{"id":17925,"date":"2012-02-22T23:01:00","date_gmt":"2012-02-23T03:01:00","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=17925"},"modified":"2012-02-22T23:01:00","modified_gmt":"2012-02-23T03:01:00","slug":"february-22-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=17925","title":{"rendered":"February 22, 2012"},"content":{"rendered":"

A good day for the Canadian preferred share market, with PerpetualPremiums up 10bp, FixedResets winning 22bp and DeemedRetractibles gaining 16bp. PerpetualDiscounts rocketted up 94bp! Good volatility, highly skewed to the upside. Volume was well above average.<\/p>\n

PerpetualDiscounts now yield 5.02%, equivalent to 6.53% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield about 4.6% (maybe just a hair lower) so the pre-tax interest-equivalent spread (which is in this context the Seniority Spread) is now about 195bp, unchanged from the figure reported February 15<\/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>\n0.1598 %<\/td>\n2,391.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.60 %<\/td>\n3.98 %<\/td>\n38,310<\/td>\n17.36<\/td>\n1<\/td>\n0.4866 %<\/td>\n3,389.5<\/td>\n<\/tr>\n
Floater<\/td>\n2.79 %<\/td>\n3.05 %<\/td>\n59,151<\/td>\n19.55<\/td>\n3<\/td>\n0.1598 %<\/td>\n2,581.8<\/td>\n<\/tr>\n
OpRet<\/td>\n4.89 %<\/td>\n-0.69 %<\/td>\n59,191<\/td>\n1.25<\/td>\n6<\/td>\n0.2305 %<\/td>\n2,505.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.28 %<\/td>\n-0.90 %<\/td>\n83,094<\/td>\n0.80<\/td>\n4<\/td>\n0.3603 %<\/td>\n2,674.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2305 %<\/td>\n2,290.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.39 %<\/td>\n3.32 %<\/td>\n113,755<\/td>\n0.87<\/td>\n26<\/td>\n0.0991 %<\/td>\n2,197.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.13 %<\/td>\n5.02 %<\/td>\n200,048<\/td>\n15.38<\/td>\n4<\/td>\n0.9423 %<\/td>\n2,411.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.05 %<\/td>\n2.84 %<\/td>\n212,937<\/td>\n2.33<\/td>\n66<\/td>\n0.2204 %<\/td>\n2,379.8<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.96 %<\/td>\n3.93 %<\/td>\n241,871<\/td>\n2.96<\/td>\n46<\/td>\n0.1557 %<\/td>\n2,289.2<\/td>\n<\/tr>\n<\/table>\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
FTS.PR.G<\/td>\nFixedReset<\/td>\n-1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-22
\nMaturity Price : 23.87
\nEvaluated at bid price : 25.42
\nBid-YTW : 3.52 %<\/td>\n<\/tr>\n
SLF.PR.I<\/td>\nFixedReset<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.96
\nBid-YTW : 4.39 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nDeemed-Retractible<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.51
\nBid-YTW : 4.49 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.11
\nBid-YTW : 3.89 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-22
\nMaturity Price : 17.26
\nEvaluated at bid price : 17.26
\nBid-YTW : 3.07 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-22
\nMaturity Price : 23.46
\nEvaluated at bid price : 25.65
\nBid-YTW : 3.05 %<\/td>\n<\/tr>\n
BNA.PR.D<\/td>\nSplitShare<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-03-23
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.56
\nBid-YTW : -21.04 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-22
\nMaturity Price : 23.29
\nEvaluated at bid price : 25.42
\nBid-YTW : 3.77 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\n1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.11
\nBid-YTW : 5.48 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-22
\nMaturity Price : 23.65
\nEvaluated at bid price : 23.93
\nBid-YTW : 5.02 %<\/td>\n<\/tr>\n
IGM.PR.B<\/td>\nPerpetual-Premium<\/td>\n1.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.80
\nBid-YTW : 4.67 %<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\n2.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-22
\nMaturity Price : 23.59
\nEvaluated at bid price : 24.07
\nBid-YTW : 4.98 %<\/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
MFC.PR.H<\/td>\nFixedReset<\/td>\n649,139<\/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 : 25.00
\nBid-YTW : 4.61 %<\/td>\n<\/tr>\n
GWO.PR.P<\/td>\nDeemed-Retractible<\/td>\n648,620<\/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 : 25.01
\nBid-YTW : 5.43 %<\/td>\n<\/tr>\n
MFC.PR.D<\/td>\nFixedReset<\/td>\n263,195<\/td>\nNesbitt crossed blocks of 148,500 and 100,000, both at 26.69.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.70
\nBid-YTW : 3.35 %<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nDeemed-Retractible<\/td>\n78,998<\/td>\nDesjardins crossed 35,000 at 25.55.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.52
\nBid-YTW : 3.95 %<\/td>\n<\/tr>\n
ENB.PR.F<\/td>\nFixedReset<\/td>\n67,121<\/td>\nDesjardins crossed 45,000 at 25.38.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-22
\nMaturity Price : 23.22
\nEvaluated at bid price : 25.39
\nBid-YTW : 3.79 %<\/td>\n<\/tr>\n
RY.PR.F<\/td>\nDeemed-Retractible<\/td>\n57,687<\/td>\nDesjardins crossed 20,000 at 25.55.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-05-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.50
\nBid-YTW : 3.95 %<\/td>\n<\/tr>\n
There were 39 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
BMO.PR.H<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.06 – 26.22
\nSpot Rate : 0.1600
\nAverage : 0.0918<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.06
\nBid-YTW : 1.03 %<\/td>\n<\/tr>\n

BAM.PR.Z<\/td>\nFixedReset<\/td>\nQuote: 25.62 – 25.90
\nSpot Rate : 0.2800
\nAverage : 0.2189<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-22
\nMaturity Price : 23.30
\nEvaluated at bid price : 25.62
\nBid-YTW : 4.32 %<\/td>\n<\/tr>\n

BAM.PR.O<\/td>\nOpRet<\/td>\nQuote: 25.81 – 26.19
\nSpot Rate : 0.3800
\nAverage : 0.3218<\/p>\n

YTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.81
\nBid-YTW : 3.10 %<\/td>\n<\/tr>\n

MFC.PR.A<\/td>\nOpRet<\/td>\nQuote: 25.35 – 25.59
\nSpot Rate : 0.2400
\nAverage : 0.1866<\/p>\n

YTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2015-12-18
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.35
\nBid-YTW : 3.64 %<\/td>\n<\/tr>\n

TCA.PR.X<\/td>\nPerpetual-Premium<\/td>\nQuote: 52.00 – 52.29
\nSpot Rate : 0.2900
\nAverage : 0.2451<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-15
\nMaturity Price : 50.00
\nEvaluated at bid price : 52.00
\nBid-YTW : 3.32 %<\/td>\n<\/tr>\n

NA.PR.O<\/td>\nFixedReset<\/td>\nQuote: 27.35 – 27.57
\nSpot Rate : 0.2200
\nAverage : 0.1780<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.35
\nBid-YTW : 1.83 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

A good day for the Canadian preferred share market, with PerpetualPremiums up 10bp, FixedResets winning 22bp and DeemedRetractibles gaining 16bp. PerpetualDiscounts rocketted up 94bp! Good volatility, highly skewed to the upside. Volume was well above …<\/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-17925","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17925","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=17925"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17925\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=17925"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=17925"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=17925"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}