Category: Market Action

Market Action

December 5, 2013

It was another negative day for the Canadian preferred share market, with PerpetualDiscounts losing 17bp, FixedResets down 11bp and DeemedRetractibles flat. Volatility was modest. Volume was high.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1708 % 2,486.2
FixedFloater 4.27 % 3.56 % 38,312 18.21 1 0.0000 % 3,927.7
Floater 2.98 % 3.02 % 64,033 19.62 3 0.1708 % 2,684.4
OpRet 4.62 % -3.08 % 79,231 0.08 3 0.0000 % 2,659.9
SplitShare 4.88 % 4.61 % 70,897 4.53 5 -0.0564 % 2,998.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,432.3
Perpetual-Premium 5.61 % 4.92 % 134,185 0.39 13 0.0031 % 2,305.4
Perpetual-Discount 5.62 % 5.62 % 165,324 14.42 25 -0.1709 % 2,339.4
FixedReset 4.98 % 3.44 % 230,852 3.31 82 -0.1073 % 2,478.9
Deemed-Retractible 5.09 % 4.09 % 196,955 1.41 42 0.0000 % 2,417.6
FloatingReset 2.64 % 2.33 % 343,668 4.43 5 0.0158 % 2,464.7
Performance Highlights
Issue Index Change Notes
CIU.PR.C FixedReset -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-05
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 3.80 %
SLF.PR.G FixedReset -1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.21
Bid-YTW : 4.63 %
CU.PR.D Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-05
Maturity Price : 22.14
Evaluated at bid price : 22.44
Bid-YTW : 5.48 %
BAM.PF.D Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-05
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.33 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.H FixedReset 134,920 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-05
Maturity Price : 22.51
Evaluated at bid price : 23.40
Bid-YTW : 4.14 %
CU.PR.D Perpetual-Discount 100,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-05
Maturity Price : 22.14
Evaluated at bid price : 22.44
Bid-YTW : 5.48 %
FTS.PR.J Perpetual-Discount 87,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-05
Maturity Price : 22.21
Evaluated at bid price : 22.52
Bid-YTW : 5.29 %
CU.PR.E Perpetual-Discount 85,530 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-05
Maturity Price : 22.26
Evaluated at bid price : 22.58
Bid-YTW : 5.45 %
TRP.PR.D FixedReset 82,407 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.93 %
TRP.PR.B FixedReset 77,594 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-05
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 3.82 %
There were 52 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CGI.PR.D SplitShare Quote: 24.36 – 24.87
Spot Rate : 0.5100
Average : 0.3385

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 24.36
Bid-YTW : 4.09 %
GWO.PR.P Deemed-Retractible Quote: 24.62 – 24.95
Spot Rate : 0.3300
Average : 0.1997

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 5.58 %
CU.PR.D Perpetual-Discount Quote: 22.44 – 22.79
Spot Rate : 0.3500
Average : 0.2252

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-05
Maturity Price : 22.14
Evaluated at bid price : 22.44
Bid-YTW : 5.48 %
CIU.PR.C FixedReset Quote: 21.16 – 21.50
Spot Rate : 0.3400
Average : 0.2192

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-05
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 3.80 %
ELF.PR.H Perpetual-Discount Quote: 23.90 – 24.22
Spot Rate : 0.3200
Average : 0.2082

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-05
Maturity Price : 23.54
Evaluated at bid price : 23.90
Bid-YTW : 5.83 %
CU.PR.G Perpetual-Discount Quote: 20.61 – 20.99
Spot Rate : 0.3800
Average : 0.2688

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-05
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 5.50 %
Market Action

December 4, 2013

More good news for fixed-income investors …:

The Bank of Canada says deep discounting by retailers is spreading disinflation – a byproduct of more consumers crossing the border to shop and the arrival here of U.S. chains such as Target Corp.

The central bank left its key overnight interest unchanged at 1 per cent Wednesday, citing a heightened risk of even lower inflation. The bank blamed excess supply in the economy and heightened competition in the retail sector, which it said are proving to be “more persistent than anticipated.”

