{"id":22571,"date":"2013-07-24T01:04:20","date_gmt":"2013-07-24T05:04:20","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=22571"},"modified":"2013-07-24T01:04:20","modified_gmt":"2013-07-24T05:04:20","slug":"july-23-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=22571","title":{"rendered":"July 23, 2013"},"content":{"rendered":"

Nothing happened today.<\/p>\n

It was an off-day for the Canadian preferred share market, with PerpetualPremiums off 3bp, FixedResets down 7bp and DeemedRetractibles losing 15bp. There was again a surprising amount of volatility considering the overall small movement. Volume was 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>\n1.0396 %<\/td>\n2,598.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.13 %<\/td>\n3.42 %<\/td>\n36,383<\/td>\n18.55<\/td>\n1<\/td>\n0.4806 %<\/td>\n4,020.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.70 %<\/td>\n2.88 %<\/td>\n90,823<\/td>\n20.02<\/td>\n4<\/td>\n1.0396 %<\/td>\n2,805.5<\/td>\n<\/tr>\n
OpRet<\/td>\n4.59 %<\/td>\n3.07 %<\/td>\n79,911<\/td>\n0.68<\/td>\n3<\/td>\n-0.1527 %<\/td>\n2,629.8<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.66 %<\/td>\n4.42 %<\/td>\n56,326<\/td>\n3.91<\/td>\n6<\/td>\n0.0473 %<\/td>\n2,977.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1527 %<\/td>\n2,404.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.61 %<\/td>\n4.45 %<\/td>\n105,362<\/td>\n0.58<\/td>\n12<\/td>\n-0.0474 %<\/td>\n2,290.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.32 %<\/td>\n5.34 %<\/td>\n143,752<\/td>\n14.84<\/td>\n26<\/td>\n-0.0298 %<\/td>\n2,420.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.97 %<\/td>\n3.57 %<\/td>\n241,598<\/td>\n3.98<\/td>\n84<\/td>\n-0.0694 %<\/td>\n2,476.6<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.06 %<\/td>\n4.50 %<\/td>\n200,367<\/td>\n4.80<\/td>\n43<\/td>\n-0.1509 %<\/td>\n2,386.7<\/td>\n<\/tr>\n<\/table>\n\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
TRP.PR.B<\/td>\nFixedReset<\/td>\n-2.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-23
\nMaturity Price : 22.97
\nEvaluated at bid price : 23.32
\nBid-YTW : 3.24 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nDeemed-Retractible<\/td>\n-1.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.42
\nBid-YTW : 5.81 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n-1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-23
\nMaturity Price : 23.17
\nEvaluated at bid price : 24.25
\nBid-YTW : 3.36 %<\/td>\n<\/tr>\n
IAG.PR.F<\/td>\nDeemed-Retractible<\/td>\n-1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-03-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.50
\nBid-YTW : 5.60 %<\/td>\n<\/tr>\n
CM.PR.K<\/td>\nFixedReset<\/td>\n-1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.65
\nBid-YTW : 2.67 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n-1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-23
\nMaturity Price : 23.84
\nEvaluated at bid price : 24.21
\nBid-YTW : 5.12 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-23
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 2.93 %<\/td>\n<\/tr>\n
BAM.PR.C<\/td>\nFloater<\/td>\n1.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-23
\nMaturity Price : 18.10
\nEvaluated at bid price : 18.10
\nBid-YTW : 2.92 %<\/td>\n<\/tr>\n
BAM.PF.C<\/td>\nPerpetual-Discount<\/td>\n1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-23
\nMaturity Price : 22.00
\nEvaluated at bid price : 22.30
\nBid-YTW : 5.48 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n1.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-23
\nMaturity Price : 18.30
\nEvaluated at bid price : 18.30
\nBid-YTW : 2.88 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset<\/td>\n2.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-23
\nMaturity Price : 23.35
\nEvaluated at bid price : 24.54
\nBid-YTW : 3.82 %<\/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.A<\/td>\nFixedReset<\/td>\n254,148<\/td>\nNational crossed 100,000 at 26.10. Td crossed 50,000 at the same price and Desjardins crossed 70,000 at the same price again.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-08-22
\nMaturity Price : 25.50
\nEvaluated at bid price : 26.05
\nBid-YTW : -24.36 %<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nDeemed-Retractible<\/td>\n169,736<\/td>\nTD crossed 90,000 at 25.10; Desjardins crossed 69,900 at the same price.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.05
\nBid-YTW : 4.48 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n78,550<\/td>\nTD sold 18,200 to RBC at 23.82, then crossed blocks of 25,000 and 15,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-23
\nMaturity Price : 22.97
\nEvaluated at bid price : 23.32
\nBid-YTW : 3.24 %<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nDeemed-Retractible<\/td>\n74,790<\/td>\nRBC crossed blocks of 49,800 and 13,700 at 25.10.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.13
\nBid-YTW : 4.43 %<\/td>\n<\/tr>\n
BAM.PR.P<\/td>\nFixedReset<\/td>\n62,787<\/td>\nRBC crossed 49,400 at 26.10.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.05
\nBid-YTW : 3.77 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n53,866<\/td>\nRBC crossed 37,600 at 23.00; Nesbitt crossed 12,400 at the same price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-23
\nMaturity Price : 22.59
\nEvaluated at bid price : 22.92
\nBid-YTW : 4.98 %<\/td>\n<\/tr>\n
There were 50 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
TRP.PR.B<\/td>\nFixedReset<\/td>\nQuote: 23.32 – 23.90
\nSpot Rate : 0.5800
\nAverage : 0.3471<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-23
\nMaturity Price : 22.97
\nEvaluated at bid price : 23.32
\nBid-YTW : 3.24 %<\/td>\n<\/tr>\n

SLF.PR.G<\/td>\nFixedReset<\/td>\nQuote: 24.13 – 24.56
\nSpot Rate : 0.4300
\nAverage : 0.2869<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.13
\nBid-YTW : 3.71 %<\/td>\n<\/tr>\n

BAM.PR.K<\/td>\nFloater<\/td>\nQuote: 18.00 – 18.33
\nSpot Rate : 0.3300
\nAverage : 0.2064<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-23
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 2.93 %<\/td>\n<\/tr>\n

GWO.PR.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.32 – 25.84
\nSpot Rate : 0.5200
\nAverage : 0.4104<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-08-22
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.32
\nBid-YTW : -5.04 %<\/td>\n<\/tr>\n

TRP.PR.C<\/td>\nFixedReset<\/td>\nQuote: 24.25 – 24.50
\nSpot Rate : 0.2500
\nAverage : 0.1443<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-23
\nMaturity Price : 23.17
\nEvaluated at bid price : 24.25
\nBid-YTW : 3.36 %<\/td>\n<\/tr>\n

BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.99 – 22.25
\nSpot Rate : 0.2600
\nAverage : 0.1559<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-23
\nMaturity Price : 21.99
\nEvaluated at bid price : 21.99
\nBid-YTW : 5.46 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. It was an off-day for the Canadian preferred share market, with PerpetualPremiums off 3bp, FixedResets down 7bp and DeemedRetractibles losing 15bp. There was again a surprising amount of volatility considering the overall …<\/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-22571","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/22571","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=22571"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/22571\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=22571"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=22571"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=22571"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}