{"id":17228,"date":"2011-12-06T23:43:26","date_gmt":"2011-12-07T03:43:26","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=17228"},"modified":"2011-12-06T23:43:26","modified_gmt":"2011-12-07T03:43:26","slug":"december-6-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=17228","title":{"rendered":"December 6, 2011"},"content":{"rendered":"

It was a good day for the Canadian preferred share market, with PerpetualDiscounts winning 13bp, FixedResets up 5bp and DeemedRetractibles gaining 8bp. Volatility was quite good, with five winners and two losers. Volume was below 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>\n-0.8898 %<\/td>\n2,061.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.87 %<\/td>\n4.61 %<\/td>\n35,654<\/td>\n17.11<\/td>\n1<\/td>\n1.5096 %<\/td>\n3,163.2<\/td>\n<\/tr>\n
Floater<\/td>\n3.21 %<\/td>\n3.51 %<\/td>\n66,033<\/td>\n18.43<\/td>\n3<\/td>\n-0.8898 %<\/td>\n2,225.7<\/td>\n<\/tr>\n
OpRet<\/td>\n4.90 %<\/td>\n0.99 %<\/td>\n54,722<\/td>\n1.44<\/td>\n6<\/td>\n-0.0640 %<\/td>\n2,477.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.80 %<\/td>\n6.71 %<\/td>\n60,355<\/td>\n5.12<\/td>\n3<\/td>\n0.7107 %<\/td>\n2,528.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0640 %<\/td>\n2,265.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.52 %<\/td>\n3.12 %<\/td>\n95,837<\/td>\n0.87<\/td>\n18<\/td>\n-0.0620 %<\/td>\n2,157.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.25 %<\/td>\n5.20 %<\/td>\n108,186<\/td>\n15.04<\/td>\n12<\/td>\n0.1315 %<\/td>\n2,304.8<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.11 %<\/td>\n3.10 %<\/td>\n229,740<\/td>\n2.47<\/td>\n64<\/td>\n0.0458 %<\/td>\n2,338.1<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.04 %<\/td>\n4.37 %<\/td>\n193,929<\/td>\n3.82<\/td>\n46<\/td>\n0.0812 %<\/td>\n2,224.3<\/td>\n<\/tr>\n<\/table>\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
PWF.PR.A<\/td>\nFloater<\/td>\n-2.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-06
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 2.78 %<\/td>\n<\/tr>\n
IGM.PR.B<\/td>\nPerpetual-Premium<\/td>\n-1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.84
\nBid-YTW : 5.46 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.14
\nBid-YTW : 4.26 %<\/td>\n<\/tr>\n
PWF.PR.M<\/td>\nFixedReset<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.60
\nBid-YTW : 3.20 %<\/td>\n<\/tr>\n
TD.PR.O<\/td>\nDeemed-Retractible<\/td>\n1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-10-31
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.85
\nBid-YTW : 3.73 %<\/td>\n<\/tr>\n
BNA.PR.D<\/td>\nSplitShare<\/td>\n1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-01-05
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.51
\nBid-YTW : -16.23 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n1.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-06
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.50
\nBid-YTW : 4.61 %<\/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
CU.PR.B<\/td>\nPerpetual-Premium<\/td>\n93,346<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-01-05
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.59
\nBid-YTW : -9.16 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset<\/td>\n93,042<\/td>\nNew issue settled today<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.10
\nBid-YTW : 4.81 %<\/td>\n<\/tr>\n
BNS.PR.O<\/td>\nDeemed-Retractible<\/td>\n64,604<\/td>\nScotia crossed 50,000 at 26.82.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-04-26
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.75
\nBid-YTW : 3.63 %<\/td>\n<\/tr>\n
ENB.PR.D<\/td>\nFixedReset<\/td>\n54,128<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-06
\nMaturity Price : 23.14
\nEvaluated at bid price : 25.11
\nBid-YTW : 3.67 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset<\/td>\n30,000<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.21
\nBid-YTW : 4.12 %<\/td>\n<\/tr>\n
CM.PR.G<\/td>\nPerpetual-Discount<\/td>\n27,820<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.18
\nBid-YTW : 5.34 %<\/td>\n<\/tr>\n
There were 26 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
PWF.PR.A<\/td>\nFloater<\/td>\nQuote: 19.00 – 20.47
\nSpot Rate : 1.4700
\nAverage : 1.1413<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-06
\nMaturity Price : 19.00
\nEvaluated at bid price : 19.00
\nBid-YTW : 2.78 %<\/td>\n<\/tr>\n

ELF.PR.G<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.20 – 21.95
\nSpot Rate : 0.7500
\nAverage : 0.4863<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-06
\nMaturity Price : 21.20
\nEvaluated at bid price : 21.20
\nBid-YTW : 5.69 %<\/td>\n<\/tr>\n

HSB.PR.D<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.15 – 25.58
\nSpot Rate : 0.4300
\nAverage : 0.2684<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.15
\nBid-YTW : 5.07 %<\/td>\n<\/tr>\n

PWF.PR.H<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.22 – 25.59
\nSpot Rate : 0.3700
\nAverage : 0.2839<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-01-09
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.22
\nBid-YTW : 2.37 %<\/td>\n<\/tr>\n

PWF.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.84 – 25.08
\nSpot Rate : 0.2400
\nAverage : 0.1623<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-06
\nMaturity Price : 24.59
\nEvaluated at bid price : 24.84
\nBid-YTW : 5.34 %<\/td>\n<\/tr>\n

GWO.PR.M<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.62 – 25.95
\nSpot Rate : 0.3300
\nAverage : 0.2551<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.62
\nBid-YTW : 5.47 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

It was a good day for the Canadian preferred share market, with PerpetualDiscounts winning 13bp, FixedResets up 5bp and DeemedRetractibles gaining 8bp. Volatility was quite good, with five winners and two losers. Volume was below …<\/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-17228","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17228","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=17228"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17228\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=17228"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=17228"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=17228"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}