{"id":20102,"date":"2012-10-26T01:02:13","date_gmt":"2012-10-26T05:02:13","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=20102"},"modified":"2012-10-26T01:02:13","modified_gmt":"2012-10-26T05:02:13","slug":"october-25-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=20102","title":{"rendered":"October 25, 2012"},"content":{"rendered":"

Nothing happened today.<\/p>\n

It was a steady day for the Canadian preferred share market, with PerpetualPremiums and FixedResets both up 3bp, while DeemedRetractibles gained 2bp. Volatility was muted. Volume was average – but the top two traders were issues that rarely see any play at all! Nice tickets for RBC, if they were able to get full commission on them!<\/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>\n0.0934 %<\/td>\n2,466.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.15 %<\/td>\n3.48 %<\/td>\n38,097<\/td>\n18.39<\/td>\n1<\/td>\n-0.4348 %<\/td>\n3,878.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.80 %<\/td>\n3.00 %<\/td>\n54,956<\/td>\n19.72<\/td>\n4<\/td>\n0.0934 %<\/td>\n2,663.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.63 %<\/td>\n1.98 %<\/td>\n40,969<\/td>\n0.64<\/td>\n4<\/td>\n-0.0477 %<\/td>\n2,566.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.39 %<\/td>\n4.84 %<\/td>\n69,263<\/td>\n4.49<\/td>\n3<\/td>\n0.0525 %<\/td>\n2,844.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0477 %<\/td>\n2,346.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.29 %<\/td>\n0.92 %<\/td>\n83,091<\/td>\n0.33<\/td>\n27<\/td>\n0.0273 %<\/td>\n2,307.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.02 %<\/td>\n4.92 %<\/td>\n45,360<\/td>\n15.47<\/td>\n4<\/td>\n0.0205 %<\/td>\n2,578.7<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.97 %<\/td>\n3.03 %<\/td>\n202,897<\/td>\n3.96<\/td>\n73<\/td>\n0.0265 %<\/td>\n2,445.2<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.95 %<\/td>\n3.52 %<\/td>\n134,749<\/td>\n1.14<\/td>\n47<\/td>\n0.0150 %<\/td>\n2,381.6<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
GWO.PR.R<\/td>\nDeemed-Retractible<\/td>\n-1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.71
\nBid-YTW : 5.01 %<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.00
\nBid-YTW : 3.27 %<\/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
TRI.PR.B<\/td>\nFloater<\/td>\n602,000<\/td>\nRBC crossed two blocks of 300,000 each, at 22.20 and 22.21.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-10-25
\nMaturity Price : 21.94
\nEvaluated at bid price : 22.18
\nBid-YTW : 2.35 %<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n470,470<\/td>\nRBC crossed two blocks of 235,000 each, at 24.52 and 24.53.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-01-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.50
\nBid-YTW : 4.86 %<\/td>\n<\/tr>\n
TD.PR.S<\/td>\nFixedReset<\/td>\n320,498<\/td>\nNesbitt crossed blocks of 200,000 and 100,000, both at 25.05.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.04
\nBid-YTW : 3.10 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset<\/td>\n60,310<\/td>\nTD crossed 50,000 at 24.00.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.95
\nBid-YTW : 3.98 %<\/td>\n<\/tr>\n
BMO.PR.K<\/td>\nDeemed-Retractible<\/td>\n56,533<\/td>\nNational crossed 50,000 at 26.39.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-11-25
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.38
\nBid-YTW : -2.20 %<\/td>\n<\/tr>\n
SLF.PR.I<\/td>\nFixedReset<\/td>\n40,350<\/td>\nTD crossed 32,200 at 25.96.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.85
\nBid-YTW : 3.46 %<\/td>\n<\/tr>\n
There were 29 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
GWO.PR.R<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.71 – 25.02
\nSpot Rate : 0.3100
\nAverage : 0.1731<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.71
\nBid-YTW : 5.01 %<\/td>\n<\/tr>\n

TD.PR.Y<\/td>\nFixedReset<\/td>\nQuote: 25.00 – 25.25
\nSpot Rate : 0.2500
\nAverage : 0.1648<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.00
\nBid-YTW : 3.27 %<\/td>\n<\/tr>\n

ENB.PR.D<\/td>\nFixedReset<\/td>\nQuote: 25.50 – 25.75
\nSpot Rate : 0.2500
\nAverage : 0.1677<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-10-25
\nMaturity Price : 23.30
\nEvaluated at bid price : 25.50
\nBid-YTW : 3.60 %<\/td>\n<\/tr>\n

CM.PR.L<\/td>\nFixedReset<\/td>\nQuote: 26.51 – 26.72
\nSpot Rate : 0.2100
\nAverage : 0.1325<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.51
\nBid-YTW : 2.36 %<\/td>\n<\/tr>\n

GWO.PR.P<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.21 – 26.48
\nSpot Rate : 0.2700
\nAverage : 0.1926<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.21
\nBid-YTW : 4.83 %<\/td>\n<\/tr>\n

NA.PR.O<\/td>\nFixedReset<\/td>\nQuote: 26.60 – 26.80
\nSpot Rate : 0.2000
\nAverage : 0.1434<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.60
\nBid-YTW : 1.37 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. It was a steady day for the Canadian preferred share market, with PerpetualPremiums and FixedResets both up 3bp, while DeemedRetractibles gained 2bp. Volatility was muted. Volume was average – but the top …<\/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-20102","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/20102","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=20102"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/20102\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=20102"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=20102"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=20102"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}