{"id":17056,"date":"2011-11-17T12:39:34","date_gmt":"2011-11-17T16:39:34","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=17056"},"modified":"2011-11-17T12:39:34","modified_gmt":"2011-11-17T16:39:34","slug":"november-16-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=17056","title":{"rendered":"November 16, 2011"},"content":{"rendered":"

Sorry about the lateness, folks! My schedule on the 16th and 17th is a little peculiar.<\/p>\n

PerpetualDiscounts now yield 5.23%, equivalent to 6.80% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield about 4.75%, so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 205bp.<\/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-0.9029 %<\/td>\n2,105.7<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.75 %<\/td>\n4.14 %<\/td>\n28,858<\/td>\n17.09<\/td>\n1<\/td>\n1.8321 %<\/td>\n3,245.9<\/td>\n<\/tr>\n
Floater<\/td>\n3.42 %<\/td>\n3.42 %<\/td>\n159,118<\/td>\n18.67<\/td>\n2<\/td>\n-0.9029 %<\/td>\n2,273.6<\/td>\n<\/tr>\n
OpRet<\/td>\n4.93 %<\/td>\n0.88 %<\/td>\n53,414<\/td>\n1.50<\/td>\n7<\/td>\n0.0985 %<\/td>\n2,492.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.75 %<\/td>\n6.45 %<\/td>\n56,114<\/td>\n5.12<\/td>\n3<\/td>\n0.1399 %<\/td>\n2,517.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0985 %<\/td>\n2,278.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.56 %<\/td>\n-0.13 %<\/td>\n101,607<\/td>\n0.15<\/td>\n13<\/td>\n0.0929 %<\/td>\n2,160.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.31 %<\/td>\n5.23 %<\/td>\n106,560<\/td>\n14.81<\/td>\n17<\/td>\n0.0072 %<\/td>\n2,296.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.10 %<\/td>\n2.91 %<\/td>\n234,537<\/td>\n2.49<\/td>\n63<\/td>\n0.1326 %<\/td>\n2,351.7<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.03 %<\/td>\n4.38 %<\/td>\n205,648<\/td>\n3.66<\/td>\n46<\/td>\n0.0774 %<\/td>\n2,224.0<\/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
BAM.PR.K<\/td>\nFloater<\/td>\n-1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-16
\nMaturity Price : 15.23
\nEvaluated at bid price : 15.23
\nBid-YTW : 3.48 %<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\n-1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-16
\nMaturity Price : 22.60
\nEvaluated at bid price : 22.95
\nBid-YTW : 5.23 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-16
\nMaturity Price : 21.37
\nEvaluated at bid price : 20.01
\nBid-YTW : 4.14 %<\/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
ENB.PR.B<\/td>\nFixedReset<\/td>\n291,585<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-16
\nMaturity Price : 23.26
\nEvaluated at bid price : 25.42
\nBid-YTW : 3.68 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n100,400<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.20
\nBid-YTW : 2.77 %<\/td>\n<\/tr>\n
FTS.PR.C<\/td>\nOpRet<\/td>\n76,712<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-12-16
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.87
\nBid-YTW : -14.33 %<\/td>\n<\/tr>\n
FTS.PR.E<\/td>\nOpRet<\/td>\n69,304<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-06-01
\nMaturity Price : 25.75
\nEvaluated at bid price : 27.23
\nBid-YTW : 0.88 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nDeemed-Retractible<\/td>\n67,654<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-05-24
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.75
\nBid-YTW : 3.40 %<\/td>\n<\/tr>\n
TD.PR.G<\/td>\nFixedReset<\/td>\n66,150<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.31
\nBid-YTW : 2.46 %<\/td>\n<\/tr>\n
There were 27 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
BAM.PR.K<\/td>\nFloater<\/td>\nQuote: 15.23 – 15.69
\nSpot Rate : 0.4600
\nAverage : 0.2835<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-16
\nMaturity Price : 15.23
\nEvaluated at bid price : 15.23
\nBid-YTW : 3.48 %<\/td>\n<\/tr>\n

ELF.PR.G<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.92 – 21.46
\nSpot Rate : 0.5400
\nAverage : 0.3857<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-16
\nMaturity Price : 20.92
\nEvaluated at bid price : 20.92
\nBid-YTW : 5.75 %<\/td>\n<\/tr>\n

TCA.PR.Y<\/td>\nPerpetual-Premium<\/td>\nQuote: 52.65 – 53.14
\nSpot Rate : 0.4900
\nAverage : 0.3533<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-05
\nMaturity Price : 50.00
\nEvaluated at bid price : 52.65
\nBid-YTW : 3.31 %<\/td>\n<\/tr>\n

BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.95 – 23.29
\nSpot Rate : 0.3400
\nAverage : 0.2390<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-16
\nMaturity Price : 22.60
\nEvaluated at bid price : 22.95
\nBid-YTW : 5.23 %<\/td>\n<\/tr>\n

BAM.PR.H<\/td>\nOpRet<\/td>\nQuote: 25.31 – 25.69
\nSpot Rate : 0.3800
\nAverage : 0.2884<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-12-16
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.31
\nBid-YTW : -0.34 %<\/td>\n<\/tr>\n

FTS.PR.H<\/td>\nFixedReset<\/td>\nQuote: 25.41 – 25.58
\nSpot Rate : 0.1700
\nAverage : 0.1179<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-16
\nMaturity Price : 23.44
\nEvaluated at bid price : 25.41
\nBid-YTW : 2.86 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Sorry about the lateness, folks! My schedule on the 16th and 17th is a little peculiar. PerpetualDiscounts now yield 5.23%, equivalent to 6.80% interest at the standard equivalency factor of 1.3x. Long corporates now yield …<\/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-17056","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17056","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=17056"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17056\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=17056"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=17056"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=17056"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}