{"id":22273,"date":"2013-06-18T04:01:42","date_gmt":"2013-06-18T08:01:42","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=22273"},"modified":"2013-06-18T04:01:42","modified_gmt":"2013-06-18T08:01:42","slug":"june-17-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=22273","title":{"rendered":"June 17, 2013"},"content":{"rendered":"

Overall it was mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 3bp, FixedResets up 5bp and DeemedRetractibles off 1bp. The averages concealed a lot of underlying volatility, however, as the Performance Highlights table is quite lengthy and features a number of BAM FixedReset losers. Volume was quite high.<\/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>\n0.1562 %<\/td>\n2,571.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.02 %<\/td>\n3.35 %<\/td>\n42,613<\/td>\n18.59<\/td>\n1<\/td>\n0.7676 %<\/td>\n4,086.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.73 %<\/td>\n2.91 %<\/td>\n81,605<\/td>\n19.97<\/td>\n4<\/td>\n0.1562 %<\/td>\n2,776.6<\/td>\n<\/tr>\n
OpRet<\/td>\n4.85 %<\/td>\n3.01 %<\/td>\n63,226<\/td>\n0.08<\/td>\n5<\/td>\n0.0624 %<\/td>\n2,617.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.65 %<\/td>\n4.17 %<\/td>\n105,118<\/td>\n4.02<\/td>\n6<\/td>\n0.0000 %<\/td>\n2,977.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0624 %<\/td>\n2,393.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.31 %<\/td>\n4.78 %<\/td>\n119,069<\/td>\n6.27<\/td>\n33<\/td>\n0.0290 %<\/td>\n2,324.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.31 %<\/td>\n5.35 %<\/td>\n235,136<\/td>\n14.92<\/td>\n5<\/td>\n0.0177 %<\/td>\n2,461.4<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.94 %<\/td>\n3.05 %<\/td>\n233,248<\/td>\n3.07<\/td>\n81<\/td>\n0.0532 %<\/td>\n2,497.9<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.00 %<\/td>\n4.36 %<\/td>\n152,276<\/td>\n3.26<\/td>\n44<\/td>\n-0.0100 %<\/td>\n2,408.2<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\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
BAM.PF.B<\/td>\nFixedReset<\/td>\n-1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-06-17
\nMaturity Price : 23.07
\nEvaluated at bid price : 24.87
\nBid-YTW : 4.07 %<\/td>\n<\/tr>\n
IAG.PR.G<\/td>\nFixedReset<\/td>\n-1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.86
\nBid-YTW : 3.36 %<\/td>\n<\/tr>\n
BAM.PF.A<\/td>\nFixedReset<\/td>\n-1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.45
\nBid-YTW : 4.11 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nDeemed-Retractible<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.81
\nBid-YTW : 5.54 %<\/td>\n<\/tr>\n
BAM.PR.Z<\/td>\nFixedReset<\/td>\n-1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.58
\nBid-YTW : 4.22 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-06-17
\nMaturity Price : 23.35
\nEvaluated at bid price : 25.25
\nBid-YTW : 3.80 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\n-1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.76
\nBid-YTW : 5.52 %<\/td>\n<\/tr>\n
BAM.PF.D<\/td>\nPerpetual-Discount<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-06-17
\nMaturity Price : 22.67
\nEvaluated at bid price : 23.00
\nBid-YTW : 5.35 %<\/td>\n<\/tr>\n
VNR.PR.A<\/td>\nFixedReset<\/td>\n1.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-10-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.30
\nBid-YTW : 3.26 %<\/td>\n<\/tr>\n
BNS.PR.K<\/td>\nDeemed-Retractible<\/td>\n1.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-07-17
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.50
\nBid-YTW : 0.30 %<\/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.P<\/td>\nFixedReset<\/td>\n84,898<\/td>\nTD crossed two blocks of 40,000 each, both at 25.40.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-04-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.40
\nBid-YTW : 3.11 %<\/td>\n<\/tr>\n
BMO.PR.M<\/td>\nFixedReset<\/td>\n75,204<\/td>\nNesbitt crossed blocks of 32,600 and 25,000, both at 25.35.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-08-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.30
\nBid-YTW : 0.31 %<\/td>\n<\/tr>\n
BAM.PF.D<\/td>\nPerpetual-Discount<\/td>\n69,952<\/td>\nRecent new issue<\/a>
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-06-17
\nMaturity Price : 22.67
\nEvaluated at bid price : 23.00
\nBid-YTW : 5.35 %<\/td>\n<\/tr>\n
BNS.PR.A<\/td>\nFixedReset<\/td>\n51,985<\/td>\nTD crossed 39,400 at 25.95.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-07-17
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.95
\nBid-YTW : -18.90 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\n48,329<\/td>\nDesjardins crossed 35,000 at 22.85.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.76
\nBid-YTW : 5.52 %<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n39,570<\/td>\nNesbitt crossed 27,000 at 25.45.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.47
\nBid-YTW : 1.56 %<\/td>\n<\/tr>\n
There were 56 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.K<\/td>\nFloater<\/td>\nQuote: 17.75 – 18.15
\nSpot Rate : 0.4000
\nAverage : 0.2404<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-06-17
\nMaturity Price : 17.75
\nEvaluated at bid price : 17.75
\nBid-YTW : 2.95 %<\/td>\n<\/tr>\n

PWF.PR.R<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.55 – 25.94
\nSpot Rate : 0.3900
\nAverage : 0.2537<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.55
\nBid-YTW : 5.30 %<\/td>\n<\/tr>\n

FTS.PR.E<\/td>\nOpRet<\/td>\nQuote: 26.09 – 26.51
\nSpot Rate : 0.4200
\nAverage : 0.3138<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-07-17
\nMaturity Price : 25.75
\nEvaluated at bid price : 26.09
\nBid-YTW : -8.51 %<\/td>\n<\/tr>\n

GWO.PR.J<\/td>\nFixedReset<\/td>\nQuote: 25.36 – 25.69
\nSpot Rate : 0.3300
\nAverage : 0.2560<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.36
\nBid-YTW : 2.90 %<\/td>\n<\/tr>\n

CM.PR.K<\/td>\nFixedReset<\/td>\nQuote: 26.02 – 26.27
\nSpot Rate : 0.2500
\nAverage : 0.1791<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.02
\nBid-YTW : 2.30 %<\/td>\n<\/tr>\n

GWO.PR.R<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.40 – 24.60
\nSpot Rate : 0.2000
\nAverage : 0.1307<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.40
\nBid-YTW : 5.09 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Overall it was mixed day for the Canadian preferred share market, with PerpetualPremiums gaining 3bp, FixedResets up 5bp and DeemedRetractibles off 1bp. The averages concealed a lot of underlying volatility, however, as the Performance Highlights …<\/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-22273","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/22273","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=22273"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/22273\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=22273"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=22273"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=22273"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}