{"id":21560,"date":"2013-03-27T22:57:28","date_gmt":"2013-03-28T02:57:28","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=21560"},"modified":"2013-03-27T22:57:28","modified_gmt":"2013-03-28T02:57:28","slug":"march-27-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=21560","title":{"rendered":"March 27, 2013"},"content":{"rendered":"

Nothing happened today.<\/p>\n

It was another positive day for the Canadian preferred share market, with PerpetualPremiums gaining 3bp, FixedResets roaring ahead by 17bp and DeemedRetractibles up 4bp. Volatility was average, but comprised entirely of FixeReset winners. Volume was well above average.<\/p>\n

PerpetualDiscounts now yield 4.82%, equivalent to 6.27% interest at the standard conversion factor of 1.3x. Long Corporates<\/a> now yield about 4.2%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 205bp, unchanged from the figure reported March 20<\/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>\n0.2701 %<\/td>\n2,645.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.12 %<\/td>\n3.47 %<\/td>\n28,964<\/td>\n18.32<\/td>\n1<\/td>\n-0.6466 %<\/td>\n3,946.0<\/td>\n<\/tr>\n
Floater<\/td>\n2.53 %<\/td>\n2.82 %<\/td>\n81,385<\/td>\n20.18<\/td>\n5<\/td>\n0.2701 %<\/td>\n2,855.9<\/td>\n<\/tr>\n
OpRet<\/td>\n4.81 %<\/td>\n1.80 %<\/td>\n57,983<\/td>\n0.23<\/td>\n5<\/td>\n-0.1007 %<\/td>\n2,602.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.27 %<\/td>\n3.98 %<\/td>\n613,342<\/td>\n4.18<\/td>\n4<\/td>\n0.4046 %<\/td>\n2,947.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1007 %<\/td>\n2,379.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.21 %<\/td>\n-3.10 %<\/td>\n92,638<\/td>\n0.10<\/td>\n31<\/td>\n0.0321 %<\/td>\n2,370.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.75 %<\/td>\n4.82 %<\/td>\n163,708<\/td>\n15.76<\/td>\n5<\/td>\n0.1023 %<\/td>\n2,677.7<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.88 %<\/td>\n2.53 %<\/td>\n288,169<\/td>\n2.66<\/td>\n80<\/td>\n0.1669 %<\/td>\n2,522.2<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.85 %<\/td>\n2.50 %<\/td>\n126,076<\/td>\n0.33<\/td>\n44<\/td>\n0.0422 %<\/td>\n2,455.5<\/td>\n<\/tr>\n<\/table>\n\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
BNS.PR.Z<\/td>\nFixedReset<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.64
\nBid-YTW : 2.72 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-03-27
\nMaturity Price : 23.61
\nEvaluated at bid price : 26.36
\nBid-YTW : 2.95 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset<\/td>\n1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.64
\nBid-YTW : 2.24 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset<\/td>\n1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.54
\nBid-YTW : 2.81 %<\/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
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\n157,198<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-03-27
\nMaturity Price : 24.69
\nEvaluated at bid price : 25.09
\nBid-YTW : 4.49 %<\/td>\n<\/tr>\n
ENB.PR.P<\/td>\nFixedReset<\/td>\n147,765<\/td>\nNesbitt crossed 40,000 at 25.80. Scotia crossed blocks of 46,500 and 50,000, both at 25.77.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-03-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.86
\nBid-YTW : 3.42 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset<\/td>\n90,570<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.99
\nBid-YTW : 3.34 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Premium<\/td>\n79,360<\/td>\nRBC crossed 74,600 at 25.90.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-12-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.97
\nBid-YTW : 4.28 %<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nFixedReset<\/td>\n44,646<\/td>\nTD crossed 40,000 at 26.16.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.12
\nBid-YTW : 1.90 %<\/td>\n<\/tr>\n
TD.PR.A<\/td>\nFixedReset<\/td>\n43,950<\/td>\nTD crossed 40,000 at 25.75.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.85
\nBid-YTW : 1.85 %<\/td>\n<\/tr>\n
There were 40 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
BAM.PR.J<\/td>\nOpRet<\/td>\nQuote: 26.86 – 27.86
\nSpot Rate : 1.0000
\nAverage : 0.5721<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.86
\nBid-YTW : 1.80 %<\/td>\n<\/tr>\n

BAM.PR.R<\/td>\nFixedReset<\/td>\nQuote: 26.95 – 27.95
\nSpot Rate : 1.0000
\nAverage : 0.5762<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.95
\nBid-YTW : 2.87 %<\/td>\n<\/tr>\n

IAG.PR.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.90 – 27.47
\nSpot Rate : 0.5700
\nAverage : 0.3480<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-03-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.90
\nBid-YTW : 3.85 %<\/td>\n<\/tr>\n

BNS.PR.Y<\/td>\nFixedReset<\/td>\nQuote: 25.35 – 25.79
\nSpot Rate : 0.4400
\nAverage : 0.2621<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.35
\nBid-YTW : 2.50 %<\/td>\n<\/tr>\n

TD.PR.Y<\/td>\nFixedReset<\/td>\nQuote: 25.47 – 25.76
\nSpot Rate : 0.2900
\nAverage : 0.1750<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.47
\nBid-YTW : 2.93 %<\/td>\n<\/tr>\n

GWO.PR.M<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.56 – 26.80
\nSpot Rate : 0.2400
\nAverage : 0.1550<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-03-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.56
\nBid-YTW : 4.43 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. It was another positive day for the Canadian preferred share market, with PerpetualPremiums gaining 3bp, FixedResets roaring ahead by 17bp and DeemedRetractibles up 4bp. Volatility was average, but comprised entirely of FixeReset …<\/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-21560","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/21560","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=21560"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/21560\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=21560"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=21560"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=21560"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}