{"id":17615,"date":"2012-01-18T22:55:30","date_gmt":"2012-01-19T02:55:30","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=17615"},"modified":"2012-01-18T22:55:30","modified_gmt":"2012-01-19T02:55:30","slug":"january-18-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=17615","title":{"rendered":"January 18, 2012"},"content":{"rendered":"

Nothing happened today.<\/p>\n

I have an engagement tomorrow evening, so tomorrow’s report will be very, very late, by which I mean “maybe Friday”.<\/p>\n

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts winning 33bp, FixedResets up 1bp and DeemedRetractibles down 4bp. Volatility was muted. Volume was above average.<\/p>\n

PerpetualDiscounts now yield 4.91% (lower than the Current Yield because some of the issues are now actually Premiums … with so few issues left in this class, special cases are a problem) equivalent to 6.38% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield about 4.55%, so the pre-tax interest-equivalent spread (in this context also referred to as the Seniority Spread) is now about 185bp, an increase from the 170bp reported January 11<\/a>.<\/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>\n1.1498 %<\/td>\n2,343.7<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.70 %<\/td>\n4.07 %<\/td>\n42,114<\/td>\n17.28<\/td>\n1<\/td>\n0.4975 %<\/td>\n3,315.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.84 %<\/td>\n3.01 %<\/td>\n68,109<\/td>\n19.71<\/td>\n3<\/td>\n1.1498 %<\/td>\n2,530.5<\/td>\n<\/tr>\n
OpRet<\/td>\n4.95 %<\/td>\n1.49 %<\/td>\n65,204<\/td>\n1.32<\/td>\n7<\/td>\n0.0989 %<\/td>\n2,494.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.36 %<\/td>\n0.69 %<\/td>\n67,709<\/td>\n0.89<\/td>\n4<\/td>\n0.0607 %<\/td>\n2,612.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0989 %<\/td>\n2,281.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.41 %<\/td>\n-7.28 %<\/td>\n90,350<\/td>\n0.09<\/td>\n23<\/td>\n-0.0228 %<\/td>\n2,209.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.04 %<\/td>\n4.91 %<\/td>\n150,423<\/td>\n15.56<\/td>\n7<\/td>\n0.3321 %<\/td>\n2,404.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.03 %<\/td>\n2.77 %<\/td>\n203,819<\/td>\n2.36<\/td>\n65<\/td>\n0.0053 %<\/td>\n2,379.4<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.91 %<\/td>\n3.53 %<\/td>\n189,012<\/td>\n1.71<\/td>\n46<\/td>\n-0.0373 %<\/td>\n2,295.4<\/td>\n<\/tr>\n<\/table>\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
FTS.PR.H<\/td>\nFixedReset<\/td>\n-1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-18
\nMaturity Price : 23.49
\nEvaluated at bid price : 25.52
\nBid-YTW : 2.73 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-18
\nMaturity Price : 17.49
\nEvaluated at bid price : 17.49
\nBid-YTW : 3.02 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.00
\nBid-YTW : 3.80 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n2.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-18
\nMaturity Price : 20.40
\nEvaluated at bid price : 20.40
\nBid-YTW : 2.59 %<\/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.F<\/td>\nFixedReset<\/td>\n1,146,325<\/td>\nNew issue settled today<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-18
\nMaturity Price : 23.14
\nEvaluated at bid price : 25.12
\nBid-YTW : 3.69 %<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nDeemed-Retractible<\/td>\n139,353<\/td>\nCalled for redemption<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-01-31
\nMaturity Price : 25.75
\nEvaluated at bid price : 25.98
\nBid-YTW : 3.53 %<\/td>\n<\/tr>\n
ENB.PR.D<\/td>\nFixedReset<\/td>\n136,770<\/td>\nScotia sold three blocks, of 12,000 shares, 12,800 and 14,500, to Nesbitt, all at 25.37.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-18
\nMaturity Price : 23.22
\nEvaluated at bid price : 25.35
\nBid-YTW : 3.57 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset<\/td>\n111,593<\/td>\nRBC crossed 103,000 at 25.79.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.75
\nBid-YTW : 3.57 %<\/td>\n<\/tr>\n
BMO.PR.P<\/td>\nFixedReset<\/td>\n108,068<\/td>\nRBC crossed 100,500 at 27.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.04
\nBid-YTW : 2.92 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset<\/td>\n106,439<\/td>\nRBC crossed blocks of 54,400 and 40.700, both at 25.99.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-18
\nMaturity Price : 23.49
\nEvaluated at bid price : 25.80
\nBid-YTW : 2.85 %<\/td>\n<\/tr>\n
There were 35 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.F<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.10 – 25.40
\nSpot Rate : 0.3000
\nAverage : 0.1849<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-02-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.10
\nBid-YTW : -2.05 %<\/td>\n<\/tr>\n

PWF.PR.A<\/td>\nFloater<\/td>\nQuote: 20.40 – 21.17
\nSpot Rate : 0.7700
\nAverage : 0.6795<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-18
\nMaturity Price : 20.40
\nEvaluated at bid price : 20.40
\nBid-YTW : 2.59 %<\/td>\n<\/tr>\n

FTS.PR.H<\/td>\nFixedReset<\/td>\nQuote: 25.52 – 25.85
\nSpot Rate : 0.3300
\nAverage : 0.2533<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-18
\nMaturity Price : 23.49
\nEvaluated at bid price : 25.52
\nBid-YTW : 2.73 %<\/td>\n<\/tr>\n

FTS.PR.C<\/td>\nOpRet<\/td>\nQuote: 25.90 – 26.47
\nSpot Rate : 0.5700
\nAverage : 0.5013<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-02-17
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.90
\nBid-YTW : -5.07 %<\/td>\n<\/tr>\n

HSB.PR.C<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.60 – 25.80
\nSpot Rate : 0.2000
\nAverage : 0.1353<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.60
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n

TRP.PR.C<\/td>\nFixedReset<\/td>\nQuote: 25.58 – 25.82
\nSpot Rate : 0.2400
\nAverage : 0.1754<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-18
\nMaturity Price : 23.43
\nEvaluated at bid price : 25.58
\nBid-YTW : 2.84 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. I have an engagement tomorrow evening, so tomorrow’s report will be very, very late, by which I mean “maybe Friday”. It was a mixed day for the Canadian preferred share market, with …<\/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-17615","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17615","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=17615"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17615\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=17615"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=17615"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=17615"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}