{"id":17727,"date":"2012-02-02T21:55:38","date_gmt":"2012-02-03T01:55:38","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=17727"},"modified":"2012-02-02T21:55:38","modified_gmt":"2012-02-03T01:55:38","slug":"february-2-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=17727","title":{"rendered":"February 2, 2012"},"content":{"rendered":"

Nothing happened today.<\/p>\n

It was a good day for the Canadian preferred share market, helped along by my decision to stop commenting daily on the four issue PerpetualDiscount index. FixedResets were up 14bp and DeemedRetractibles wone 32bp. Volatility was average. Volume was huge.<\/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-0.0702 %<\/td>\n2,414.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.70 %<\/td>\n4.07 %<\/td>\n39,986<\/td>\n17.24<\/td>\n1<\/td>\n-0.4926 %<\/td>\n3,315.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.77 %<\/td>\n2.98 %<\/td>\n62,755<\/td>\n19.77<\/td>\n3<\/td>\n-0.0702 %<\/td>\n2,607.0<\/td>\n<\/tr>\n
OpRet<\/td>\n4.81 %<\/td>\n-1.03 %<\/td>\n68,171<\/td>\n1.29<\/td>\n6<\/td>\n0.0378 %<\/td>\n2,528.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.30 %<\/td>\n-0.84 %<\/td>\n78,308<\/td>\n0.85<\/td>\n4<\/td>\n-0.0100 %<\/td>\n2,639.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0378 %<\/td>\n2,311.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.31 %<\/td>\n-3.51 %<\/td>\n109,144<\/td>\n0.09<\/td>\n26<\/td>\n0.1947 %<\/td>\n2,226.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.05 %<\/td>\n4.92 %<\/td>\n189,124<\/td>\n15.59<\/td>\n4<\/td>\n-0.1549 %<\/td>\n2,446.0<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.01 %<\/td>\n2.63 %<\/td>\n212,461<\/td>\n2.32<\/td>\n65<\/td>\n0.1389 %<\/td>\n2,395.9<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.87 %<\/td>\n2.01 %<\/td>\n222,141<\/td>\n1.20<\/td>\n45<\/td>\n0.3187 %<\/td>\n2,327.8<\/td>\n<\/tr>\n<\/table>\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
POW.PR.C<\/td>\nPerpetual-Premium<\/td>\n-1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-03-03
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.18
\nBid-YTW : 0.51 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-02
\nMaturity Price : 23.67
\nEvaluated at bid price : 26.70
\nBid-YTW : 3.53 %<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetual-Premium<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-10-31
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.70
\nBid-YTW : 3.83 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Premium<\/td>\n1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-03-03
\nMaturity Price : 25.75
\nEvaluated at bid price : 25.85
\nBid-YTW : 3.05 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nDeemed-Retractible<\/td>\n1.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-03-03
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.95
\nBid-YTW : -10.36 %<\/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
BNS.PR.Z<\/td>\nFixedReset<\/td>\n654,812<\/td>\nHoly smokes, I’ll be here all night … TD sold blocks of 28,200 and 29,400 to Nesbitt, then crossed 72,400, all at 25.10. Desjardins crossed two blocks of 120,000 each at the same price. RBC crossed 16,900 and TD crossed 35,000, all at 25.10. Desjardins crossed 100,000 at 25.15. TD crossed 47,700 at 25.15, then 45,000 at 25.10.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.12
\nBid-YTW : 3.04 %<\/td>\n<\/tr>\n
CM.PR.L<\/td>\nFixedReset<\/td>\n88,498<\/td>\nScotia crossed blocks of 19,700 and 25,000, both at 27.20. RBC crossed 18,200 and Desjardins crossed 13,000, both at 27.20.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.25
\nBid-YTW : 2.39 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nDeemed-Retractible<\/td>\n59,174<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.19
\nBid-YTW : 5.54 %<\/td>\n<\/tr>\n
ENB.PR.F<\/td>\nFixedReset<\/td>\n58,350<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-02
\nMaturity Price : 23.22
\nEvaluated at bid price : 25.40
\nBid-YTW : 3.65 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset<\/td>\n49,197<\/td>\nRBC crossed 34,500 at 26.00.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-02
\nMaturity Price : 23.52
\nEvaluated at bid price : 25.90
\nBid-YTW : 2.85 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset<\/td>\n46,218<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.16
\nBid-YTW : 4.32 %<\/td>\n<\/tr>\n
There were 85 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
POW.PR.C<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.18 – 25.68
\nSpot Rate : 0.5000
\nAverage : 0.3093<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-03-03
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.18
\nBid-YTW : 0.51 %<\/td>\n<\/tr>\n

CM.PR.K<\/td>\nFixedReset<\/td>\nQuote: 26.76 – 27.20
\nSpot Rate : 0.4400
\nAverage : 0.2677<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.76
\nBid-YTW : 2.45 %<\/td>\n<\/tr>\n

ENB.PR.B<\/td>\nFixedReset<\/td>\nQuote: 25.91 – 26.30
\nSpot Rate : 0.3900
\nAverage : 0.2355<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-02
\nMaturity Price : 23.41
\nEvaluated at bid price : 25.91
\nBid-YTW : 3.53 %<\/td>\n<\/tr>\n

PWF.PR.F<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.51 – 25.89
\nSpot Rate : 0.3800
\nAverage : 0.2304<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-03-03
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.51
\nBid-YTW : -18.28 %<\/td>\n<\/tr>\n

RY.PR.I<\/td>\nFixedReset<\/td>\nQuote: 26.20 – 26.52
\nSpot Rate : 0.3200
\nAverage : 0.1883<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.20
\nBid-YTW : 2.46 %<\/td>\n<\/tr>\n

TRP.PR.C<\/td>\nFixedReset<\/td>\nQuote: 25.88 – 26.24
\nSpot Rate : 0.3600
\nAverage : 0.2285<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-02
\nMaturity Price : 23.52
\nEvaluated at bid price : 25.88
\nBid-YTW : 2.80 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. It was a good day for the Canadian preferred share market, helped along by my decision to stop commenting daily on the four issue PerpetualDiscount index. FixedResets were up 14bp and DeemedRetractibles …<\/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-17727","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17727","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=17727"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17727\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=17727"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=17727"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=17727"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}