{"id":9480,"date":"2010-01-20T20:37:11","date_gmt":"2010-01-21T00:37:11","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=9480"},"modified":"2010-01-20T20:37:11","modified_gmt":"2010-01-21T00:37:11","slug":"january-20-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=9480","title":{"rendered":"January 20, 2010"},"content":{"rendered":"<p>There was another big whack of retail-sized trades today in POW.PR.C, with Nesbitt buying 20,900 shares on the TMX (against total volume of 34,297) at an average price of 25.555. <a href=\"http:\/\/www.prefblog.com\/?p=9461\">If CPD is behind the buying<\/a>, this will almost certainly hurt performance.<\/p>\n<p>Another day of good volume with the FixedResets scoring yet another shut-out on the volume table as &#8211; presumably &#8211; some players rejigged their portfolios with the closing of the <a href=\"http:\/\/www.prefblog.com\/?p=9471\">AER.PR.A<\/a> and <a href=\"http:\/\/www.prefblog.com\/?p=9473\">BPO.PR.N<\/a> issues.<\/p>\n<p>PerpetualDiscounts lost 15bp on the day, while FixedResets lost 10bp.<\/p>\n<p>PerpetualDiscounts now yield 5.75%, equivalent to 8.05% interest at the standard equivalency factor of 1.4x. <a href=\"http:\/\/www.canadianbondindices.com\/ltbi.asp\">Long Corporates<\/a> now yield about 5.9% (maybe a hair more), so the pre-tax interest equivalent spread (also called the Seniority Spread) is now about 215bp, a widening from the 205bp reported <a href=\"http:\/\/www.prefblog.com\/?p=9391\">January 13<\/a>.<\/p>\n<table border='1'>\n<tr>\n<td colspan='8'><strong>HIMIPref&trade; Preferred Indices<br \/>These values reflect the December 2008 revision of the HIMIPref&trade; Indices<\/strong><br \/>Values are provisional and are finalized monthly<\/td>\n<\/tr>\n<tr>\n<td>Index<\/td>\n<td>Mean<br \/>Current<br \/>Yield<br \/>(at bid)<\/td>\n<td>Median<br \/>YTW<\/td>\n<td>Median<br \/>Average<br \/>Trading<br \/>Value<\/td>\n<td>Median<br \/>Mod Dur<br \/>(YTW)<\/td>\n<td>Issues<\/td>\n<td>Day&#8217;s Perf.<\/td>\n<td>Index Value<\/td>\n<\/tr>\n<tr>\n<td>Ratchet<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>0.3507 %<\/td>\n<td>1,710.4<\/td>\n<\/tr>\n<tr>\n<td>FixedFloater<\/td>\n<td>5.78 %<\/td>\n<td>3.86 %<\/td>\n<td>34,732<\/td>\n<td>19.20<\/td>\n<td>1<\/td>\n<td>0.0000 %<\/td>\n<td>2,733.2<\/td>\n<\/tr>\n<tr>\n<td>Floater<\/td>\n<td>2.29 %<\/td>\n<td>2.62 %<\/td>\n<td>110,263<\/td>\n<td>20.73<\/td>\n<td>3<\/td>\n<td>0.3507 %<\/td>\n<td>2,136.8<\/td>\n<\/tr>\n<tr>\n<td>OpRet<\/td>\n<td>4.86 %<\/td>\n<td>-2.88 %<\/td>\n<td>113,845<\/td>\n<td>0.09<\/td>\n<td>13<\/td>\n<td>0.2225 %<\/td>\n<td>2,312.7<\/td>\n<\/tr>\n<tr>\n<td>SplitShare<\/td>\n<td>6.35 %<\/td>\n<td>-1.51 %<\/td>\n<td>177,622<\/td>\n<td>0.08<\/td>\n<td>2<\/td>\n<td>0.1973 %<\/td>\n<td>2,117.1<\/td>\n<\/tr>\n<tr>\n<td>Interest-Bearing<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>0.2225 %<\/td>\n<td>2,114.7<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Premium<\/td>\n<td>5.81 %<\/td>\n<td>5.75 %<\/td>\n<td>150,364<\/td>\n<td>6.01<\/td>\n<td>12<\/td>\n<td>-0.1953 %<\/td>\n<td>1,888.0<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Discount<\/td>\n<td>5.74 %<\/td>\n<td>5.75 %<\/td>\n<td>178,241<\/td>\n<td>14.23<\/td>\n<td>63<\/td>\n<td>-0.1495 %<\/td>\n<td>1,830.6<\/td>\n<\/tr>\n<tr>\n<td>FixedReset<\/td>\n<td>5.40 %<\/td>\n<td>3.58 %<\/td>\n<td>349,787<\/td>\n<td>3.84<\/td>\n<td>42<\/td>\n<td>-0.0956 %<\/td>\n<td>2,180.6<\/td>\n<\/tr>\n<\/table>\n<table border='1'>\n<tr>\n<td colspan='4'><strong>Performance Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Change<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>IAG.PR.C<\/td>\n<td>FixedReset<\/td>\n<td>-1.87 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-01-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.80<br \/>\nBid-YTW : 4.33 %<\/td>\n<\/tr>\n<tr>\n<td>IAG.PR.E<\/td>\n<td>Perpetual-Premium<\/td>\n<td>-1.44 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2019-01-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.25<br \/>\nBid-YTW : 5.95 %<\/td>\n<\/tr>\n<tr>\n<td>TRP.PR.A<\/td>\n<td>FixedReset<\/td>\n<td>-1.43 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2015-01-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.25<br \/>\nBid-YTW : 3.57 %<\/td>\n<\/tr>\n<tr>\n<td>HSB.PR.C<\/td>\n<td>Perpetual-Discount<\/td>\n<td>-1.19 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-01-20<br \/>\nMaturity Price  : 22.28<br \/>\nEvaluated at bid price : 22.43<br \/>\nBid-YTW : 5.74 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.C<\/td>\n<td>Perpetual-Discount<\/td>\n<td>-1.14 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-01-20<br \/>\nMaturity Price  : 20.02<br \/>\nEvaluated at bid price : 20.02<br \/>\nBid-YTW : 5.69 %<\/td>\n<\/tr>\n<tr>\n<td>W.PR.H<\/td>\n<td>Perpetual-Discount<\/td>\n<td>-1.10 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-01-20<br \/>\nMaturity Price  : 22.11<br \/>\nEvaluated at bid price : 22.51<br \/>\nBid-YTW : 6.14 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.O<\/td>\n<td>OpRet<\/td>\n<td>1.47 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Option Certainty<br \/>\nMaturity Date\t: 2013-06-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.50<br \/>\nBid-YTW : 4.48 %<\/td>\n<\/tr>\n<tr>\n<td>TD.PR.P<\/td>\n<td>Perpetual-Discount<\/td>\n<td>1.56 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-01-20<br \/>\nMaturity Price  : 23.81<br \/>\nEvaluated at bid price : 24.02<br \/>\nBid-YTW : 5.48 %<\/td>\n<\/tr>\n<\/table>\n<table border='1'>\n<tr>\n<td colspan='4'><strong>Volume Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Shares<br \/>Traded<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.P<\/td>\n<td>FixedReset<\/td>\n<td>205,052<\/td>\n<td>Desjardins crossed two blocks of 100,000, at 28.10 and 28.08.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-03-26<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 28.02<br \/>\nBid-YTW : 3.42 %<\/td>\n<\/tr>\n<tr>\n<td>TRP.PR.A<\/td>\n<td>FixedReset<\/td>\n<td>131,634<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2015-01-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.25<br \/>\nBid-YTW : 3.57 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.R<\/td>\n<td>FixedReset<\/td>\n<td>101,315<\/td>\n<td><a href=\"http:\/\/www.prefblog.com\/?p=9414\">Recent new issue<\/a>.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-01-20<br \/>\nMaturity Price  : 23.23<br \/>\nEvaluated at bid price : 25.45<br \/>\nBid-YTW : 4.79 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.D<\/td>\n<td>FixedReset<\/td>\n<td>95,248<\/td>\n<td>Desjardins crossed 50,000 at 28.20; TD crossed 30,000 at 28.10.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-07-19<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 28.00<br \/>\nBid-YTW : 3.86 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.X<\/td>\n<td>FixedReset<\/td>\n<td>87,101<\/td>\n<td>RBC crossed 50,000 at 28.20.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-09-23<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 28.18<br \/>\nBid-YTW : 3.56 %<\/td>\n<\/tr>\n<tr>\n<td>GWO.PR.J<\/td>\n<td>FixedReset<\/td>\n<td>77,100<\/td>\n<td>Nesbitt crossed 50,000 at 28.06.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-01-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 27.92<br \/>\nBid-YTW : 2.98 %<\/td>\n<\/tr>\n<tr>\n<td colspan='4'>There were 54 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"<p>There was another big whack of retail-sized trades today in POW.PR.C, with Nesbitt buying 20,900 shares on the TMX (against total volume of 34,297) at an average price of 25.555. If CPD is behind the &hellip;<\/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-9480","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/9480","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=9480"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/9480\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=9480"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=9480"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=9480"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}