Canada isn’t yet facing deflation – outright falling prices. But inflation is now running disquietingly below the Bank of Canada’s 2-per-cent target, and outside its acceptable range of 1 to 3 per cent. Consumer prices rose at a meagre annual rate of just 0.7 per cent in October, and economists expect inflation to remain similarly dormant in the months ahead.

The good news didn’t impress the Canadian preferred share market, with PerpetualDiscounts down 25bp, FixedResets off 17bp and DeemedRetractibles losing 34bp. The performance highlights table is comprised entirely of losers. Volume was very high.

PerpetualDiscounts now yield 5.62%, equivalent to 7.31% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.8%, so the pre-tax, interest-equivalent spread (in this context, the “Seniority Spread”) is now about 250bp, a minor (and perhaps spurious) widening from the 245bp reported November 27.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5287 % 2,481.9
FixedFloater 4.27 % 3.56 % 38,709 18.21 1 0.9537 % 3,927.7
Floater 2.99 % 3.02 % 64,950 19.61 3 -0.5287 % 2,679.8
OpRet 4.62 % -3.21 % 78,154 0.08 3 -0.2050 % 2,659.9
SplitShare 4.88 % 4.70 % 71,084 4.53 5 0.1939 % 3,000.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2050 % 2,432.3
Perpetual-Premium 5.61 % 4.94 % 135,814 0.24 13 -0.1705 % 2,305.4
Perpetual-Discount 5.61 % 5.62 % 153,249 14.41 25 -0.2486 % 2,343.4
FixedReset 4.98 % 3.42 % 231,704 3.31 82 -0.1739 % 2,481.6
Deemed-Retractible 5.09 % 4.07 % 189,207 1.41 42 -0.3375 % 2,417.6
FloatingReset 2.64 % 2.32 % 348,513 4.43 5 -0.0553 % 2,464.4
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset -1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 4.68 %
MFC.PR.B Deemed-Retractible -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 6.39 %
TRP.PR.C FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-04
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 3.89 %
SLF.PR.G FixedReset -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.58
Bid-YTW : 4.44 %
SLF.PR.B Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 6.17 %
POW.PR.B Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-04
Maturity Price : 23.64
Evaluated at bid price : 23.91
Bid-YTW : 5.67 %
PWF.PR.F Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-04
Maturity Price : 23.33
Evaluated at bid price : 23.61
Bid-YTW : 5.62 %
POW.PR.A Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-04
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 5.76 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.B FixedReset 113,734 National sold 17,900 to anonymous at 20.34; Nesbitt crossed 60,000 at 20.35.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-04
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 3.82 %
BAM.PR.N Perpetual-Discount 87,156 Desjardins crossed 58,600 at 19.60.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-04
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 6.22 %
FTS.PR.H FixedReset 66,995 Nesbitt crossed 35,000 at 21.15.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-04
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 3.91 %
RY.PR.I FixedReset 60,450 Nesbitt crossed blocks of 25,000 and 25,100, both at 25.24.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.15 %
BNS.PR.T FixedReset 59,768 Scotia crossed 25,000 at 25.50.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.50 %
CU.PR.G Perpetual-Discount 57,074 RBC crossed 23,500 at 20.50.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-04
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 5.53 %
There were 64 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNA.PR.E SplitShare Quote: 25.15 – 25.47
Spot Rate : 0.3200
Average : 0.2218

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.70 %
BAM.PR.K Floater Quote: 17.53 – 17.83
Spot Rate : 0.3000
Average : 0.2073

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-04
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 3.02 %
RY.PR.C Deemed-Retractible Quote: 25.52 – 25.72
Spot Rate : 0.2000
Average : 0.1199

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-11-24
Maturity Price : 25.25
Evaluated at bid price : 25.52
Bid-YTW : 3.59 %
PWF.PR.O Perpetual-Premium Quote: 25.36 – 25.66
Spot Rate : 0.3000
Average : 0.2223

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 5.63 %
POW.PR.A Perpetual-Discount Quote: 24.65 – 24.85
Spot Rate : 0.2000
Average : 0.1256

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-04
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 5.76 %
RY.PR.W Perpetual-Premium Quote: 24.88 – 25.08
Spot Rate : 0.2000
Average : 0.1270

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-04
Maturity Price : 24.58
Evaluated at bid price : 24.88
Bid-YTW : 4.94 %
Market Action

December 3, 2013

Still doing some catching up … there’s a lot of catching up to do! I don’t think there will be much commentary for a little while yet!

