{"id":15016,"date":"2011-05-11T22:51:20","date_gmt":"2011-05-12T02:51:20","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=15016"},"modified":"2011-05-11T22:51:20","modified_gmt":"2011-05-12T02:51:20","slug":"may-11-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=15016","title":{"rendered":"May 11, 2011"},"content":{"rendered":"

Nothing happened today.<\/p>\n

It was another good solid day for the Canadian preferred share market, with PerpetualDiscounts up 4bp, FixedResets gaining 13bp and DeemedRetractibles ahead 11bp.<\/p>\n

PerpetualDiscounts now yield 5.55%, equivalent to 7.22% interest at the standard equivalency factor of 1.3x. Volatility was muted and volume was average. Long Corporates<\/a> now yield 5.4%, so the pre-tax interest-equivalent spread is now 180bp, a little wider than the April 27<\/a> figure of 175bp.<\/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>\n0.3765 %<\/td>\n2,448.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3765 %<\/td>\n3,681.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.46 %<\/td>\n2.26 %<\/td>\n38,207<\/td>\n21.61<\/td>\n4<\/td>\n0.3765 %<\/td>\n2,643.1<\/td>\n<\/tr>\n
OpRet<\/td>\n4.86 %<\/td>\n2.57 %<\/td>\n62,713<\/td>\n1.17<\/td>\n9<\/td>\n0.0799 %<\/td>\n2,422.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.21 %<\/td>\n0.11 %<\/td>\n65,257<\/td>\n0.59<\/td>\n6<\/td>\n0.0300 %<\/td>\n2,501.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0799 %<\/td>\n2,215.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.74 %<\/td>\n5.11 %<\/td>\n134,007<\/td>\n0.87<\/td>\n9<\/td>\n0.1316 %<\/td>\n2,064.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.53 %<\/td>\n5.55 %<\/td>\n118,393<\/td>\n14.52<\/td>\n15<\/td>\n0.0441 %<\/td>\n2,149.7<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.14 %<\/td>\n3.22 %<\/td>\n207,660<\/td>\n2.87<\/td>\n57<\/td>\n0.1279 %<\/td>\n2,309.8<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.18 %<\/td>\n4.94 %<\/td>\n300,198<\/td>\n8.08<\/td>\n53<\/td>\n0.1108 %<\/td>\n2,118.0<\/td>\n<\/tr>\n<\/table>\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
SLF.PR.F<\/td>\nFixedReset<\/td>\n-1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.35
\nBid-YTW : 3.16 %<\/td>\n<\/tr>\n
RY.PR.F<\/td>\nDeemed-Retractible<\/td>\n1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.22
\nBid-YTW : 4.83 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.03
\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
BNS.PR.Q<\/td>\nFixedReset<\/td>\n90,820<\/td>\nDesjardins crossed 85,000 at 26.22.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-11-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.30
\nBid-YTW : 2.87 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n62,940<\/td>\nTD crossed 50,000 at 25.68.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.65
\nBid-YTW : 3.83 %<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetual-Discount<\/td>\n47,499<\/td>\nScotia crossed 40,000 at 24.10.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-05-11
\nMaturity Price : 23.62
\nEvaluated at bid price : 23.89
\nBid-YTW : 5.53 %<\/td>\n<\/tr>\n
RY.PR.Y<\/td>\nFixedReset<\/td>\n42,990<\/td>\nDesjardins crossed 25,000 at 27.30.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.29
\nBid-YTW : 3.38 %<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nDeemed-Retractible<\/td>\n39,566<\/td>\nDesjardins crossed 30,000 at 24.35.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.31
\nBid-YTW : 4.88 %<\/td>\n<\/tr>\n
CM.PR.L<\/td>\nFixedReset<\/td>\n38,920<\/td>\nTD crossed 31,000 at 27.83.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.63
\nBid-YTW : 2.99 %<\/td>\n<\/tr>\n
There were 34 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
BNS.PR.Z<\/td>\nFixedReset<\/td>\nQuote: 24.76 – 25.45
\nSpot Rate : 0.6900
\nAverage : 0.4254<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.76
\nBid-YTW : 3.88 %<\/td>\n<\/tr>\n

FTS.PR.G<\/td>\nFixedReset<\/td>\nQuote: 26.09 – 26.99
\nSpot Rate : 0.9000
\nAverage : 0.7104<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.09
\nBid-YTW : 3.16 %<\/td>\n<\/tr>\n

SLF.PR.F<\/td>\nFixedReset<\/td>\nQuote: 27.35 – 27.72
\nSpot Rate : 0.3700
\nAverage : 0.2808<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.35
\nBid-YTW : 3.16 %<\/td>\n<\/tr>\n

CM.PR.M<\/td>\nFixedReset<\/td>\nQuote: 27.73 – 28.05
\nSpot Rate : 0.3200
\nAverage : 0.2320<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.73
\nBid-YTW : 3.09 %<\/td>\n<\/tr>\n

ELF.PR.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 22.50 – 22.74
\nSpot Rate : 0.2400
\nAverage : 0.1624<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.50
\nBid-YTW : 6.71 %<\/td>\n<\/tr>\n

BMO.PR.J<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.41 – 24.66
\nSpot Rate : 0.2500
\nAverage : 0.1739<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.41
\nBid-YTW : 4.79 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. It was another good solid day for the Canadian preferred share market, with PerpetualDiscounts up 4bp, FixedResets gaining 13bp and DeemedRetractibles ahead 11bp. PerpetualDiscounts now yield 5.55%, equivalent to 7.22% interest at …<\/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-15016","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/15016","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=15016"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/15016\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=15016"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=15016"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=15016"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}