{"id":11520,"date":"2010-07-14T22:57:17","date_gmt":"2010-07-15T02:57:17","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=11520"},"modified":"2010-07-14T22:57:17","modified_gmt":"2010-07-15T02:57:17","slug":"july-14-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=11520","title":{"rendered":"July 14, 2010"},"content":{"rendered":"

Nothing happened today, either. Except …<\/p>\n

Another day of heavy volume and positive returns in the Canadian preferred share market today, with PerpetualDiscounts gaining 34bp and FixedResets up 24bp … taking the Yield-to-Worst for the latter index down below 3.50%<\/s>. Hallucination! – JH 7\/15<\/i><\/p>\n

PerpetualDiscounts now yield 5.92%, equivalent to 8.29% interest at the standard equivalency factor of 1.4x. Long Corporates<\/a> now yield about 5.5%, so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 280bp, a nice little tightening from the 290bp reported on July 7<\/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>\n2.81 %<\/td>\n2.89 %<\/td>\n23,560<\/td>\n20.31<\/td>\n1<\/td>\n-0.8945 %<\/td>\n2,078.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2083 %<\/td>\n3,151.0<\/td>\n<\/tr>\n
Floater<\/td>\n2.28 %<\/td>\n1.93 %<\/td>\n43,303<\/td>\n22.55<\/td>\n4<\/td>\n-0.2083 %<\/td>\n2,245.9<\/td>\n<\/tr>\n
OpRet<\/td>\n4.88 %<\/td>\n1.69 %<\/td>\n89,492<\/td>\n0.08<\/td>\n11<\/td>\n0.0531 %<\/td>\n2,342.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.29 %<\/td>\n6.23 %<\/td>\n80,938<\/td>\n3.43<\/td>\n2<\/td>\n-0.0651 %<\/td>\n2,203.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0531 %<\/td>\n2,141.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.95 %<\/td>\n5.64 %<\/td>\n112,446<\/td>\n1.83<\/td>\n4<\/td>\n0.4277 %<\/td>\n1,924.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.88 %<\/td>\n5.92 %<\/td>\n185,626<\/td>\n13.99<\/td>\n73<\/td>\n0.3432 %<\/td>\n1,838.7<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.33 %<\/td>\n3.64 %<\/td>\n325,799<\/td>\n3.48<\/td>\n47<\/td>\n0.2422 %<\/td>\n2,214.4<\/td>\n<\/tr>\n<\/table>\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>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-07-14
\nMaturity Price : 23.71
\nEvaluated at bid price : 23.89
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n
CM.PR.K<\/td>\nFixedReset<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.60
\nBid-YTW : 3.58 %<\/td>\n<\/tr>\n
TD.PR.P<\/td>\nPerpetual-Discount<\/td>\n1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-07-14
\nMaturity Price : 23.09
\nEvaluated at bid price : 23.27
\nBid-YTW : 5.65 %<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\n1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-07-14
\nMaturity Price : 18.30
\nEvaluated at bid price : 18.30
\nBid-YTW : 6.56 %<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-07-14
\nMaturity Price : 21.60
\nEvaluated at bid price : 21.60
\nBid-YTW : 5.96 %<\/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>\n215,966<\/td>\nCalled for redemption<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-08-13
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.48
\nBid-YTW : 2.97 %<\/td>\n<\/tr>\n
PWF.PR.D<\/td>\nOpRet<\/td>\n96,600<\/td>\nIntent to redeem announced<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-08-13
\nMaturity Price : 25.60
\nEvaluated at bid price : 25.61
\nBid-YTW : 1.73 %<\/td>\n<\/tr>\n
TD.PR.S<\/td>\nFixedReset<\/td>\n88,205<\/td>\nNesbit crossed blocks of 31,000 shares and 38,500 shares, both at 26.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.91
\nBid-YTW : 3.63 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n77,565<\/td>\nNesbitt crossed blocs of 25,000 and 40,000, both at 26.06.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.06
\nBid-YTW : 3.94 %<\/td>\n<\/tr>\n
GWO.PR.J<\/td>\nFixedReset<\/td>\n70,383<\/td>\nNesbitt crossed 19,000 at 26.90; RBC crossed 26.91 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.90
\nBid-YTW : 3.79 %<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetual-Discount<\/td>\n67,486<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-07-14
\nMaturity Price : 20.32
\nEvaluated at bid price : 20.32
\nBid-YTW : 5.93 %<\/td>\n<\/tr>\n
There were 49 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today, either. Except … Another day of heavy volume and positive returns in the Canadian preferred share market today, with PerpetualDiscounts gaining 34bp and FixedResets up 24bp … taking the Yield-to-Worst for the …<\/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-11520","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/11520","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=11520"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/11520\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=11520"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=11520"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=11520"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}