{"id":9567,"date":"2010-01-29T20:55:10","date_gmt":"2010-01-30T00:55:10","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=9567"},"modified":"2010-01-29T20:55:10","modified_gmt":"2010-01-30T00:55:10","slug":"january-29-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=9567","title":{"rendered":"January 29, 2010"},"content":{"rendered":"<p>That&#8217;s a wrap!<\/p>\n<p>The Canadian preferred share market closed the month on a sour note, with PerpetualDiscounts down 13bp and FixedResets losing 6bp on a well-behaved day with only one entry in the performance highlights &#8211; POW.PR.B, oddly enough, which I have used as a gauge of the market impact of the <a href=\"http:\/\/www.prefblog.com\/?p=9495\">stupid trading in POW.PR.C<\/a>. Volume was subdued and dominated by FixedResets.<\/p>\n<p>PerpetualDiscounts closed the month yielding 5.81%, equivalent to 8.13% interest at the standard equivalency factor of 1.4x. <a href=\"http:\/\/www.canadianbondindices.com\/ltbi.asp\">Long Corporates<\/a> returned 4.02% on the month to close with a yield of about 5.8%, so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 235bp, a little wider than the 230bp reported on <a href=\"http:\/\/www.prefblog.com\/?p=9533\">January 27<\/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>0.6556 %<\/td>\n<td>1,733.6<\/td>\n<\/tr>\n<tr>\n<td>FixedFloater<\/td>\n<td>5.63 %<\/td>\n<td>3.72 %<\/td>\n<td>36,675<\/td>\n<td>19.36<\/td>\n<td>1<\/td>\n<td>-0.9231 %<\/td>\n<td>2,808.8<\/td>\n<\/tr>\n<tr>\n<td>Floater<\/td>\n<td>2.26 %<\/td>\n<td>2.60 %<\/td>\n<td>113,138<\/td>\n<td>20.75<\/td>\n<td>3<\/td>\n<td>0.6556 %<\/td>\n<td>2,165.8<\/td>\n<\/tr>\n<tr>\n<td>OpRet<\/td>\n<td>4.84 %<\/td>\n<td>-3.92 %<\/td>\n<td>110,558<\/td>\n<td>0.09<\/td>\n<td>13<\/td>\n<td>-0.0118 %<\/td>\n<td>2,319.1<\/td>\n<\/tr>\n<tr>\n<td>SplitShare<\/td>\n<td>6.34 %<\/td>\n<td>0.08 %<\/td>\n<td>148,734<\/td>\n<td>0.08<\/td>\n<td>2<\/td>\n<td>0.3069 %<\/td>\n<td>2,119.9<\/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>-0.0118 %<\/td>\n<td>2,120.6<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Premium<\/td>\n<td>5.82 %<\/td>\n<td>5.67 %<\/td>\n<td>151,594<\/td>\n<td>13.74<\/td>\n<td>12<\/td>\n<td>-0.0498 %<\/td>\n<td>1,887.9<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Discount<\/td>\n<td>5.76 %<\/td>\n<td>5.81 %<\/td>\n<td>172,362<\/td>\n<td>14.17<\/td>\n<td>63<\/td>\n<td>-0.1285 %<\/td>\n<td>1,826.6<\/td>\n<\/tr>\n<tr>\n<td>FixedReset<\/td>\n<td>5.43 %<\/td>\n<td>3.61 %<\/td>\n<td>321,361<\/td>\n<td>3.81<\/td>\n<td>42<\/td>\n<td>-0.0568 %<\/td>\n<td>2,177.5<\/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>POW.PR.B<\/td>\n<td>Perpetual-Discount<\/td>\n<td>-1.50 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-01-29<br \/>\nMaturity Price  : 21.93<br \/>\nEvaluated at bid price : 22.26<br \/>\nBid-YTW : 6.05 %<\/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>BAM.PR.B<\/td>\n<td>Floater<\/td>\n<td>70,951<\/td>\n<td>Nesbitt crossed 50,000 at 15.05.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-01-29<br \/>\nMaturity Price  : 15.20<br \/>\nEvaluated at bid price : 15.20<br \/>\nBid-YTW : 2.60 %<\/td>\n<\/tr>\n<tr>\n<td>TD.PR.K<\/td>\n<td>FixedReset<\/td>\n<td>69,750<\/td>\n<td>RBC crossed 12,000 at 27.80, then three blocks at 27.82: two of  10,000 and one of 30,000 shares.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-08-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 27.81<br \/>\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.T<\/td>\n<td>FixedReset<\/td>\n<td>49,658<\/td>\n<td>Desjardins crosse 15,000 at 27.70, then Nesbitt crossed 25,000 at 27.65.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-09-23<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 27.64<br \/>\nBid-YTW : 3.70 %<\/td>\n<\/tr>\n<tr>\n<td>TD.PR.G<\/td>\n<td>FixedReset<\/td>\n<td>48,220<\/td>\n<td>RBC crossed blocks of 10,000 and 30,000 shares, both at 27.85.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-05-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 27.83<br \/>\nBid-YTW : 3.46 %<\/td>\n<\/tr>\n<tr>\n<td>BNS.PR.T<\/td>\n<td>FixedReset<\/td>\n<td>37,725<\/td>\n<td>Nesbitt crossed 20,000 at 27.89.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-05-25<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 27.79<br \/>\nBid-YTW : 3.49 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.X<\/td>\n<td>FixedReset<\/td>\n<td>37,474<\/td>\n<td>RBC bought 11,900 from anonymous at 27.80.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-09-23<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 27.75<br \/>\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n<tr>\n<td colspan='4'>There were 26 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"<p>That&#8217;s a wrap! The Canadian preferred share market closed the month on a sour note, with PerpetualDiscounts down 13bp and FixedResets losing 6bp on a well-behaved day with only one entry in the performance highlights &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-9567","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/9567","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=9567"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/9567\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=9567"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=9567"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=9567"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}