{"id":9622,"date":"2010-02-03T21:51:52","date_gmt":"2010-02-04T01:51:52","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=9622"},"modified":"2010-02-03T21:51:52","modified_gmt":"2010-02-04T01:51:52","slug":"february-3-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=9622","title":{"rendered":"February 3, 2010"},"content":{"rendered":"

In yet another example of PrefBlog’s trendsetting nature, Citigroup has started a blog<\/a>.<\/p>\n

The market responded to my deprecating remarks about FixedResets<\/a> by selling off PerpetualDiscounts, which lost 28bp on the day and buying FixedResets, which gained 5bp, on fairly heavy volume.<\/p>\n

PerpetualDiscounts now yield 5.83%, equivalent to 8.16% interest at the standard equivalency factor of 1.4x. Long corporates<\/a> continue to yield about 5.8%, so the pre-tax interest-equivalent spread is now about 235bp, which is where it was at month-end<\/a>.<\/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>\n3.14 %<\/td>\n3.85 %<\/td>\n29,741<\/td>\n20.01<\/td>\n1<\/td>\n-0.2762 %<\/td>\n1,762.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n5.91 %<\/td>\n3.96 %<\/td>\n35,743<\/td>\n19.02<\/td>\n1<\/td>\n-4.9070 %<\/td>\n2,676.5<\/td>\n<\/tr>\n
Floater<\/td>\n2.10 %<\/td>\n1.78 %<\/td>\n38,620<\/td>\n23.08<\/td>\n4<\/td>\n-0.1867 %<\/td>\n2,185.1<\/td>\n<\/tr>\n
OpRet<\/td>\n4.85 %<\/td>\n-4.11 %<\/td>\n107,957<\/td>\n0.09<\/td>\n13<\/td>\n-0.1887 %<\/td>\n2,317.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.45 %<\/td>\n6.81 %<\/td>\n149,412<\/td>\n3.73<\/td>\n2<\/td>\n-1.7042 %<\/td>\n2,084.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1887 %<\/td>\n2,119.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.75 %<\/td>\n5.57 %<\/td>\n80,086<\/td>\n2.21<\/td>\n7<\/td>\n-0.0338 %<\/td>\n1,891.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.80 %<\/td>\n5.83 %<\/td>\n172,105<\/td>\n14.13<\/td>\n69<\/td>\n-0.2837 %<\/td>\n1,817.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.42 %<\/td>\n3.61 %<\/td>\n318,524<\/td>\n3.80<\/td>\n42<\/td>\n0.0525 %<\/td>\n2,179.3<\/td>\n<\/tr>\n<\/table>\n\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
BAM.PR.G<\/td>\nFixedFloater<\/td>\n-4.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-02-03
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.41
\nBid-YTW : 3.96 %<\/td>\n<\/tr>\n
BNA.PR.D<\/td>\nSplitShare<\/td>\n-2.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2014-07-09
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.76
\nBid-YTW : 6.81 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-02-03
\nMaturity Price : 21.80
\nEvaluated at bid price : 22.16
\nBid-YTW : 5.93 %<\/td>\n<\/tr>\n
BNS.PR.K<\/td>\nPerpetual-Discount<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-02-03
\nMaturity Price : 21.51
\nEvaluated at bid price : 21.51
\nBid-YTW : 5.63 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetual-Discount<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-02-03
\nMaturity Price : 20.16
\nEvaluated at bid price : 20.16
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetual-Discount<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-02-03
\nMaturity Price : 19.20
\nEvaluated at bid price : 19.20
\nBid-YTW : 5.94 %<\/td>\n<\/tr>\n
IAG.PR.C<\/td>\nFixedReset<\/td>\n1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.38
\nBid-YTW : 3.76 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-02-03
\nMaturity Price : 15.50
\nEvaluated at bid price : 15.50
\nBid-YTW : 2.55 %<\/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
MFC.PR.D<\/td>\nFixedReset<\/td>\n105,335<\/td>\nNesbitt crossed 50,000 at 28.09; RBC crossed 20,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 28.07
\nBid-YTW : 3.83 %<\/td>\n<\/tr>\n
RY.PR.X<\/td>\nFixedReset<\/td>\n85,645<\/td>\nNesbitt crossed 50,000 at 27.78; RBC crossed 10,000 at 27.80.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-09-23
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.78
\nBid-YTW : 3.60 %<\/td>\n<\/tr>\n
NA.PR.K<\/td>\nPerpetual-Discount<\/td>\n50,475<\/td>\nRBC crossed 45,600 at 24.81.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-02-03
\nMaturity Price : 24.37
\nEvaluated at bid price : 24.71
\nBid-YTW : 5.93 %<\/td>\n<\/tr>\n
RY.PR.T<\/td>\nFixedReset<\/td>\n45,700<\/td>\nDundee sold 10,000 to anonymous at 27.72; Desjardins crossed blocks of 10,100 and 10,000, both at 27.75.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-09-23
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.75
\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n
TD.PR.I<\/td>\nFixedReset<\/td>\n44,406<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.81
\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n
TD.PR.E<\/td>\nFixedReset<\/td>\n43,799<\/td>\nNesbitt crossed 11,600 at 27.88 and 23,000 at 27.90.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.87
\nBid-YTW : 3.44 %<\/td>\n<\/tr>\n
There were 50 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

In yet another example of PrefBlog’s trendsetting nature, Citigroup has started a blog. The market responded to my deprecating remarks about FixedResets by selling off PerpetualDiscounts, which lost 28bp on the day and buying FixedResets, …<\/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-9622","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/9622","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=9622"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/9622\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=9622"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=9622"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=9622"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}