{"id":18027,"date":"2012-03-05T23:18:51","date_gmt":"2012-03-06T03:18:51","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=18027"},"modified":"2012-03-05T23:18:51","modified_gmt":"2012-03-06T03:18:51","slug":"march-5-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=18027","title":{"rendered":"March 5, 2012"},"content":{"rendered":"

I was a bit short of time today, folks!<\/p>\n

It was another day of little direction for the Canadian preferred share market, with PerpetualPremiumsu 3bp, FixedResets down 1bp and DeemedRetractibles gaining 3bp. The Performance Table was surprisingly normal in its length, given the small overall moves, and very skewed to the upside, which was comprised entirely of insurance issues. Volume was very low.<\/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-0.4202 %<\/td>\n2,372.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.57 %<\/td>\n3.95 %<\/td>\n39,461<\/td>\n17.37<\/td>\n1<\/td>\n-0.8115 %<\/td>\n3,410.9<\/td>\n<\/tr>\n
Floater<\/td>\n3.02 %<\/td>\n3.05 %<\/td>\n50,621<\/td>\n19.54<\/td>\n3<\/td>\n-0.4202 %<\/td>\n2,561.5<\/td>\n<\/tr>\n
OpRet<\/td>\n4.87 %<\/td>\n2.29 %<\/td>\n53,132<\/td>\n1.27<\/td>\n6<\/td>\n0.0191 %<\/td>\n2,514.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.29 %<\/td>\n-1.78 %<\/td>\n87,792<\/td>\n0.78<\/td>\n4<\/td>\n-0.2438 %<\/td>\n2,673.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0191 %<\/td>\n2,299.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.39 %<\/td>\n-1.60 %<\/td>\n112,167<\/td>\n0.15<\/td>\n25<\/td>\n0.0303 %<\/td>\n2,218.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.06 %<\/td>\n5.10 %<\/td>\n189,832<\/td>\n15.25<\/td>\n7<\/td>\n-0.0526 %<\/td>\n2,434.2<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.04 %<\/td>\n2.83 %<\/td>\n210,212<\/td>\n2.25<\/td>\n66<\/td>\n-0.0135 %<\/td>\n2,388.8<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.92 %<\/td>\n3.76 %<\/td>\n234,007<\/td>\n2.82<\/td>\n46<\/td>\n0.0275 %<\/td>\n2,316.3<\/td>\n<\/tr>\n<\/table>\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
BAM.PR.T<\/td>\nFixedReset<\/td>\n-1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-03-05
\nMaturity Price : 23.23
\nEvaluated at bid price : 25.21
\nBid-YTW : 3.78 %<\/td>\n<\/tr>\n
IAG.PR.F<\/td>\nDeemed-Retractible<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-03-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.30
\nBid-YTW : 5.15 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nDeemed-Retractible<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.50
\nBid-YTW : 4.74 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.65
\nBid-YTW : 3.49 %<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\n1.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.75
\nBid-YTW : 5.24 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n1.93 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.25
\nBid-YTW : 4.08 %<\/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
BAM.PR.H<\/td>\nOpRet<\/td>\n47,360<\/td>\nCalled for redemption<\/a>.
\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2012-04-04
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.32
\nBid-YTW : 2.47 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n44,107<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-03-05
\nMaturity Price : 23.23
\nEvaluated at bid price : 25.21
\nBid-YTW : 3.78 %<\/td>\n<\/tr>\n
POW.PR.G<\/td>\nPerpetual-Premium<\/td>\n37,906<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.83
\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n
PWF.PR.R<\/td>\nPerpetual-Premium<\/td>\n34,955<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.76
\nBid-YTW : 5.14 %<\/td>\n<\/tr>\n
TD.PR.G<\/td>\nFixedReset<\/td>\n31,980<\/td>\nRBC crossed 23,200 at 27.05.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.05
\nBid-YTW : 2.60 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nDeemed-Retractible<\/td>\n28,967<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.75
\nBid-YTW : 3.73 %<\/td>\n<\/tr>\n
There were 18 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
IGM.PR.B<\/td>\nPerpetual-Premium<\/td>\nQuote: 26.90 – 27.32
\nSpot Rate : 0.4200
\nAverage : 0.3300<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.90
\nBid-YTW : 4.58 %<\/td>\n<\/tr>\n

TD.PR.P<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.55 – 26.80
\nSpot Rate : 0.2500
\nAverage : 0.1707<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-11-01
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.55
\nBid-YTW : 2.52 %<\/td>\n<\/tr>\n

FTS.PR.G<\/td>\nFixedReset<\/td>\nQuote: 25.63 – 25.94
\nSpot Rate : 0.3100
\nAverage : 0.2309<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-03-05
\nMaturity Price : 23.95
\nEvaluated at bid price : 25.63
\nBid-YTW : 3.42 %<\/td>\n<\/tr>\n

MFC.PR.G<\/td>\nFixedReset<\/td>\nQuote: 25.05 – 25.25
\nSpot Rate : 0.2000
\nAverage : 0.1220<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.05
\nBid-YTW : 4.32 %<\/td>\n<\/tr>\n

ENB.PR.B<\/td>\nFixedReset<\/td>\nQuote: 25.42 – 25.69
\nSpot Rate : 0.2700
\nAverage : 0.1921<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-03-05
\nMaturity Price : 23.28
\nEvaluated at bid price : 25.42
\nBid-YTW : 3.63 %<\/td>\n<\/tr>\n

TD.PR.O<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.85 – 26.05
\nSpot Rate : 0.2000
\nAverage : 0.1242<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-10-31
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.85
\nBid-YTW : 3.32 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

I was a bit short of time today, folks! It was another day of little direction for the Canadian preferred share market, with PerpetualPremiumsu 3bp, FixedResets down 1bp and DeemedRetractibles gaining 3bp. The Performance Table …<\/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-18027","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/18027","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=18027"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/18027\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=18027"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=18027"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=18027"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}