It was a negative day for the Canadian preferred share market, with PerpetualDiscounts off 13bp, FixedResets losing 24bp and DeemedRetractibles down 15bp. This compares favourably again with the TXPR and TXPL indices which were down 33bp and 45bp, respectively. Something peculiar is going on indeed! Volatility was high, with FixedResets prominent among the losers, led downward by ENB issues, which may have been affected by today’s new issue announcement, or their superb performance in the last two days of November … or both, since the two phenomena probably have a least some relationship! Volume was high.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.4885 % 2,495.1
FixedFloater 4.31 % 3.60 % 36,499 18.14 1 -1.1670 % 3,890.6
Floater 2.97 % 3.00 % 64,796 19.66 3 -0.4885 % 2,694.1
OpRet 4.61 % -3.34 % 78,550 0.08 3 -0.0384 % 2,665.4
SplitShare 4.89 % 4.78 % 70,529 4.54 5 0.0728 % 2,994.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0384 % 2,437.2
Perpetual-Premium 5.60 % 4.50 % 136,532 0.25 13 -0.1839 % 2,309.3
Perpetual-Discount 5.59 % 5.59 % 153,688 14.46 25 -0.1259 % 2,349.3
FixedReset 4.97 % 3.40 % 233,952 3.32 82 -0.2402 % 2,485.9
Deemed-Retractible 5.08 % 4.09 % 190,189 1.42 42 -0.1507 % 2,425.8
FloatingReset 2.64 % 2.33 % 329,848 4.44 5 -0.0474 % 2,465.7
Performance Highlights
Issue Index Change Notes
ENB.PR.Y FixedReset -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 22.51
Evaluated at bid price : 23.50
Bid-YTW : 4.32 %
ENB.PR.H FixedReset -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 22.57
Evaluated at bid price : 23.53
Bid-YTW : 4.11 %
TRP.PR.C FixedReset -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 22.07
Evaluated at bid price : 22.32
Bid-YTW : 3.85 %
ENB.PR.D FixedReset -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 22.94
Evaluated at bid price : 24.25
Bid-YTW : 4.16 %
HSE.PR.A FixedReset -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 22.84
Evaluated at bid price : 23.52
Bid-YTW : 3.77 %
ENB.PR.B FixedReset -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 23.12
Evaluated at bid price : 24.50
Bid-YTW : 4.14 %
ENB.PR.N FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 23.02
Evaluated at bid price : 24.61
Bid-YTW : 4.29 %
IGM.PR.B Perpetual-Premium -1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 5.75 %
PWF.PR.S Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 21.90
Evaluated at bid price : 22.25
Bid-YTW : 5.44 %
ENB.PR.F FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 22.96
Evaluated at bid price : 24.35
Bid-YTW : 4.25 %
BAM.PR.G FixedFloater -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 22.41
Evaluated at bid price : 22.02
Bid-YTW : 3.60 %
ENB.PR.T FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 22.81
Evaluated at bid price : 24.14
Bid-YTW : 4.27 %
SLF.PR.E Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.61
Bid-YTW : 6.19 %
GWO.PR.R Deemed-Retractible -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.63
Bid-YTW : 5.97 %
BAM.PF.C Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 6.29 %
TD.PR.O Deemed-Retractible 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-02
Maturity Price : 25.25
Evaluated at bid price : 25.65
Bid-YTW : -8.89 %
FTS.PR.K FixedReset 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 22.98
Evaluated at bid price : 24.53
Bid-YTW : 3.84 %
RY.PR.T FixedReset 1.74 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 2.70 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.I FixedReset 156,650 Scotia crossed blocks of 40,000 and 110,000, both at 25.85.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.40 %
BMO.PR.N FixedReset 108,083 Scotia crossed 74,100 at 25.27; Nesbitt crossed 29,300 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 2.58 %
RY.PR.L FixedReset 84,900 Desjardins crossed 74,900 at 25.21.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 2.32 %
TRP.PR.B FixedReset 76,719 RBC crossed 35,000 at 20.35.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 3.83 %
PWF.PR.O Perpetual-Premium 55,361 Scotia crossed 40,000 at 25.52.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 5.66 %
ENB.PR.Y FixedReset 50,310 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 22.51
Evaluated at bid price : 23.50
Bid-YTW : 4.32 %
There were 56 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.C Floater Quote: 17.62 – 17.95
Spot Rate : 0.3300
Average : 0.2322

