{"id":17502,"date":"2012-01-03T23:35:14","date_gmt":"2012-01-04T03:35:14","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=17502"},"modified":"2012-01-03T23:35:14","modified_gmt":"2012-01-04T03:35:14","slug":"january-3-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=17502","title":{"rendered":"January 3, 2012"},"content":{"rendered":"<p>Nothing happened today.<\/p>\n<p>It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts roaring ahead 34bp, while FixedResets were down 4bp and DeemedRetractibles gained 8bp. Volatility was quite good, with Floaters doing particularly well. Volume continued to be abyssmally low.<\/p>\n<table border='1'>\n<tr>\n<td colspan='8'><strong>HIMIPref&trade; Preferred Indices<br \/>These values reflect the December 2008 revision of the HIMIPref&trade; Indices<\/strong><br \/>Values are provisional and are finalized monthly<\/td>\n<\/tr>\n<tr>\n<td>Index<\/td>\n<td>Mean<br \/>Current<br \/>Yield<br \/>(at bid)<\/td>\n<td>Median<br \/>YTW<\/td>\n<td>Median<br \/>Average<br \/>Trading<br \/>Value<\/td>\n<td>Median<br \/>Mod Dur<br \/>(YTW)<\/td>\n<td>Issues<\/td>\n<td>Day&#8217;s Perf.<\/td>\n<td>Index Value<\/td>\n<\/tr>\n<tr>\n<td>Ratchet<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>2.5051 %<\/td>\n<td>2,145.7<\/td>\n<\/tr>\n<tr>\n<td>FixedFloater<\/td>\n<td>4.85 %<\/td>\n<td>4.53 %<\/td>\n<td>38,039<\/td>\n<td>17.36<\/td>\n<td>1<\/td>\n<td>0.5128 %<\/td>\n<td>3,179.4<\/td>\n<\/tr>\n<tr>\n<td>Floater<\/td>\n<td>3.10 %<\/td>\n<td>3.37 %<\/td>\n<td>67,834<\/td>\n<td>18.85<\/td>\n<td>3<\/td>\n<td>2.5051 %<\/td>\n<td>2,316.8<\/td>\n<\/tr>\n<tr>\n<td>OpRet<\/td>\n<td>5.02 %<\/td>\n<td>3.87 %<\/td>\n<td>66,519<\/td>\n<td>1.36<\/td>\n<td>7<\/td>\n<td>-0.3713 %<\/td>\n<td>2,461.4<\/td>\n<\/tr>\n<tr>\n<td>SplitShare<\/td>\n<td>5.44 %<\/td>\n<td>1.71 %<\/td>\n<td>70,787<\/td>\n<td>0.93<\/td>\n<td>4<\/td>\n<td>-0.0821 %<\/td>\n<td>2,570.7<\/td>\n<\/tr>\n<tr>\n<td>Interest-Bearing<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>-0.3713 %<\/td>\n<td>2,250.7<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Premium<\/td>\n<td>5.43 %<\/td>\n<td>-3.89 %<\/td>\n<td>88,898<\/td>\n<td>0.09<\/td>\n<td>23<\/td>\n<td>0.2054 %<\/td>\n<td>2,194.6<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Discount<\/td>\n<td>5.18 %<\/td>\n<td>5.12 %<\/td>\n<td>137,518<\/td>\n<td>15.27<\/td>\n<td>7<\/td>\n<td>0.3412 %<\/td>\n<td>2,336.0<\/td>\n<\/tr>\n<tr>\n<td>FixedReset<\/td>\n<td>5.08 %<\/td>\n<td>2.91 %<\/td>\n<td>203,530<\/td>\n<td>2.39<\/td>\n<td>64<\/td>\n<td>-0.0424 %<\/td>\n<td>2,358.9<\/td>\n<\/tr>\n<tr>\n<td>Deemed-Retractible<\/td>\n<td>4.99 %<\/td>\n<td>3.55 %<\/td>\n<td>184,520<\/td>\n<td>1.89<\/td>\n<td>46<\/td>\n<td>0.0785 %<\/td>\n<td>2,256.4<\/td>\n<\/tr>\n<\/table>\n<table border='1'>\n<tr>\n<td colspan='4'><strong>Performance Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Change<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.I<\/td>\n<td>OpRet<\/td>\n<td>-2.34 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2012-06-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.02<br \/>\nBid-YTW : 5.44 %<\/td>\n<\/tr>\n<tr>\n<td>CM.PR.M<\/td>\n<td>FixedReset<\/td>\n<td>-1.37 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-07-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 27.27<br \/>\nBid-YTW : 2.66 %<\/td>\n<\/tr>\n<tr>\n<td>GWO.PR.N<\/td>\n<td>FixedReset<\/td>\n<td>-1.32 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 23.16<br \/>\nBid-YTW : 3.94 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.C<\/td>\n<td>Deemed-Retractible<\/td>\n<td>-1.15 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 21.41<br \/>\nBid-YTW : 6.53 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.P<\/td>\n<td>FixedReset<\/td>\n<td>-1.06 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-09-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 27.07<br \/>\nBid-YTW : 3.84 %<\/td>\n<\/tr>\n<tr>\n<td>SLF.PR.B<\/td>\n<td>Deemed-Retractible<\/td>\n<td>1.13 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 22.45<br \/>\nBid-YTW : 6.22 %<\/td>\n<\/tr>\n<tr>\n<td>PWF.PR.K<\/td>\n<td>Perpetual-Discount<\/td>\n<td>1.15 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2042-01-03<br \/>\nMaturity Price  : 24.22<br \/>\nEvaluated at bid price : 24.70<br \/>\nBid-YTW : 5.07 %<\/td>\n<\/tr>\n<tr>\n<td>SLF.PR.I<\/td>\n<td>FixedReset<\/td>\n<td>1.46 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-12-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 24.35<br \/>\nBid-YTW : 4.53 %<\/td>\n<\/tr>\n<tr>\n<td>PWF.PR.A<\/td>\n<td>Floater<\/td>\n<td>1.80 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2042-01-03<br \/>\nMaturity Price  : 19.75<br \/>\nEvaluated at bid price : 19.75<br \/>\nBid-YTW : 2.68 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.B<\/td>\n<td>Floater<\/td>\n<td>2.89 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2042-01-03<br \/>\nMaturity Price  : 15.64<br \/>\nEvaluated at bid price : 15.64<br \/>\nBid-YTW : 3.37 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.K<\/td>\n<td>Floater<\/td>\n<td>3.02 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2042-01-03<br \/>\nMaturity Price  : 15.35<br \/>\nEvaluated at bid price : 15.35<br \/>\nBid-YTW : 3.44 %<\/td>\n<\/tr>\n<\/table>\n<table border='1'>\n<tr>\n<td colspan='4'><strong>Volume Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Shares<br \/>Traded<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>PWF.PR.I<\/td>\n<td>Perpetual-Premium<\/td>\n<td>75,403<\/td>\n<td>Desjardins crossed 25,000 at 25.95; RBC crossed 50,000 at the same price.