{"id":11576,"date":"2010-07-21T22:38:22","date_gmt":"2010-07-22T02:38:22","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=11576"},"modified":"2010-07-21T22:38:22","modified_gmt":"2010-07-22T02:38:22","slug":"july-21-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=11576","title":{"rendered":"July 21, 2010"},"content":{"rendered":"

Nothing happened today. How dull.<\/p>\n

Continued good volume in the Canadian preferred share market, a PerpetualDiscounts squeaked out a win of 1bp, while FixedResets were up 9bp, edging their median weighted average yield a little closer to 3.50%.<\/p>\n

PerpetualDiscounts now yield 5.90%, equivalent to 8.26% interest at the standard equivalency factor of 1.4x. Long corporates<\/a> now yield 5.6%, so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 265bp, a significant tightening from the 280bp reported on July 14<\/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>\n2.82 %<\/td>\n2.90 %<\/td>\n23,397<\/td>\n20.26<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,078.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2200 %<\/td>\n3,154.6<\/td>\n<\/tr>\n
Floater<\/td>\n2.51 %<\/td>\n2.15 %<\/td>\n42,290<\/td>\n21.97<\/td>\n4<\/td>\n0.2200 %<\/td>\n2,248.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.89 %<\/td>\n-0.38 %<\/td>\n102,180<\/td>\n0.08<\/td>\n11<\/td>\n-0.2754 %<\/td>\n2,338.7<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.27 %<\/td>\n5.02 %<\/td>\n75,410<\/td>\n0.08<\/td>\n2<\/td>\n0.1732 %<\/td>\n2,213.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2754 %<\/td>\n2,138.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.90 %<\/td>\n5.28 %<\/td>\n106,544<\/td>\n1.81<\/td>\n4<\/td>\n0.0491 %<\/td>\n1,941.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.83 %<\/td>\n5.90 %<\/td>\n182,356<\/td>\n14.04<\/td>\n73<\/td>\n0.0106 %<\/td>\n1,852.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.31 %<\/td>\n3.53 %<\/td>\n333,251<\/td>\n3.46<\/td>\n47<\/td>\n0.0940 %<\/td>\n2,221.9<\/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
RY.PR.B<\/td>\nPerpetual-Discount<\/td>\n-1.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-07-21
\nMaturity Price : 20.94
\nEvaluated at bid price : 20.94
\nBid-YTW : 5.71 %<\/td>\n<\/tr>\n
BAM.PR.I<\/td>\nOpRet<\/td>\n-1.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-08-20
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.70
\nBid-YTW : -0.38 %<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-07-21
\nMaturity Price : 20.69
\nEvaluated at bid price : 20.69
\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.91
\nBid-YTW : 3.80 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-07-21
\nMaturity Price : 25.55
\nEvaluated at bid price : 25.60
\nBid-YTW : 3.90 %<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-07-21
\nMaturity Price : 18.40
\nEvaluated at bid price : 18.40
\nBid-YTW : 6.51 %<\/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
CM.PR.K<\/td>\nFixedReset<\/td>\n111,472<\/td>\nRBC crossed 22,500 at 26.96. Desjardins crossed blocks of 49,800 and 25,000, both at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.89
\nBid-YTW : 3.30 %<\/td>\n<\/tr>\n
MFC.PR.D<\/td>\nFixedReset<\/td>\n84,422<\/td>\nRBC crossed 20,000 at 27.68; National crossed 25,000 at 27.74.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.69
\nBid-YTW : 3.88 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n71,120<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-07-21
\nMaturity Price : 23.14
\nEvaluated at bid price : 25.05
\nBid-YTW : 3.96 %<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nPerpetual-Discount<\/td>\n63,320<\/td>\nTD crossed three blocks, 25,000 shares, 14,100 and 18,500, all at 19.35.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-07-21
\nMaturity Price : 19.35
\nEvaluated at bid price : 19.35
\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n
TD.PR.A<\/td>\nFixedReset<\/td>\n62,370<\/td>\nRBC crossed blocks of 25,000 and 36,000, both at 26.20.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-02
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.11
\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n
MFC.PR.E<\/td>\nFixedReset<\/td>\n53,444<\/td>\nNational crossed 25,000 at 26.89, then bought 11,000 from anonymous at 26.90.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-10-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.87
\nBid-YTW : 3.83 %<\/td>\n<\/tr>\n
There were 45 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. How dull. Continued good volume in the Canadian preferred share market, a PerpetualDiscounts squeaked out a win of 1bp, while FixedResets were up 9bp, edging their median weighted average yield a little …<\/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-11576","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/11576","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=11576"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/11576\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=11576"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=11576"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=11576"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}