{"id":19280,"date":"2012-07-20T13:16:21","date_gmt":"2012-07-20T17:16:21","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=19280"},"modified":"2012-07-20T13:16:21","modified_gmt":"2012-07-20T17:16:21","slug":"july-18-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=19280","title":{"rendered":"July 18, 2012"},"content":{"rendered":"

Better late than never!<\/p>\n

PerpetualDiscounts now yield 4.93%, equivalent to 6.41% at the standard equivalency factor of 1.3x. Long Corporates<\/a> now yield about 4.25%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 215bp, a slight (and perhaps spurious) widening from the 210bp reported July 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>\n0.0202 %<\/td>\n2,289.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0202 %<\/td>\n3,424.4<\/td>\n<\/tr>\n
Floater<\/td>\n3.18 %<\/td>\n3.21 %<\/td>\n74,324<\/td>\n19.22<\/td>\n3<\/td>\n0.0202 %<\/td>\n2,471.7<\/td>\n<\/tr>\n
OpRet<\/td>\n4.78 %<\/td>\n3.10 %<\/td>\n41,068<\/td>\n0.92<\/td>\n5<\/td>\n0.1540 %<\/td>\n2,526.8<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.48 %<\/td>\n4.94 %<\/td>\n73,005<\/td>\n4.70<\/td>\n3<\/td>\n0.1600 %<\/td>\n2,764.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1540 %<\/td>\n2,310.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.35 %<\/td>\n2.65 %<\/td>\n94,945<\/td>\n0.53<\/td>\n28<\/td>\n0.1390 %<\/td>\n2,261.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.97 %<\/td>\n4.93 %<\/td>\n104,821<\/td>\n15.56<\/td>\n6<\/td>\n0.0479 %<\/td>\n2,503.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.99 %<\/td>\n2.92 %<\/td>\n183,938<\/td>\n4.04<\/td>\n71<\/td>\n0.0451 %<\/td>\n2,417.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.97 %<\/td>\n3.67 %<\/td>\n146,111<\/td>\n3.08<\/td>\n46<\/td>\n0.0521 %<\/td>\n2,338.3<\/td>\n<\/tr>\n<\/table>\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
RY.PR.H<\/td>\nDeemed-Retractible<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-05-24
\nMaturity Price : 26.00
\nEvaluated at bid price : 27.34
\nBid-YTW : 0.28 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-18
\nMaturity Price : 23.28
\nEvaluated at bid price : 25.37
\nBid-YTW : 3.15 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-18
\nMaturity Price : 23.66
\nEvaluated at bid price : 26.43
\nBid-YTW : 3.46 %<\/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.M<\/td>\nDeemed-Retractible<\/td>\n831,859<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-07-27
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.76
\nBid-YTW : 3.67 %<\/td>\n<\/tr>\n
GWO.PR.L<\/td>\nDeemed-Retractible<\/td>\n249,772<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.01
\nBid-YTW : 5.00 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n230,652<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-18
\nMaturity Price : 23.54
\nEvaluated at bid price : 25.42
\nBid-YTW : 2.66 %<\/td>\n<\/tr>\n
ENB.PR.N<\/td>\nFixedReset<\/td>\n158,019<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-18
\nMaturity Price : 23.12
\nEvaluated at bid price : 25.08
\nBid-YTW : 3.75 %<\/td>\n<\/tr>\n
IAG.PR.G<\/td>\nFixedReset<\/td>\n130,145<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.33
\nBid-YTW : 4.10 %<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n97,100<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-01-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.25
\nBid-YTW : 5.78 %<\/td>\n<\/tr>\n
There were 26 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
BNS.PR.K<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.61 – 25.84
\nSpot Rate : 0.2300
\nAverage : 0.1415<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-08-17
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.61
\nBid-YTW : -2.10 %<\/td>\n<\/tr>\n

CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\nQuote: 25.25 – 26.00
\nSpot Rate : 0.7500
\nAverage : 0.6622<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-18
\nMaturity Price : 24.95
\nEvaluated at bid price : 25.25
\nBid-YTW : 4.60 %<\/td>\n<\/tr>\n

BNS.PR.O<\/td>\nDeemed-Retractible<\/td>\nQuote: 27.03 – 27.29
\nSpot Rate : 0.2600
\nAverage : 0.1819<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-04-26
\nMaturity Price : 26.00
\nEvaluated at bid price : 27.03
\nBid-YTW : -0.04 %<\/td>\n<\/tr>\n

IAG.PR.E<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.03 – 26.71
\nSpot Rate : 0.6800
\nAverage : 0.6024<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.03
\nBid-YTW : 5.33 %<\/td>\n<\/tr>\n

TD.PR.C<\/td>\nFixedReset<\/td>\nQuote: 26.10 – 26.28
\nSpot Rate : 0.1800
\nAverage : 0.1104<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.10
\nBid-YTW : 2.54 %<\/td>\n<\/tr>\n

CM.PR.M<\/td>\nFixedReset<\/td>\nQuote: 26.87 – 27.10
\nSpot Rate : 0.2300
\nAverage : 0.1643<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.87
\nBid-YTW : 2.62 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Better late than never! PerpetualDiscounts now yield 4.93%, equivalent to 6.41% at the standard equivalency factor of 1.3x. Long Corporates now yield about 4.25%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) …<\/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-19280","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/19280","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=19280"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/19280\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=19280"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=19280"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=19280"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}