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2012-02-02<br \/>\nMaturity Price  : 25.25<br \/>\nEvaluated at bid price : 25.94<br \/>\nBid-YTW : -14.17 %<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.O<\/td>\n<td>OpRet<\/td>\n<td>52,156<\/td>\n<td>RBC crossed 50,000 at 25.50.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Option Certainty<br \/>\nMaturity Date\t: 2013-06-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.37<br \/>\nBid-YTW : 4.02 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.A<\/td>\n<td>Deemed-Retractible<\/td>\n<td>36,852<\/td>\n<td>Scotia crossed 10,000 at 25.82; RBC crossed 24,400 at 25.85.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2015-05-24<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.90<br \/>\nBid-YTW : 3.48 %<\/td>\n<\/tr>\n<tr>\n<td>SLF.PR.H<\/td>\n<td>FixedReset<\/td>\n<td>23,091<\/td>\n<td>Nesbitt crossed 10,000 at 22.60.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 22.51<br \/>\nBid-YTW : 4.98 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.G<\/td>\n<td>FixedReset<\/td>\n<td>23,025<\/td>\n<td><a href=\"http:\/\/www.prefblog.com\/?p=17307\">Recent fire sale<\/a>.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 23.96<br \/>\nBid-YTW : 4.89 %<\/td>\n<\/tr>\n<tr>\n<td>SLF.PR.I<\/td>\n<td>FixedReset<\/td>\n<td>17,060<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-12-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 24.35<br \/>\nBid-YTW : 4.53 %<\/td>\n<\/tr>\n<tr>\n<td colspan='4'>There were 7 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n<table border='1'>\n<tr>\n<td colspan='3'><strong>Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Quote Data and Yield Notes<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.I<\/td>\n<td>OpRet<\/td>\n<td>Quote: 25.02 &#8211; 26.00<br \/>\nSpot Rate  :  0.9800<br \/>\nAverage  :  0.7092<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2012-06-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.02<br \/>\nBid-YTW : 5.44 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.X<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 27.41 &#8211; 28.08<br \/>\nSpot Rate  :  0.6700<br \/>\nAverage  :  0.4060<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-08-24<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 27.41<br \/>\nBid-YTW : 2.74 %<\/td>\n<\/tr>\n<tr>\n<td>W.PR.J<\/td>\n<td>Perpetual-Premium<\/td>\n<td>Quote: 25.22 &#8211; 25.78<br \/>\nSpot Rate  :  0.5600<br \/>\nAverage  :  0.4364<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2012-02-02<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.22<br \/>\nBid-YTW : -7.18 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.C<\/td>\n<td>Deemed-Retractible<\/td>\n<td>Quote: 21.41 &#8211; 21.85<br \/>\nSpot Rate  :  0.4400<br \/>\nAverage  :  0.3177<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 21.41<br \/>\nBid-YTW : 6.53 %<\/td>\n<\/tr>\n<tr>\n<td>NA.PR.P<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 27.10 &#8211; 27.48<br \/>\nSpot Rate  :  0.3800<br \/>\nAverage  :  0.2715<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-02-15<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 27.10<br \/>\nBid-YTW : 2.94 %<\/td>\n<\/tr>\n<tr>\n<td>BMO.PR.H<\/td>\n<td>Deemed-Retractible<\/td>\n<td>Quote: 25.92 &#8211; 26.23<br \/>\nSpot Rate  :  0.3100<br \/>\nAverage  :  0.2035<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2013-02-25<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.92<br \/>\nBid-YTW : 2.53 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"<p>Nothing happened today. It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts roaring ahead 34bp, while FixedResets were down 4bp and DeemedRetractibles gained 8bp. Volatility was quite good, with Floaters doing &hellip;<\/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-17502","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17502","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=17502"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17502\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=17502"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=17502"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=17502"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}