{"id":17949,"date":"2012-02-25T01:36:30","date_gmt":"2012-02-25T05:36:30","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=17949"},"modified":"2012-02-25T01:36:30","modified_gmt":"2012-02-25T05:36:30","slug":"february-24-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=17949","title":{"rendered":"February 24, 2012"},"content":{"rendered":"

It was another positive day for the Canadian preferred share market, with PerpetualPremiums up 9bp, FixedResets gaining 9bp and DeemedRetractibles winning 33bp. PerpetualDiscounts – all four of them! – shot up 69bp to decrease the Bozo Spread (Current Yield PerpetualDiscounts less Current Yield FixedResets) to zero again. Not much volatility. Volume was 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>\n-0.0176 %<\/td>\n2,409.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.59 %<\/td>\n3.97 %<\/td>\n38,515<\/td>\n17.37<\/td>\n1<\/td>\n0.2421 %<\/td>\n3,397.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.77 %<\/td>\n3.03 %<\/td>\n56,569<\/td>\n19.59<\/td>\n3<\/td>\n-0.0176 %<\/td>\n2,601.9<\/td>\n<\/tr>\n
OpRet<\/td>\n4.89 %<\/td>\n3.18 %<\/td>\n58,382<\/td>\n1.29<\/td>\n6<\/td>\n-0.2362 %<\/td>\n2,500.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.29 %<\/td>\n-0.91 %<\/td>\n85,054<\/td>\n0.79<\/td>\n4<\/td>\n-0.1991 %<\/td>\n2,673.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2362 %<\/td>\n2,286.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.38 %<\/td>\n0.88 %<\/td>\n111,557<\/td>\n0.18<\/td>\n27<\/td>\n0.0872 %<\/td>\n2,205.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.05 %<\/td>\n4.93 %<\/td>\n199,317<\/td>\n15.51<\/td>\n4<\/td>\n0.6871 %<\/td>\n2,446.2<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.05 %<\/td>\n2.85 %<\/td>\n207,796<\/td>\n2.32<\/td>\n66<\/td>\n0.0945 %<\/td>\n2,380.8<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.94 %<\/td>\n3.82 %<\/td>\n244,017<\/td>\n2.81<\/td>\n46<\/td>\n0.3297 %<\/td>\n2,298.7<\/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.D<\/td>\nPerpetual-Premium<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-24
\nMaturity Price : 24.35
\nEvaluated at bid price : 24.87
\nBid-YTW : 5.06 %<\/td>\n<\/tr>\n
RY.PR.W<\/td>\nPerpetual-Premium<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-03-25
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.75
\nBid-YTW : -6.96 %<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-24
\nMaturity Price : 24.62
\nEvaluated at bid price : 24.86
\nBid-YTW : 5.39 %<\/td>\n<\/tr>\n
GWO.PR.I<\/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 : 23.61
\nBid-YTW : 5.35 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\n1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.75
\nBid-YTW : 5.10 %<\/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
PWF.PR.R<\/td>\nPerpetual-Premium<\/td>\n212,410<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.40
\nBid-YTW : 5.31 %<\/td>\n<\/tr>\n
MFC.PR.H<\/td>\nFixedReset<\/td>\n135,321<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-03-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.10
\nBid-YTW : 4.54 %<\/td>\n<\/tr>\n
MFC.PR.A<\/td>\nOpRet<\/td>\n105,622<\/td>\nDesjardins crossed blocks of 50,000 and 34,000, both at 25.40.
\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2015-12-18
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.43
\nBid-YTW : 3.55 %<\/td>\n<\/tr>\n
GWO.PR.P<\/td>\nDeemed-Retractible<\/td>\n103,101<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.45
\nBid-YTW : 5.20 %<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nDeemed-Retractible<\/td>\n59,237<\/td>\nTD crossed 50,000 at 26.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-04-30
\nMaturity Price : 25.25
\nEvaluated at bid price : 26.00
\nBid-YTW : 3.57 %<\/td>\n<\/tr>\n
RY.PR.L<\/td>\nFixedReset<\/td>\n52,790<\/td>\nDesjardins bought 38,500 from CIBC at 26.30.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.35
\nBid-YTW : 2.83 %<\/td>\n<\/tr>\n
There were 30 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
CIU.PR.A<\/td>\nPerpetual-Premium<\/td>\nQuote: 24.71 – 25.08
\nSpot Rate : 0.3700
\nAverage : 0.2383<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-24
\nMaturity Price : 24.42
\nEvaluated at bid price : 24.71
\nBid-YTW : 4.66 %<\/td>\n<\/tr>\n

GWO.PR.M<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.21 – 26.60
\nSpot Rate : 0.3900
\nAverage : 0.2852<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.21
\nBid-YTW : 5.32 %<\/td>\n<\/tr>\n

BAM.PR.T<\/td>\nFixedReset<\/td>\nQuote: 25.39 – 25.74
\nSpot Rate : 0.3500
\nAverage : 0.2540<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-24
\nMaturity Price : 23.28
\nEvaluated at bid price : 25.39
\nBid-YTW : 3.78 %<\/td>\n<\/tr>\n

SLF.PR.G<\/td>\nFixedReset<\/td>\nQuote: 23.10 – 23.50
\nSpot Rate : 0.4000
\nAverage : 0.3057<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.10
\nBid-YTW : 4.46 %<\/td>\n<\/tr>\n

RY.PR.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.56 – 25.80
\nSpot Rate : 0.2400
\nAverage : 0.1614<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-05-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.56
\nBid-YTW : 3.89 %<\/td>\n<\/tr>\n

BAM.PR.H<\/td>\nOpRet<\/td>\nQuote: 25.27 – 25.45
\nSpot Rate : 0.1800
\nAverage : 0.1180<\/p>\n

YTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2012-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.27
\nBid-YTW : 3.50 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

It was another positive day for the Canadian preferred share market, with PerpetualPremiums up 9bp, FixedResets gaining 9bp and DeemedRetractibles winning 33bp. PerpetualDiscounts – all four of them! – shot up 69bp to decrease the …<\/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-17949","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17949","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=17949"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17949\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=17949"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=17949"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=17949"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}