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 3.01 %
HSE.PR.A FixedReset Quote: 23.52 – 23.81
Spot Rate : 0.2900
Average : 0.1963

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 22.84
Evaluated at bid price : 23.52
Bid-YTW : 3.77 %
IAG.PR.F Deemed-Retractible Quote: 25.66 – 25.93
Spot Rate : 0.2700
Average : 0.1803

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 5.26 %
CIU.PR.A Perpetual-Discount Quote: 20.97 – 21.82
Spot Rate : 0.8500
Average : 0.7707

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 5.52 %
IGM.PR.B Perpetual-Premium Quote: 25.34 – 25.59
Spot Rate : 0.2500
Average : 0.1714

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 5.75 %
CU.PR.F Perpetual-Discount Quote: 20.70 – 21.00
Spot Rate : 0.3000
Average : 0.2277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-03
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.47 %
Market Action

December 2, 2013

Today’s excuse for the lack of commentary is month-end. Good enough?

It is interesting to note that TXPR and TXPL were down 38bp and 40bp, respectively, according to the Toronto exchange. These large moves are not consistent with what I am seeing in my bid-based, investment-grade indices. I will be fascinated to learn if the apparent ZPR tracking error, discussed in my review of November’s MAPF performance, is confirmed; my nickel is on the scenario that it will be, that their tracking error for early December is normal, and that TXPR and TXPL reverse their late November blip. But only a nickel!

It was a negative day for the Canadian preferred share market, with PerpetualDiscounts losing 24bp, FixedResets down 7bp and DeemedRetractibles off 6bp. Volatility was average, skewed to the downside. Volume was above average.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.9308 % 2,507.4
FixedFloater 4.26 % 3.55 % 36,259 18.24 1 0.0898 % 3,936.6
Floater 2.96 % 2.98 % 64,869 19.71 3 -0.9308 % 2,707.3
OpRet 4.61 % -3.47 % 79,014 0.08 3 0.0641 % 2,666.4
SplitShare 4.89 % 4.81 % 71,019 4.54 5 0.0728 % 2,992.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0641 % 2,438.2
Perpetual-Premium 5.59 % 0.81 % 128,894 0.09 13 0.0091 % 2,313.5
Perpetual-Discount 5.59 % 5.55 % 154,947 14.52 25 -0.2406 % 2,352.2
FixedReset 4.96 % 3.34 % 232,199 3.26 82 -0.0745 % 2,491.9
Deemed-Retractible 5.07 % 3.84 % 187,776 1.42 42 -0.0579 % 2,429.5
FloatingReset 2.64 % 2.32 % 342,020 4.44 5 0.1028 % 2,466.9
Performance Highlights
Issue Index Change Notes
RY.PR.T FixedReset -2.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 5.16 %
TRP.PR.B FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-02
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 3.82 %
FTS.PR.K FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-02
Maturity Price : 22.83
Evaluated at bid price : 24.15
Bid-YTW : 3.92 %
BAM.PR.B Floater -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-02
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 2.98 %
HSE.PR.A FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-02
Maturity Price : 23.02
Evaluated at bid price : 23.86
Bid-YTW : 3.70 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.M FixedReset 180,933 Called for redemption.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 1.64 %
TRP.PR.D FixedReset 74,862 Scotia crossed 57,600 at 25.17.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.89 %
RY.PR.R FixedReset 66,771 Scotia crossed 60,000 at 25.25.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 2.48 %
ENB.PR.H FixedReset 65,421 Scotia crossed 49,200 at 23.95.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-02
Maturity Price : 22.79
Evaluated at bid price : 24.00
Bid-YTW : 4.00 %
BMO.PR.P FixedReset 60,957 Scotia crossed 58,000 at 26.15.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 1.52 %
FTS.PR.J Perpetual-Discount 50,524 RBC crossed 37,300 at 22.60.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-02
Maturity Price : 22.21
Evaluated at bid price : 22.52
Bid-YTW : 5.29 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.T FixedReset Quote: 25.24 – 25.76
Spot Rate : 0.5200
Average : 0.3102

