{"id":19332,"date":"2012-07-27T01:48:05","date_gmt":"2012-07-27T05:48:05","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=19332"},"modified":"2012-07-27T01:48:05","modified_gmt":"2012-07-27T05:48:05","slug":"july-26-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=19332","title":{"rendered":"July 26, 2012"},"content":{"rendered":"

It was a solidly positive day for the Canadian preferred share market, with PerpetualPremiums winning 12bp, FixedResets up 4bp and DeemedRetractibles gaining 8bp. Volatility was non-existent. 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-0.1618 %<\/td>\n2,280.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1618 %<\/td>\n3,410.6<\/td>\n<\/tr>\n
Floater<\/td>\n3.19 %<\/td>\n3.21 %<\/td>\n69,610<\/td>\n19.20<\/td>\n3<\/td>\n-0.1618 %<\/td>\n2,461.8<\/td>\n<\/tr>\n
OpRet<\/td>\n4.77 %<\/td>\n2.78 %<\/td>\n38,422<\/td>\n0.90<\/td>\n5<\/td>\n0.1153 %<\/td>\n2,530.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.48 %<\/td>\n4.93 %<\/td>\n67,377<\/td>\n4.67<\/td>\n3<\/td>\n0.1601 %<\/td>\n2,763.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1153 %<\/td>\n2,313.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.33 %<\/td>\n1.08 %<\/td>\n98,503<\/td>\n0.47<\/td>\n27<\/td>\n0.1207 %<\/td>\n2,265.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.97 %<\/td>\n4.92 %<\/td>\n106,064<\/td>\n15.58<\/td>\n6<\/td>\n0.1983 %<\/td>\n2,507.7<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.99 %<\/td>\n3.04 %<\/td>\n189,163<\/td>\n4.15<\/td>\n71<\/td>\n0.0402 %<\/td>\n2,418.9<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.96 %<\/td>\n3.58 %<\/td>\n139,884<\/td>\n1.37<\/td>\n46<\/td>\n0.0819 %<\/td>\n2,345.7<\/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
No individual gains or losses exceeding 1%!<\/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
SLF.PR.B<\/td>\nDeemed-Retractible<\/td>\n116,785<\/td>\nTD crossed 100,000 at 24.15.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.11
\nBid-YTW : 5.36 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset<\/td>\n114,443<\/td>\nNational crossed 20,200 at 25.10; RBC crossed 35,000 at 25.00.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.12
\nBid-YTW : 4.28 %<\/td>\n<\/tr>\n
BMO.PR.M<\/td>\nFixedReset<\/td>\n87,679<\/td>\nScotia crossed 55,000 at 25.78; National crossed 25,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-08-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.84
\nBid-YTW : 2.65 %<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nDeemed-Retractible<\/td>\n60,275<\/td>\nRBC crossed 37,100 at 23.80.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.81
\nBid-YTW : 5.48 %<\/td>\n<\/tr>\n
TD.PR.A<\/td>\nFixedReset<\/td>\n54,800<\/td>\nTD crossed 35,000 at 25.72. Scotia crossed 13,400 at 25.68.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.70
\nBid-YTW : 3.06 %<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\n41,416<\/td>\nRBC crossed 29,800 at 24.20.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-26
\nMaturity Price : 23.96
\nEvaluated at bid price : 24.25
\nBid-YTW : 4.93 %<\/td>\n<\/tr>\n
There were 34 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
RY.PR.L<\/td>\nFixedReset<\/td>\nQuote: 25.97 – 26.35
\nSpot Rate : 0.3800
\nAverage : 0.2474<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.97
\nBid-YTW : 2.80 %<\/td>\n<\/tr>\n

BNA.PR.C<\/td>\nSplitShare<\/td>\nQuote: 23.46 – 23.79
\nSpot Rate : 0.3300
\nAverage : 0.2090<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-01-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.46
\nBid-YTW : 5.64 %<\/td>\n<\/tr>\n

CIU.PR.B<\/td>\nFixedReset<\/td>\nQuote: 26.90 – 27.27
\nSpot Rate : 0.3700
\nAverage : 0.2516<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.90
\nBid-YTW : 3.04 %<\/td>\n<\/tr>\n

RY.PR.W<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.58 – 25.89
\nSpot Rate : 0.3100
\nAverage : 0.1986<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-08-25
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.58
\nBid-YTW : -3.62 %<\/td>\n<\/tr>\n

ENB.PR.D<\/td>\nFixedReset<\/td>\nQuote: 25.36 – 25.69
\nSpot Rate : 0.3300
\nAverage : 0.2208<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-26
\nMaturity Price : 23.24
\nEvaluated at bid price : 25.36
\nBid-YTW : 3.45 %<\/td>\n<\/tr>\n

NA.PR.L<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.56 – 25.80
\nSpot Rate : 0.2400
\nAverage : 0.1731<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-08-25
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.56
\nBid-YTW : -1.27 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

It was a solidly positive day for the Canadian preferred share market, with PerpetualPremiums winning 12bp, FixedResets up 4bp and DeemedRetractibles gaining 8bp. Volatility was non-existent. Volume was average. HIMIPref™ Preferred IndicesThese values reflect 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-19332","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/19332","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=19332"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/19332\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=19332"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=19332"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=19332"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}