{"id":16462,"date":"2011-09-25T17:38:46","date_gmt":"2011-09-25T21:38:46","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=16462"},"modified":"2011-09-25T17:38:46","modified_gmt":"2011-09-25T21:38:46","slug":"september-22-2011-2","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=16462","title":{"rendered":"September 23, 2011"},"content":{"rendered":"

Sorry about the lateness, folks, but the Shaw Festival was calling my name this weekend.<\/p>\n

It was a rotten day for the Canadian preferred share market, with PerpetualDiscounts down 17bp, FixedResets off 16bp and DeemedRetractibles losing 36bp. Volatility reflected the market move; volume was average.<\/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>\n0.7143 %<\/td>\n2,095.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.7143 %<\/td>\n3,151.0<\/td>\n<\/tr>\n
Floater<\/td>\n3.10 %<\/td>\n3.42 %<\/td>\n53,494<\/td>\n18.71<\/td>\n3<\/td>\n0.7143 %<\/td>\n2,262.1<\/td>\n<\/tr>\n
OpRet<\/td>\n4.84 %<\/td>\n3.13 %<\/td>\n60,530<\/td>\n1.62<\/td>\n8<\/td>\n-0.2276 %<\/td>\n2,447.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.39 %<\/td>\n1.66 %<\/td>\n51,528<\/td>\n0.43<\/td>\n4<\/td>\n-0.2848 %<\/td>\n2,488.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2276 %<\/td>\n2,237.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.63 %<\/td>\n4.34 %<\/td>\n115,373<\/td>\n1.06<\/td>\n16<\/td>\n0.0616 %<\/td>\n2,116.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.32 %<\/td>\n5.37 %<\/td>\n111,466<\/td>\n14.84<\/td>\n14<\/td>\n-0.1653 %<\/td>\n2,240.9<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.15 %<\/td>\n3.29 %<\/td>\n207,607<\/td>\n2.63<\/td>\n60<\/td>\n-0.1607 %<\/td>\n2,320.8<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.07 %<\/td>\n4.67 %<\/td>\n237,729<\/td>\n7.97<\/td>\n46<\/td>\n-0.3565 %<\/td>\n2,186.2<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\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
NA.PR.O<\/td>\nFixedReset<\/td>\n-2.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.10
\nBid-YTW : 3.26 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nDeemed-Retractible<\/td>\n-1.79 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.36
\nBid-YTW : 6.48 %<\/td>\n<\/tr>\n
SLF.PR.F<\/td>\nFixedReset<\/td>\n-1.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.47
\nBid-YTW : 3.73 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\n-1.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.06
\nBid-YTW : 6.60 %<\/td>\n<\/tr>\n
MFC.PR.E<\/td>\nFixedReset<\/td>\n-1.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.67
\nBid-YTW : 4.68 %<\/td>\n<\/tr>\n
FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-09-23
\nMaturity Price : 24.06
\nEvaluated at bid price : 24.35
\nBid-YTW : 5.06 %<\/td>\n<\/tr>\n
IAG.PR.C<\/td>\nFixedReset<\/td>\n-1.47 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.21
\nBid-YTW : 3.93 %<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n-1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2018-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.43
\nBid-YTW : 4.39 %<\/td>\n<\/tr>\n
MFC.PR.D<\/td>\nFixedReset<\/td>\n-1.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.53
\nBid-YTW : 4.28 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nDeemed-Retractible<\/td>\n-1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.60
\nBid-YTW : 6.09 %<\/td>\n<\/tr>\n
GWO.PR.J<\/td>\nFixedReset<\/td>\n-1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.20
\nBid-YTW : 3.75 %<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nDeemed-Retractible<\/td>\n-1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.50
\nBid-YTW : 5.27 %<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nDeemed-Retractible<\/td>\n-1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.50
\nBid-YTW : 6.09 %<\/td>\n<\/tr>\n
RY.PR.B<\/td>\nDeemed-Retractible<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.10
\nBid-YTW : 4.72 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.60
\nBid-YTW : 4.03 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.05
\nBid-YTW : 3.42 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n2.55 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-09-23
\nMaturity Price : 20.11
\nEvaluated at bid price : 20.11
\nBid-YTW : 2.63 %<\/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
TD.PR.N<\/td>\nOpRet<\/td>\n122,250<\/td>\nCalled for redemption<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-10-23
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.72
\nBid-YTW : 2.11 %<\/td>\n<\/tr>\n
TD.PR.M<\/td>\nOpRet<\/td>\n104,296<\/td>\nCalled for redemption<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-10-23
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.72
\nBid-YTW : 2.39 %<\/td>\n<\/tr>\n
BNS.PR.O<\/td>\nDeemed-Retractible<\/td>\n93,520<\/td>\nDesjardins crossed 84,300 at 26.60.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-04-26
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.75
\nBid-YTW : 4.05 %<\/td>\n<\/tr>\n
MFC.PR.A<\/td>\nOpRet<\/td>\n92,760<\/td>\nRBC crossed 19,000 at 25.00 and 20,500 at 25.03.
\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2015-12-18
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.14
\nBid-YTW : 3.99 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n80,693<\/td>\nScotia crossed 50,000 at 25.90; RBC crossed 25,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-09-23
\nMaturity Price : 23.60
\nEvaluated at bid price : 25.85
\nBid-YTW : 3.30 %<\/td>\n<\/tr>\n
TD.PR.A<\/td>\nFixedReset<\/td>\n52,000<\/td>\nDesjardins crossed 50,000 at 26.16.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.11
\nBid-YTW : 3.36 %<\/td>\n<\/tr>\n
There were 32 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
NA.PR.O<\/td>\nFixedReset<\/td>\nQuote: 27.10 – 27.85
\nSpot Rate : 0.7500
\nAverage : 0.4848<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.10
\nBid-YTW : 3.26 %<\/td>\n<\/tr>\n

BAM.PR.J<\/td>\nOpRet<\/td>\nQuote: 26.43 – 27.10
\nSpot Rate : 0.6700
\nAverage : 0.4220<\/p>\n

YTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2018-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.43
\nBid-YTW : 4.39 %<\/td>\n<\/tr>\n

MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\nQuote: 21.53 – 22.08
\nSpot Rate : 0.5500
\nAverage : 0.3384<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.53
\nBid-YTW : 6.40 %<\/td>\n<\/tr>\n

MFC.PR.D<\/td>\nFixedReset<\/td>\nQuote: 26.53 – 26.97
\nSpot Rate : 0.4400
\nAverage : 0.2562<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.53
\nBid-YTW : 4.28 %<\/td>\n<\/tr>\n

IAG.PR.C<\/td>\nFixedReset<\/td>\nQuote: 26.21 – 26.90
\nSpot Rate : 0.6900
\nAverage : 0.5078<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.21
\nBid-YTW : 3.93 %<\/td>\n<\/tr>\n

GWO.PR.J<\/td>\nFixedReset<\/td>\nQuote: 26.20 – 26.74
\nSpot Rate : 0.5400
\nAverage : 0.3731<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.20
\nBid-YTW : 3.75 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Sorry about the lateness, folks, but the Shaw Festival was calling my name this weekend. It was a rotten day for the Canadian preferred share market, with PerpetualDiscounts down 17bp, FixedResets off 16bp and DeemedRetractibles …<\/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-16462","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/16462","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=16462"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/16462\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=16462"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=16462"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=16462"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}