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 5.16 %
GWO.PR.N FixedReset Quote: 22.17 – 22.81
Spot Rate : 0.6400
Average : 0.4428

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.17
Bid-YTW : 4.46 %
CIU.PR.A Perpetual-Discount Quote: 20.96 – 21.83
Spot Rate : 0.8700
Average : 0.6837

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-12-02
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 5.53 %
MFC.PR.F FixedReset Quote: 22.50 – 23.00
Spot Rate : 0.5000
Average : 0.3542

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 4.59 %
IAG.PR.A Deemed-Retractible Quote: 21.88 – 22.24
Spot Rate : 0.3600
Average : 0.2409

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.88
Bid-YTW : 6.15 %
HSB.PR.D Deemed-Retractible Quote: 25.16 – 25.55
Spot Rate : 0.3900
Average : 0.3036

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 5.07 %
Market Action

November 29, 2013

Foreshortened again, late again … but I hope next week will be better …

Thank heavens November is finally over!

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1118 % 2,530.9
FixedFloater 4.27 % 3.55 % 34,314 18.24 1 0.2703 % 3,933.0
Floater 2.93 % 2.95 % 65,887 19.78 3 0.1118 % 2,732.7
OpRet 4.61 % -3.86 % 80,155 0.08 3 -0.0512 % 2,664.7
SplitShare 4.89 % 4.78 % 71,133 4.55 5 -0.0336 % 2,989.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0512 % 2,436.6
Perpetual-Premium 5.59 % 2.71 % 125,519 0.09 13 -0.0628 % 2,313.3
Perpetual-Discount 5.57 % 5.56 % 160,715 14.51 25 0.1301 % 2,357.9
FixedReset 4.95 % 3.26 % 230,745 3.26 82 0.1158 % 2,493.7
Deemed-Retractible 5.07 % 3.74 % 188,734 1.36 42 0.0340 % 2,430.9
FloatingReset 2.64 % 2.32 % 339,980 4.45 5 -0.0158 % 2,464.4
Performance Highlights
Issue Index Change Notes
FTS.PR.K FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-29
Maturity Price : 22.95
Evaluated at bid price : 24.45
Bid-YTW : 3.85 %
CIU.PR.C FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-29
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 3.68 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.J FixedReset 74,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 2.30 %
TD.PR.T FloatingReset 67,440 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 2.32 %
ENB.PR.N FixedReset 62,882 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-01
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 4.05 %
ENB.PR.F FixedReset 51,158 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-29
Maturity Price : 23.04
Evaluated at bid price : 24.55
Bid-YTW : 4.20 %
TRP.PR.B FixedReset 49,279 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-29
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 3.77 %
TD.PR.G FixedReset 48,085 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.54 %
There were 61 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PR.R Deemed-Retractible Quote: 26.41 – 27.01
Spot Rate : 0.6000
Average : 0.4339

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-29
Maturity Price : 26.00
Evaluated at bid price : 26.41
Bid-YTW : -8.33 %
BAM.PR.T FixedReset Quote: 24.56 – 24.93
Spot Rate : 0.3700
Average : 0.2214

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-29
Maturity Price : 23.17
Evaluated at bid price : 24.56
Bid-YTW : 4.19 %
CU.PR.D Perpetual-Discount Quote: 22.57 – 23.00
Spot Rate : 0.4300
Average : 0.3122

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-29
Maturity Price : 22.25
Evaluated at bid price : 22.57
Bid-YTW : 5.44 %
BAM.PR.X FixedReset Quote: 22.23 – 22.59
Spot Rate : 0.3600
Average : 0.2455

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-29
Maturity Price : 21.88
Evaluated at bid price : 22.23
Bid-YTW : 4.27 %
GCS.PR.A SplitShare Quote: 25.01 – 25.25
Spot Rate : 0.2400
Average : 0.1449

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.11 %
PWF.PR.I Perpetual-Premium Quote: 25.58 – 25.84
Spot Rate : 0.2600
Average : 0.1748

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-29
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : -15.54 %
Market Action

November 28, 2013

Another foreshortened market report, but I’m hoping to finish the importation of posts soon!

