again<\/a>. As far as I am aware, there has been no admission of guilt by anybody; and nobody lost their license due to facilitation of the scheme; or was personally named.<\/p>\n

A strong day, with PerpetualDiscounts up 13bp and FixedResets gaining 7bp, on relatively heavy 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>\n-0.1751 %<\/td>\n1,505.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n6.04 %<\/td>\n4.15 %<\/td>\n41,363<\/td>\n18.60<\/td>\n1<\/td>\n0.2784 %<\/td>\n2,580.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.59 %<\/td>\n3.02 %<\/td>\n90,338<\/td>\n19.61<\/td>\n3<\/td>\n-0.1751 %<\/td>\n1,880.3<\/td>\n<\/tr>\n
OpRet<\/td>\n4.86 %<\/td>\n-6.32 %<\/td>\n134,847<\/td>\n0.08<\/td>\n15<\/td>\n-0.0016 %<\/td>\n2,308.9<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.34 %<\/td>\n-8.23 %<\/td>\n300,176<\/td>\n0.08<\/td>\n2<\/td>\n0.0876 %<\/td>\n2,118.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0016 %<\/td>\n2,111.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.87 %<\/td>\n5.61 %<\/td>\n62,883<\/td>\n2.38<\/td>\n7<\/td>\n-0.1190 %<\/td>\n1,878.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.81 %<\/td>\n5.89 %<\/td>\n185,347<\/td>\n14.04<\/td>\n67<\/td>\n0.1318 %<\/td>\n1,787.1<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.44 %<\/td>\n3.79 %<\/td>\n375,728<\/td>\n3.93<\/td>\n41<\/td>\n0.0695 %<\/td>\n2,149.6<\/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
GWO.PR.L<\/td>\nPerpetual-Discount<\/td>\n-1.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-01
\nMaturity Price : 23.39
\nEvaluated at bid price : 23.55
\nBid-YTW : 6.11 %<\/td>\n<\/tr>\n
CU.PR.B<\/td>\nPerpetual-Premium<\/td>\n-1.60 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-07-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.26
\nBid-YTW : 5.61 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetual-Discount<\/td>\n-1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-01
\nMaturity Price : 19.30
\nEvaluated at bid price : 19.30
\nBid-YTW : 5.84 %<\/td>\n<\/tr>\n
CM.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-01
\nMaturity Price : 22.86
\nEvaluated at bid price : 23.06
\nBid-YTW : 5.92 %<\/td>\n<\/tr>\n
CM.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-01
\nMaturity Price : 23.58
\nEvaluated at bid price : 23.87
\nBid-YTW : 5.93 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-01
\nMaturity Price : 19.18
\nEvaluated at bid price : 19.18
\nBid-YTW : 5.89 %<\/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>\n275,129<\/td>\nRBC crossed 100,000 at 26.13; Scotia bought 17,900 from TD at 26.15; TD crossed 20,000 at 26.13; RBC crossed 75,000 at 26.13; Scotia bought two blocks of 25,000 from RBC at 26.13.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2009-12-31
\nMaturity Price : 25.75
\nEvaluated at bid price : 26.11
\nBid-YTW : -7.52 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n231,602<\/td>\nNesbitt crossed blocks of 155,000 and 20,000 at 25.52.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-01
\nMaturity Price : 25.47
\nEvaluated at bid price : 25.52
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n
GWO.PR.X<\/td>\nOpRet<\/td>\n98,891<\/td>\nDesjardins crossed 40,200 at 25.98; RBC bought 10,000 from Nesbitt at 25.95; Nesbitt sold 14,000 more to Desjardins at 25.95 and 13,100 to anonymous at 25.95.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2009-12-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 25.94
\nBid-YTW : 2.83 %<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nFixedReset<\/td>\n89,810<\/td>\nRBC crossed blocks of 75,000 and 10,000 at 27.50.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.51
\nBid-YTW : 3.74 %<\/td>\n<\/tr>\n
RY.PR.P<\/td>\nFixedReset<\/td>\n81,561<\/td>\nDesjardins crossed 73,900 at 27.55.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.67
\nBid-YTW : 3.62 %<\/td>\n<\/tr>\n
CM.PR.E<\/td>\nPerpetual-Discount<\/td>\n78,909<\/td>\nScotia bought 10,000 from anonymous at 24.25.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-12-01
\nMaturity Price : 23.58
\nEvaluated at bid price : 23.87
\nBid-YTW : 5.93 %<\/td>\n<\/tr>\n
There were 46 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

The market-timing fiasco (in which trades were executed at stale prices) is heating up again. As far as I am aware, there has been no admission of guilt by anybody; and nobody lost their license …<\/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-8884","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/8884","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=8884"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/8884\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=8884"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=8884"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=8884"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}