{"id":19467,"date":"2012-08-09T19:04:40","date_gmt":"2012-08-09T23:04:40","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=19467"},"modified":"2012-08-09T19:04:40","modified_gmt":"2012-08-09T23:04:40","slug":"august-9-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=19467","title":{"rendered":"August 9, 2012"},"content":{"rendered":"

Nothing happened today.<\/p>\n

It was a positive day for the Canadian preferred share market, with PerpetualPremiums up 2bp, FixedResets gaining 7bp and DeemedRetractibles winning 11bp. Volatility was almost non-existant. Volume was very low.<\/p>\n

PerpetualDiscounts (all three of them!) now yield 4.96%, equivalent to 6.45% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield about 4.35%, so the pre-tax interest equivalent spread (in this context, the “Seniority Spread”) is now about 210bp, a decent-enough narrowing from the 220bp reported August 1<\/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>\n0.1601 %<\/td>\n2,312.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1601 %<\/td>\n3,459.0<\/td>\n<\/tr>\n
Floater<\/td>\n3.15 %<\/td>\n3.19 %<\/td>\n67,437<\/td>\n19.24<\/td>\n3<\/td>\n0.1601 %<\/td>\n2,496.7<\/td>\n<\/tr>\n
OpRet<\/td>\n4.76 %<\/td>\n2.32 %<\/td>\n32,094<\/td>\n0.87<\/td>\n5<\/td>\n-0.0459 %<\/td>\n2,537.7<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.47 %<\/td>\n5.04 %<\/td>\n67,014<\/td>\n4.63<\/td>\n3<\/td>\n0.1731 %<\/td>\n2,767.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0459 %<\/td>\n2,320.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.30 %<\/td>\n3.99 %<\/td>\n104,880<\/td>\n1.14<\/td>\n28<\/td>\n0.0230 %<\/td>\n2,272.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.97 %<\/td>\n4.96 %<\/td>\n97,949<\/td>\n15.50<\/td>\n3<\/td>\n0.2518 %<\/td>\n2,515.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.99 %<\/td>\n3.09 %<\/td>\n177,576<\/td>\n3.78<\/td>\n71<\/td>\n0.0734 %<\/td>\n2,422.4<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.95 %<\/td>\n3.18 %<\/td>\n136,455<\/td>\n0.78<\/td>\n46<\/td>\n0.1124 %<\/td>\n2,354.8<\/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
ELF.PR.H<\/td>\nPerpetual-Premium<\/td>\n-1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.54
\nBid-YTW : 5.27 %<\/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
TD.PR.G<\/td>\nFixedReset<\/td>\n82,125<\/td>\nNesbitt crossed 75,000 at 26.62.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.56
\nBid-YTW : 2.61 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n73,035<\/td>\nScotia bought 25,000 from CIBC at 25.80; Desjardins bought 18,500 from Nesbitt at the same price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-08-09
\nMaturity Price : 23.55
\nEvaluated at bid price : 25.76
\nBid-YTW : 2.91 %<\/td>\n<\/tr>\n
BMO.PR.Q<\/td>\nFixedReset<\/td>\n69,101<\/td>\nRBC crossed 49,900 at 25.57.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.43
\nBid-YTW : 2.94 %<\/td>\n<\/tr>\n
BMO.PR.P<\/td>\nFixedReset<\/td>\n52,210<\/td>\nRBC crossed 48,500 at 26.75.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.76
\nBid-YTW : 2.45 %<\/td>\n<\/tr>\n
BNS.PR.P<\/td>\nFixedReset<\/td>\n31,417<\/td>\nNesbitt crossed 30,000 at 25.31.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-04-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.30
\nBid-YTW : 3.43 %<\/td>\n<\/tr>\n
MFC.PR.D<\/td>\nFixedReset<\/td>\n23,041<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.50
\nBid-YTW : 3.79 %<\/td>\n<\/tr>\n
There were 14 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
HSB.PR.C<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.75 – 26.49
\nSpot Rate : 0.7400
\nAverage : 0.5071<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-09-08
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.75
\nBid-YTW : -0.27 %<\/td>\n<\/tr>\n

ELF.PR.H<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.54 – 26.00
\nSpot Rate : 0.4600
\nAverage : 0.3108<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.54
\nBid-YTW : 5.27 %<\/td>\n<\/tr>\n

PWF.PR.F<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.23 – 25.60
\nSpot Rate : 0.3700
\nAverage : 0.2675<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-09-08
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.23
\nBid-YTW : -4.30 %<\/td>\n<\/tr>\n

RY.PR.N<\/td>\nFixedReset<\/td>\nQuote: 26.22 – 26.53
\nSpot Rate : 0.3100
\nAverage : 0.2137<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.22
\nBid-YTW : 2.84 %<\/td>\n<\/tr>\n

IGM.PR.B<\/td>\nPerpetual-Premium<\/td>\nQuote: 26.50 – 26.80
\nSpot Rate : 0.3000
\nAverage : 0.2190<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-12-31
\nMaturity Price : 25.50
\nEvaluated at bid price : 26.50
\nBid-YTW : 4.85 %<\/td>\n<\/tr>\n

BAM.PR.O<\/td>\nOpRet<\/td>\nQuote: 25.73 – 26.09
\nSpot Rate : 0.3600
\nAverage : 0.2904<\/p>\n

YTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.73
\nBid-YTW : 2.32 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. It was a positive day for the Canadian preferred share market, with PerpetualPremiums up 2bp, FixedResets gaining 7bp and DeemedRetractibles winning 11bp. Volatility was almost non-existant. Volume was very low. PerpetualDiscounts (all …<\/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-19467","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/19467","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=19467"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/19467\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=19467"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=19467"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=19467"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}