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2231 % 2,528.1
FixedFloater 4.28 % 3.56 % 32,498 18.22 1 0.3163 % 3,922.4
Floater 2.94 % 2.97 % 61,741 19.75 3 -0.2231 % 2,729.7
OpRet 4.61 % -3.99 % 75,101 0.08 3 0.0384 % 2,666.1
SplitShare 4.74 % 4.10 % 69,338 3.65 6 0.1304 % 2,990.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0384 % 2,437.9
Perpetual-Premium 5.56 % 2.52 % 125,640 0.09 11 0.0287 % 2,314.8
Perpetual-Discount 5.59 % 5.56 % 162,368 14.50 27 -0.1770 % 2,354.8
FixedReset 4.96 % 3.24 % 226,751 3.27 82 0.1543 % 2,490.8
Deemed-Retractible 5.05 % 3.76 % 190,471 1.36 42 0.1186 % 2,430.1
FloatingReset 2.64 % 2.32 % 314,817 4.45 5 0.0316 % 2,464.7
Performance Highlights
Issue Index Change Notes
CU.PR.E Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-28
Maturity Price : 22.35
Evaluated at bid price : 22.69
Bid-YTW : 5.41 %
CU.PR.D Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-28
Maturity Price : 22.41
Evaluated at bid price : 22.76
Bid-YTW : 5.40 %
TRP.PR.A FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-28
Maturity Price : 24.00
Evaluated at bid price : 24.45
Bid-YTW : 3.77 %
ENB.PR.H FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-28
Maturity Price : 22.74
Evaluated at bid price : 23.89
Bid-YTW : 4.03 %
GWO.PR.G Deemed-Retractible 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.60 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IAG.PR.G FixedReset 117,826 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-30
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.02 %
RY.PR.D Deemed-Retractible 56,350 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-02-24
Maturity Price : 25.25
Evaluated at bid price : 25.51
Bid-YTW : 3.66 %
RY.PR.I FixedReset 54,260 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 1.73 %
BNS.PR.Y FixedReset 49,392 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 3.74 %
BMO.PR.P FixedReset 37,547 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 1.69 %
MFC.PR.A OpRet 31,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-28
Maturity Price : 25.50
Evaluated at bid price : 25.61
Bid-YTW : -3.99 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PR.R Deemed-Retractible Quote: 26.57 – 26.96
Spot Rate : 0.3900
Average : 0.2519

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-28
Maturity Price : 26.00
Evaluated at bid price : 26.57
Bid-YTW : -15.41 %
BAM.PR.C Floater Quote: 17.85 – 18.15
Spot Rate : 0.3000
Average : 0.1997

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-28
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 2.97 %
CIU.PR.A Perpetual-Discount Quote: 20.97 – 21.49
Spot Rate : 0.5200
Average : 0.4242

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-28
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 5.52 %
MFC.PR.H FixedReset Quote: 26.13 – 26.45
Spot Rate : 0.3200
Average : 0.2423

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.13
Bid-YTW : 3.08 %
IAG.PR.A Deemed-Retractible Quote: 21.79 – 22.00
Spot Rate : 0.2100
Average : 0.1435

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.79
Bid-YTW : 6.19 %
ABK.PR.C SplitShare Quote: 31.75 – 32.22
Spot Rate : 0.4700
Average : 0.4147

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-10
Maturity Price : 31.64
Evaluated at bid price : 31.75
Bid-YTW : 2.28 %
Market Action

November 27, 2013

Well, I haven’t done anything more on the missing posts, but I do know that they all exist quite happily on the old server. They will be imported eventually – but probably not today.

