{"id":14888,"date":"2011-04-29T00:04:41","date_gmt":"2011-04-29T04:04:41","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=14888"},"modified":"2011-04-29T00:04:41","modified_gmt":"2011-04-29T04:04:41","slug":"april-28-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=14888","title":{"rendered":"April 28, 2011"},"content":{"rendered":"

Nothing happened today.<\/p>\n

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts losing 4bp, FixedResets up 10bp and DeemedRetractibles gaining 41bp. The Performance Highlights table was comprised entirely of strongly performing bank DeemedRetractibles, almost certainly due to news that CM will prioritize preferred share redemptions<\/a> as a use of its excess capital. Volume was strong.<\/p>\n\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>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0948 %<\/td>\n2,419.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0948 %<\/td>\n3,639.0<\/td>\n<\/tr>\n
Floater<\/td>\n2.49 %<\/td>\n2.26 %<\/td>\n35,105<\/td>\n21.63<\/td>\n4<\/td>\n-0.0948 %<\/td>\n2,612.5<\/td>\n<\/tr>\n
OpRet<\/td>\n4.91 %<\/td>\n3.40 %<\/td>\n57,138<\/td>\n2.05<\/td>\n8<\/td>\n0.1158 %<\/td>\n2,413.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.21 %<\/td>\n-1.89 %<\/td>\n81,402<\/td>\n0.63<\/td>\n6<\/td>\n-0.1291 %<\/td>\n2,495.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1158 %<\/td>\n2,206.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.79 %<\/td>\n5.62 %<\/td>\n124,326<\/td>\n6.12<\/td>\n8<\/td>\n0.1441 %<\/td>\n2,052.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.58 %<\/td>\n5.58 %<\/td>\n133,843<\/td>\n14.38<\/td>\n16<\/td>\n-0.0412 %<\/td>\n2,122.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.18 %<\/td>\n3.46 %<\/td>\n218,011<\/td>\n2.90<\/td>\n57<\/td>\n0.1034 %<\/td>\n2,293.5<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.26 %<\/td>\n5.13 %<\/td>\n315,125<\/td>\n8.12<\/td>\n53<\/td>\n0.4070 %<\/td>\n2,085.4<\/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
BMO.PR.K<\/td>\nDeemed-Retractible<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-12-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.27
\nBid-YTW : 4.98 %<\/td>\n<\/tr>\n
RY.PR.D<\/td>\nDeemed-Retractible<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.74
\nBid-YTW : 5.10 %<\/td>\n<\/tr>\n
RY.PR.C<\/td>\nDeemed-Retractible<\/td>\n1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.91
\nBid-YTW : 5.12 %<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nDeemed-Retractible<\/td>\n1.70 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.92
\nBid-YTW : 5.05 %<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nDeemed-Retractible<\/td>\n1.81 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.69
\nBid-YTW : 4.98 %<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nDeemed-Retractible<\/td>\n1.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.35
\nBid-YTW : 5.04 %<\/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>\n121,669<\/td>\nTD crossed blocks of 17,300 and 10,000, RBC crossed 50,000 and 25,000 and TD bought 10,000 from CIBC, all at 27.50. YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.46
\nBid-YTW : 3.64 %<\/td>\n<\/tr>\n
TD.PR.R<\/td>\nDeemed-Retractible<\/td>\n119,333<\/td>\nRBC crossed two blocks of 50,000 each, both at 25.98.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.93
\nBid-YTW : 4.91 %<\/td>\n<\/tr>\n
BNS.PR.O<\/td>\nDeemed-Retractible<\/td>\n103,700<\/td>\nNesbitt and TD both crossed 50,000 at 25.60.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-05-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.65
\nBid-YTW : 5.13 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\n65,043<\/td>\nRBC crossed 15,000 and TD crossed 24,300, both at 21.02.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.92
\nBid-YTW : 6.76 %<\/td>\n<\/tr>\n
RY.PR.R<\/td>\nFixedReset<\/td>\n59,736<\/td>\nNesbitt crossed 50,000 at 26.90.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.91
\nBid-YTW : 3.39 %<\/td>\n<\/tr>\n
CM.PR.D<\/td>\nDeemed-Retractible<\/td>\n55,206<\/td>\nRBC crossed 48,600 at 25.43.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-05-30
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.40
\nBid-YTW : -1.43 %<\/td>\n<\/tr>\n
There were 51 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
RY.PR.B<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.13 – 24.58
\nSpot Rate : 0.4500
\nAverage : 0.3186<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.13
\nBid-YTW : 5.11 %<\/td>\n<\/tr>\n

GWO.PR.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.20 – 25.54
\nSpot Rate : 0.3400
\nAverage : 0.2399<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-10-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.20
\nBid-YTW : 5.68 %<\/td>\n<\/tr>\n

BAM.PR.J<\/td>\nOpRet<\/td>\nQuote: 26.89 – 27.20
\nSpot Rate : 0.3100
\nAverage : 0.2183<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.89
\nBid-YTW : 4.13 %<\/td>\n<\/tr>\n

PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.95 – 23.23
\nSpot Rate : 0.2800
\nAverage : 0.2011<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-04-28
\nMaturity Price : 22.76
\nEvaluated at bid price : 22.95
\nBid-YTW : 5.58 %<\/td>\n<\/tr>\n

BMO.PR.M<\/td>\nFixedReset<\/td>\nQuote: 25.93 – 26.18
\nSpot Rate : 0.2500
\nAverage : 0.1724<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-09-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.93
\nBid-YTW : 3.16 %<\/td>\n<\/tr>\n

BAM.PR.I<\/td>\nOpRet<\/td>\nQuote: 25.31 – 25.60
\nSpot Rate : 0.2900
\nAverage : 0.2134<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-07-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.31
\nBid-YTW : 4.84 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts losing 4bp, FixedResets up 10bp and DeemedRetractibles gaining 41bp. The Performance Highlights table was comprised entirely of strongly performing …<\/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-14888","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14888","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=14888"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14888\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=14888"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=14888"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=14888"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}