{"id":17416,"date":"2011-12-21T00:06:27","date_gmt":"2011-12-21T04:06:27","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=17416"},"modified":"2011-12-21T00:06:27","modified_gmt":"2011-12-21T04:06:27","slug":"december-20-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=17416","title":{"rendered":"December 20, 2011"},"content":{"rendered":"

Nothing happened today, folks!<\/p>\n

It was a good day for the Canadian preferred share market, with PerpetualDiscounts winning 27bp, FixedResets gaining 13bp and DeemedRetractibles up 8bp. Volatility was high, with SLF issues getting whacked – again. SLF Straights are down between 1.3% and 2.75% on the month to date, while the FixedResetDiscounts have been hammered, down between 4.9% and 6.2%. Only SLF.PR.G<\/s> SLF.PR.F, a FixedResetPremium, has done well, up 1.91%. Floating Rate issues did well, probably on inflation fears<\/a>. Volume was on the light side of 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>\n1.7729 %<\/td>\n2,039.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.86 %<\/td>\n4.61 %<\/td>\n37,558<\/td>\n17.08<\/td>\n1<\/td>\n1.4545 %<\/td>\n3,168.1<\/td>\n<\/tr>\n
Floater<\/td>\n3.27 %<\/td>\n3.60 %<\/td>\n69,539<\/td>\n18.30<\/td>\n3<\/td>\n1.7729 %<\/td>\n2,201.8<\/td>\n<\/tr>\n
OpRet<\/td>\n4.95 %<\/td>\n2.16 %<\/td>\n65,187<\/td>\n1.40<\/td>\n6<\/td>\n-0.1162 %<\/td>\n2,468.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.52 %<\/td>\n2.65 %<\/td>\n73,668<\/td>\n0.96<\/td>\n4<\/td>\n-0.0676 %<\/td>\n2,535.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1162 %<\/td>\n2,257.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.48 %<\/td>\n2.73 %<\/td>\n92,204<\/td>\n0.09<\/td>\n18<\/td>\n0.2076 %<\/td>\n2,175.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.21 %<\/td>\n5.19 %<\/td>\n107,690<\/td>\n15.06<\/td>\n12<\/td>\n0.2686 %<\/td>\n2,324.4<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.11 %<\/td>\n2.95 %<\/td>\n222,696<\/td>\n2.54<\/td>\n64<\/td>\n0.1312 %<\/td>\n2,340.7<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.03 %<\/td>\n3.83 %<\/td>\n194,091<\/td>\n2.71<\/td>\n46<\/td>\n0.0766 %<\/td>\n2,229.5<\/td>\n<\/tr>\n<\/table>\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
SLF.PR.A<\/td>\nDeemed-Retractible<\/td>\n-1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.31
\nBid-YTW : 6.81 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nDeemed-Retractible<\/td>\n-1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.50
\nBid-YTW : 7.04 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nDeemed-Retractible<\/td>\n-1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.65
\nBid-YTW : 6.66 %<\/td>\n<\/tr>\n
BNA.PR.E<\/td>\nSplitShare<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.45
\nBid-YTW : 7.05 %<\/td>\n<\/tr>\n
FTS.PR.E<\/td>\nOpRet<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-06-01
\nMaturity Price : 25.75
\nEvaluated at bid price : 26.77
\nBid-YTW : 2.16 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nDeemed-Retractible<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.35
\nBid-YTW : 7.07 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-20
\nMaturity Price : 23.16
\nEvaluated at bid price : 25.06
\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-20
\nMaturity Price : 23.01
\nEvaluated at bid price : 24.65
\nBid-YTW : 3.33 %<\/td>\n<\/tr>\n
TCA.PR.X<\/td>\nPerpetual-Premium<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-15
\nMaturity Price : 50.00
\nEvaluated at bid price : 52.93
\nBid-YTW : 2.73 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\n1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.48
\nBid-YTW : 7.07 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-20
\nMaturity Price : 19.29
\nEvaluated at bid price : 19.29
\nBid-YTW : 2.74 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-20
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.53
\nBid-YTW : 4.61 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n1.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-20
\nMaturity Price : 14.37
\nEvaluated at bid price : 14.37
\nBid-YTW : 3.65 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n2.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-20
\nMaturity Price : 14.56
\nEvaluated at bid price : 14.56
\nBid-YTW : 3.60 %<\/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.D<\/td>\nFixedReset<\/td>\n143,950<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-20
\nMaturity Price : 23.18
\nEvaluated at bid price : 25.25
\nBid-YTW : 3.53 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset<\/td>\n80,900<\/td>\nRecent pre-Christmas special<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.75
\nBid-YTW : 4.94 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n74,153<\/td>\nNesbitt bought three blocks from RBC, of 14,900 shares, 10,100 and 34,600, all at 25.05.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.01
\nBid-YTW : 3.11 %<\/td>\n<\/tr>\n
RY.PR.P<\/td>\nFixedReset<\/td>\n55,368<\/td>\nTD Crossed 50,000 at 26.99.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.90
\nBid-YTW : 2.86 %<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nDeemed-Retractible<\/td>\n51,826<\/td>\nCalled for redemption<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-01-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.20
\nBid-YTW : 3.20 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n33,077<\/td>\nRBC crossed 20,000 at 25.45.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-20
\nMaturity Price : 23.36
\nEvaluated at bid price : 25.44
\nBid-YTW : 3.00 %<\/td>\n<\/tr>\n
There were 29 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
HSB.PR.C<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.13 – 25.75
\nSpot Rate : 0.6200
\nAverage : 0.4061<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.13
\nBid-YTW : 4.84 %<\/td>\n<\/tr>\n

FTS.PR.E<\/td>\nOpRet<\/td>\nQuote: 26.77 – 27.25
\nSpot Rate : 0.4800
\nAverage : 0.3378<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-06-01
\nMaturity Price : 25.75
\nEvaluated at bid price : 26.77
\nBid-YTW : 2.16 %<\/td>\n<\/tr>\n

CIU.PR.B<\/td>\nFixedReset<\/td>\nQuote: 27.26 – 27.80
\nSpot Rate : 0.5400
\nAverage : 0.4453<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.26
\nBid-YTW : 3.02 %<\/td>\n<\/tr>\n

MFC.PR.B<\/td>\nDeemed-Retractible<\/td>\nQuote: 20.43 – 20.77
\nSpot Rate : 0.3400
\nAverage : 0.2542<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.43
\nBid-YTW : 7.28 %<\/td>\n<\/tr>\n

BAM.PR.G<\/td>\nFixedFloater<\/td>\nQuote: 19.53 – 19.89
\nSpot Rate : 0.3600
\nAverage : 0.2753<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-20
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.53
\nBid-YTW : 4.61 %<\/td>\n<\/tr>\n

MFC.PR.F<\/td>\nFixedReset<\/td>\nQuote: 23.15 – 23.46
\nSpot Rate : 0.3100
\nAverage : 0.2340<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.15
\nBid-YTW : 4.30 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today, folks! It was a good day for the Canadian preferred share market, with PerpetualDiscounts winning 27bp, FixedResets gaining 13bp and DeemedRetractibles up 8bp. Volatility was high, with SLF issues getting whacked – …<\/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-17416","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17416","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=17416"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17416\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=17416"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=17416"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=17416"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}