{"id":20028,"date":"2012-10-18T02:26:09","date_gmt":"2012-10-18T06:26:09","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=20028"},"modified":"2012-10-18T02:26:09","modified_gmt":"2012-10-18T06:26:09","slug":"october-17-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=20028","title":{"rendered":"October 17, 2012"},"content":{"rendered":"

Nothing happened today.<\/p>\n

It was a poor day for the Canadian preferred share market, with PerpetualPremiums losing 10bp, FixedResets off 3bp and DeemedRetractibles down 7bp. Volatility was muted. Volume more than made up in strength what it lacked in breadth – probably related to the TXPR index changes<\/a>.<\/p>\n

PerpetualDiscounts now yield 4.93%, equivalent to 6.41% interest at the standard conversion factor of 1.3x. Long corporates<\/a> now yield about 4.4%, so the pre-tax interest-equivalent spread is now about 200bp, a sharp narrowing from the 225bp reported October 10<\/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>\n0.1705 %<\/td>\n2,461.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.24 %<\/td>\n3.57 %<\/td>\n32,671<\/td>\n18.24<\/td>\n1<\/td>\n0.0446 %<\/td>\n3,795.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.98 %<\/td>\n3.00 %<\/td>\n67,526<\/td>\n19.74<\/td>\n3<\/td>\n0.1705 %<\/td>\n2,657.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.62 %<\/td>\n2.80 %<\/td>\n62,253<\/td>\n0.66<\/td>\n4<\/td>\n-0.1998 %<\/td>\n2,569.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.40 %<\/td>\n4.84 %<\/td>\n71,603<\/td>\n4.50<\/td>\n3<\/td>\n0.3824 %<\/td>\n2,840.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1998 %<\/td>\n2,349.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.29 %<\/td>\n2.04 %<\/td>\n87,007<\/td>\n0.35<\/td>\n27<\/td>\n-0.1056 %<\/td>\n2,302.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.01 %<\/td>\n4.93 %<\/td>\n45,950<\/td>\n15.48<\/td>\n4<\/td>\n0.2158 %<\/td>\n2,580.8<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.97 %<\/td>\n2.97 %<\/td>\n187,040<\/td>\n3.83<\/td>\n73<\/td>\n-0.0265 %<\/td>\n2,442.1<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.94 %<\/td>\n3.49 %<\/td>\n124,057<\/td>\n1.01<\/td>\n47<\/td>\n-0.0715 %<\/td>\n2,380.7<\/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
VNR.PR.A<\/td>\nFixedReset<\/td>\n-1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-10-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.21
\nBid-YTW : 3.32 %<\/td>\n<\/tr>\n
ELF.PR.H<\/td>\nPerpetual-Premium<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.60
\nBid-YTW : 5.18 %<\/td>\n<\/tr>\n
PWF.PR.M<\/td>\nFixedReset<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.10
\nBid-YTW : 2.34 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\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>\n459,866<\/td>\nAdded to TXPR<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-12-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.55
\nBid-YTW : 3.80 %<\/td>\n<\/tr>\n
ENB.PR.P<\/td>\nFixedReset<\/td>\n454,663<\/td>\nAdded to TXPR<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-10-17
\nMaturity Price : 23.19
\nEvaluated at bid price : 25.31
\nBid-YTW : 3.72 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n335,412<\/td>\nDeleted from TXPR<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-10-17
\nMaturity Price : 23.52
\nEvaluated at bid price : 25.78
\nBid-YTW : 3.70 %<\/td>\n<\/tr>\n
TD.PR.P<\/td>\nDeemed-Retractible<\/td>\n316,447<\/td>\nDeleted from TXPR<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-12-01
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.11
\nBid-YTW : 0.04 %<\/td>\n<\/tr>\n
BMO.PR.N<\/td>\nFixedReset<\/td>\n252,552<\/td>\nDeleted from TXPR<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.70
\nBid-YTW : 2.11 %<\/td>\n<\/tr>\n
RY.PR.G<\/td>\nDeemed-Retractible<\/td>\n236,716<\/td>\nDeleted from TXPR<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-05-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.78
\nBid-YTW : 3.78 %<\/td>\n<\/tr>\n
GWO.PR.M<\/td>\nDeemed-Retractible<\/td>\n214,224<\/td>\nDeleted from TXPR<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-03-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.40
\nBid-YTW : 5.06 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n204,934<\/td>\nAdded to TXPR<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-10-17
\nMaturity Price : 23.64
\nEvaluated at bid price : 25.58
\nBid-YTW : 2.75 %<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset<\/td>\n179,517<\/td>\nAdded to TXPR<\/a>
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-10-17
\nMaturity Price : 23.18
\nEvaluated at bid price : 25.27
\nBid-YTW : 3.89 %<\/td>\n<\/tr>\n
TD.PR.Q<\/td>\nDeemed-Retractible<\/td>\n169,700<\/td>\nDeleted from TXPR<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-01-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.42
\nBid-YTW : -0.88 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nDeemed-Retractible<\/td>\n155,705<\/td>\nDeleted from TXPR<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.25
\nBid-YTW : 4.58 %<\/td>\n<\/tr>\n
CM.PR.M<\/td>\nFixedReset<\/td>\n126,992<\/td>\nDeleted from TXPR<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.70
\nBid-YTW : 2.48 %<\/td>\n<\/tr>\n
BNS.PR.O<\/td>\nDeemed-Retractible<\/td>\n116,051<\/td>\nDeleted from TXPR<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-04-26
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.70
\nBid-YTW : -0.20 %<\/td>\n<\/tr>\n
There were 25 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
ELF.PR.H<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.60 – 25.90
\nSpot Rate : 0.3000
\nAverage : 0.1918<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.60
\nBid-YTW : 5.18 %<\/td>\n<\/tr>\n

BAM.PR.B<\/td>\nFloater<\/td>\nQuote: 17.72 – 18.00
\nSpot Rate : 0.2800
\nAverage : 0.1892<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-10-17
\nMaturity Price : 17.72
\nEvaluated at bid price : 17.72
\nBid-YTW : 2.98 %<\/td>\n<\/tr>\n

IGM.PR.B<\/td>\nPerpetual-Premium<\/td>\nQuote: 27.04 – 27.50
\nSpot Rate : 0.4600
\nAverage : 0.3751<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 27.04
\nBid-YTW : 3.69 %<\/td>\n<\/tr>\n

POW.PR.D<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.17 – 25.38
\nSpot Rate : 0.2100
\nAverage : 0.1321<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-10-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.17
\nBid-YTW : 4.69 %<\/td>\n<\/tr>\n

FTS.PR.E<\/td>\nOpRet<\/td>\nQuote: 26.68 – 26.95
\nSpot Rate : 0.2700
\nAverage : 0.2071<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-06-01
\nMaturity Price : 25.75
\nEvaluated at bid price : 26.68
\nBid-YTW : -0.05 %<\/td>\n<\/tr>\n

BAM.PR.P<\/td>\nFixedReset<\/td>\nQuote: 26.73 – 26.99
\nSpot Rate : 0.2600
\nAverage : 0.1984<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.73
\nBid-YTW : 3.52 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. It was a poor day for the Canadian preferred share market, with PerpetualPremiums losing 10bp, FixedResets off 3bp and DeemedRetractibles down 7bp. Volatility was muted. Volume more than made up in strength …<\/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-20028","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/20028","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=20028"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/20028\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=20028"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=20028"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=20028"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}