{"id":19509,"date":"2012-08-16T01:18:50","date_gmt":"2012-08-16T05:18:50","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=19509"},"modified":"2012-08-16T01:18:50","modified_gmt":"2012-08-16T05:18:50","slug":"august-15-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=19509","title":{"rendered":"August 15, 2012"},"content":{"rendered":"

Nothing happened today.<\/p>\n

It was a mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 3bp, FixedResets up 6bp and DeemedRetractibles off 1bp. Volatility was minimal. Volume was lousy, albeit with one very bright spot.<\/p>\n

PerpetualDiscounts (all three of them!) now yield 4.97%, equivalent to 6.46% at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield about 4.4%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 205bp, a slight (and quite possibly spurious) narrowing from the the 210bp reported August 9<\/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>\n0.0992 %<\/td>\n2,330.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0992 %<\/td>\n3,486.0<\/td>\n<\/tr>\n
Floater<\/td>\n3.12 %<\/td>\n3.17 %<\/td>\n64,469<\/td>\n19.26<\/td>\n3<\/td>\n0.0992 %<\/td>\n2,516.1<\/td>\n<\/tr>\n
OpRet<\/td>\n4.77 %<\/td>\n2.50 %<\/td>\n34,292<\/td>\n0.85<\/td>\n5<\/td>\n0.1430 %<\/td>\n2,542.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.45 %<\/td>\n5.08 %<\/td>\n67,322<\/td>\n4.62<\/td>\n3<\/td>\n0.2256 %<\/td>\n2,778.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1430 %<\/td>\n2,324.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.30 %<\/td>\n3.86 %<\/td>\n101,213<\/td>\n1.12<\/td>\n28<\/td>\n0.0314 %<\/td>\n2,276.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.96 %<\/td>\n4.97 %<\/td>\n94,824<\/td>\n15.48<\/td>\n3<\/td>\n0.2650 %<\/td>\n2,523.7<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.99 %<\/td>\n3.03 %<\/td>\n171,424<\/td>\n3.96<\/td>\n71<\/td>\n0.0556 %<\/td>\n2,425.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.95 %<\/td>\n3.37 %<\/td>\n128,179<\/td>\n0.76<\/td>\n46<\/td>\n-0.0068 %<\/td>\n2,356.1<\/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
MFC.PR.G<\/td>\nFixedReset<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-12-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.80
\nBid-YTW : 3.79 %<\/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.L<\/td>\nDeemed-Retractible<\/td>\n852,055<\/td>\nNesbitt crossed blocks of 800,000 and 50,000, both at 25.95. Nice ticket!
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-04-27
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.90
\nBid-YTW : 3.52 %<\/td>\n<\/tr>\n
BMO.PR.M<\/td>\nFixedReset<\/td>\n113,293<\/td>\nDesjardins crossed 70,000 at 25.45; TD crossed 38,100 at 25.32.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.35
\nBid-YTW : 3.04 %<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nDeemed-Retractible<\/td>\n104,500<\/td>\nNational Bank crossed blocks of 73,900 and 27,000, both at 25.90.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-12-31
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.87
\nBid-YTW : 2.67 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Premium<\/td>\n61,559<\/td>\nTD crossed 25,000 at 25.65; National crossed 28,700 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-10-31
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.50
\nBid-YTW : 4.70 %<\/td>\n<\/tr>\n
BMO.PR.L<\/td>\nDeemed-Retractible<\/td>\n50,897<\/td>\nNational crossed 48,100 at 27.05.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-05-25
\nMaturity Price : 26.00
\nEvaluated at bid price : 27.00
\nBid-YTW : 0.38 %<\/td>\n<\/tr>\n
BMO.PR.K<\/td>\nDeemed-Retractible<\/td>\n28,672<\/td>\nTD crossed 25,000 at 26.30.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-11-25
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.30
\nBid-YTW : 0.42 %<\/td>\n<\/tr>\n
There were 12 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
TCA.PR.Y<\/td>\nPerpetual-Premium<\/td>\nQuote: 51.20 – 51.60
\nSpot Rate : 0.4000
\nAverage : 0.2347<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-05
\nMaturity Price : 50.00
\nEvaluated at bid price : 51.20
\nBid-YTW : 4.15 %<\/td>\n<\/tr>\n

CU.PR.C<\/td>\nFixedReset<\/td>\nQuote: 26.46 – 26.85
\nSpot Rate : 0.3900
\nAverage : 0.2682<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-06-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.46
\nBid-YTW : 2.67 %<\/td>\n<\/tr>\n

TCA.PR.X<\/td>\nPerpetual-Premium<\/td>\nQuote: 50.85 – 51.18
\nSpot Rate : 0.3300
\nAverage : 0.2239<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-15
\nMaturity Price : 50.00
\nEvaluated at bid price : 50.85
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n

IAG.PR.G<\/td>\nFixedReset<\/td>\nQuote: 25.65 – 25.95
\nSpot Rate : 0.3000
\nAverage : 0.2135<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.65
\nBid-YTW : 3.93 %<\/td>\n<\/tr>\n

BAM.PR.Z<\/td>\nFixedReset<\/td>\nQuote: 25.92 – 26.20
\nSpot Rate : 0.2800
\nAverage : 0.2062<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.92
\nBid-YTW : 4.18 %<\/td>\n<\/tr>\n

IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.02 – 24.24
\nSpot Rate : 0.2200
\nAverage : 0.1504<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.02
\nBid-YTW : 5.24 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. It was a mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 3bp, FixedResets up 6bp and DeemedRetractibles off 1bp. Volatility was minimal. Volume was lousy, albeit with one very …<\/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-19509","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/19509","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=19509"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/19509\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=19509"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=19509"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=19509"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}