{"id":19327,"date":"2012-07-25T22:14:03","date_gmt":"2012-07-26T02:14:03","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=19327"},"modified":"2012-07-25T22:14:03","modified_gmt":"2012-07-26T02:14:03","slug":"july-25-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=19327","title":{"rendered":"July 25, 2012"},"content":{"rendered":"

It was a very uneventful day for the Canadian preferred share markets, with PerpetualPremiums gaining 1bp, FixedResets flat and DeemedRetractibles off 1bp. Volatility was almost non-existant. Volume was average.<\/p>\n

PerpetualDiscounts now yield 4.93%, equivalent to 6.41% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield 4.2% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now 220bp, continued very slow widening from the 215bp reported July 18<\/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>\n-0.1414 %<\/td>\n2,283.7<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1414 %<\/td>\n3,416.2<\/td>\n<\/tr>\n
Floater<\/td>\n3.19 %<\/td>\n3.21 %<\/td>\n70,554<\/td>\n19.20<\/td>\n3<\/td>\n-0.1414 %<\/td>\n2,465.8<\/td>\n<\/tr>\n
OpRet<\/td>\n4.77 %<\/td>\n2.78 %<\/td>\n38,498<\/td>\n0.91<\/td>\n5<\/td>\n0.0461 %<\/td>\n2,527.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.49 %<\/td>\n4.91 %<\/td>\n67,576<\/td>\n4.68<\/td>\n3<\/td>\n0.0400 %<\/td>\n2,758.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0461 %<\/td>\n2,311.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.34 %<\/td>\n2.21 %<\/td>\n98,091<\/td>\n0.47<\/td>\n27<\/td>\n-0.0094 %<\/td>\n2,263.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.98 %<\/td>\n4.93 %<\/td>\n98,153<\/td>\n15.59<\/td>\n6<\/td>\n-0.1843 %<\/td>\n2,502.7<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.99 %<\/td>\n2.96 %<\/td>\n187,669<\/td>\n4.38<\/td>\n71<\/td>\n0.0043 %<\/td>\n2,417.9<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.97 %<\/td>\n3.60 %<\/td>\n140,747<\/td>\n1.37<\/td>\n46<\/td>\n0.0111 %<\/td>\n2,343.7<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
IAG.PR.E<\/td>\nDeemed-Retractible<\/td>\n1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.44
\nBid-YTW : 5.23 %<\/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
ENB.PR.N<\/td>\nFixedReset<\/td>\n311,058<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-25
\nMaturity Price : 23.12
\nEvaluated at bid price : 25.08
\nBid-YTW : 3.70 %<\/td>\n<\/tr>\n
ENB.PR.F<\/td>\nFixedReset<\/td>\n108,753<\/td>\nRBC crossed 57,000 at 25.72. TD crossed blocks of 20,000 and 15,000, both at 25.71.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-25
\nMaturity Price : 23.30
\nEvaluated at bid price : 25.60
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n
BNS.PR.N<\/td>\nDeemed-Retractible<\/td>\n104,006<\/td>\nRBC crossed 103,900 at 26.30.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-01-29
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.33
\nBid-YTW : 2.39 %<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nDeemed-Retractible<\/td>\n90,797<\/td>\nNesbitt crossed 68,600 at 25.85.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-07-27
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.77
\nBid-YTW : 3.68 %<\/td>\n<\/tr>\n
MFC.PR.H<\/td>\nFixedReset<\/td>\n80,575<\/td>\nRBC crossed blocks of 54,800 and 20,000, both at 25.76.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-03-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.71
\nBid-YTW : 4.05 %<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nDeemed-Retractible<\/td>\n75,922<\/td>\nRBC crossed 73,000 at 25.75.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-08-24
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.60
\nBid-YTW : -3.31 %<\/td>\n<\/tr>\n
There were 31 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
W.PR.H<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.52 – 26.25
\nSpot Rate : 0.7300
\nAverage : 0.5553<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-01-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.52
\nBid-YTW : 1.41 %<\/td>\n<\/tr>\n

IAG.PR.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.20 – 26.60
\nSpot Rate : 0.4000
\nAverage : 0.2710<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.20
\nBid-YTW : 5.34 %<\/td>\n<\/tr>\n

GWO.PR.M<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.69 – 26.98
\nSpot Rate : 0.2900
\nAverage : 0.1831<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-03-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.69
\nBid-YTW : 4.70 %<\/td>\n<\/tr>\n

PWF.PR.O<\/td>\nPerpetual-Premium<\/td>\nQuote: 26.26 – 26.60
\nSpot Rate : 0.3400
\nAverage : 0.2496<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-10-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.26
\nBid-YTW : 4.88 %<\/td>\n<\/tr>\n

ELF.PR.H<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.65 – 25.88
\nSpot Rate : 0.2300
\nAverage : 0.1453<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.65
\nBid-YTW : 5.18 %<\/td>\n<\/tr>\n

NA.PR.P<\/td>\nFixedReset<\/td>\nQuote: 26.65 – 26.94
\nSpot Rate : 0.2900
\nAverage : 0.2185<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.65
\nBid-YTW : 2.05 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

It was a very uneventful day for the Canadian preferred share markets, with PerpetualPremiums gaining 1bp, FixedResets flat and DeemedRetractibles off 1bp. Volatility was almost non-existant. Volume was average. PerpetualDiscounts now yield 4.93%, equivalent to …<\/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-19327","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/19327","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=19327"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/19327\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=19327"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=19327"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=19327"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}