So, in another foreshortened commentary …

PerpetualDiscounts now yield 5.54%, equivalent to 7.20% interest at the standard equivalency factor of 1.3x. Long Corporates now yield about 4.75% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 245bp.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.5046 % 2,533.8
FixedFloater 4.29 % 3.58 % 31,320 18.19 1 -1.1171 % 3,910.1
Floater 2.93 % 2.95 % 60,988 19.79 3 0.5046 % 2,735.8
OpRet 4.61 % -3.19 % 75,874 0.08 3 0.1797 % 2,665.1
SplitShare 4.75 % 4.83 % 68,231 3.65 6 0.0968 % 2,986.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1797 % 2,436.9
Perpetual-Premium 5.56 % 4.23 % 125,548 0.09 11 0.0323 % 2,314.1
Perpetual-Discount 5.58 % 5.54 % 163,127 14.53 27 -0.1929 % 2,359.0
FixedReset 4.96 % 3.30 % 227,313 3.27 82 0.0093 % 2,487.0
Deemed-Retractible 5.06 % 3.92 % 193,305 1.36 42 0.0607 % 2,427.2
FloatingReset 2.64 % 2.37 % 313,396 4.45 5 0.0079 % 2,464.0
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-27
Maturity Price : 21.72
Evaluated at bid price : 22.02
Bid-YTW : 4.31 %
BAM.PR.G FixedFloater -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-27
Maturity Price : 22.48
Evaluated at bid price : 22.13
Bid-YTW : 3.58 %
SLF.PR.G FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 4.32 %
BAM.PR.M Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-27
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.24 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.C FixedReset 75,710 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-27
Maturity Price : 22.60
Evaluated at bid price : 22.90
Bid-YTW : 3.74 %
MFC.PR.D FixedReset 68,461 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 2.25 %
TD.PR.T FloatingReset 57,497 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 2.32 %
SLF.PR.F FixedReset 53,614 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : 1.84 %
GWO.PR.J FixedReset 44,686 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 1.86 %
TRP.PR.A FixedReset 34,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-27
Maturity Price : 24.00
Evaluated at bid price : 24.45
Bid-YTW : 3.84 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PR.P Deemed-Retractible Quote: 26.00 – 26.89
Spot Rate : 0.8900
Average : 0.5520

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-27
Maturity Price : 25.75
Evaluated at bid price : 26.00
Bid-YTW : -2.11 %
ABK.PR.C SplitShare Quote: 31.72 – 32.20
Spot Rate : 0.4800
Average : 0.3540

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-10
Maturity Price : 31.64
Evaluated at bid price : 31.72
Bid-YTW : 2.60 %
GWO.PR.G Deemed-Retractible Quote: 24.11 – 24.35
Spot Rate : 0.2400
Average : 0.1522

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.11
Bid-YTW : 5.77 %
MFC.PR.G FixedReset Quote: 25.73 – 26.00
Spot Rate : 0.2700
Average : 0.1883

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 3.31 %
CGI.PR.D SplitShare Quote: 24.13 – 24.34
Spot Rate : 0.2100
Average : 0.1334

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 24.13
Bid-YTW : 4.19 %
BAM.PR.G FixedFloater Quote: 22.13 – 22.42
Spot Rate : 0.2900
Average : 0.2251

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-27
Maturity Price : 22.48
Evaluated at bid price : 22.13
Bid-YTW : 3.58 %
Market Action

November 26, 2013

Still trying to Import material from the old site. Still having problems. Still feeling homicidal about poorly designed software.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.3909 % 2,521.0
FixedFloater 4.24 % 3.53 % 30,053 18.29 1 0.7201 % 3,954.2
Floater 2.94 % 2.97 % 61,568 19.76 3 -0.3909 % 2,722.0
OpRet 4.62 % -4.72 % 75,914 0.08 3 0.0514 % 2,660.3
SplitShare 4.74 % 4.16 % 68,962 3.65 6 -0.0188 % 2,984.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0514 % 2,432.6
Perpetual-Premium 5.56 % 4.92 % 125,285 0.27 11 0.0700 % 2,313.4
Perpetual-Discount 5.57 % 5.54 % 165,007 14.53 27 -0.0826 % 2,363.6
FixedReset 4.96 % 3.25 % 226,254 3.27 82 0.1104 % 2,486.8
Deemed-Retractible 5.06 % 3.94 % 195,087 1.36 42 -0.0664 % 2,425.7
FloatingReset 2.65 % 2.34 % 291,893 4.45 5 0.1505 % 2,463.8
Performance Highlights
Issue Index Change Notes
CU.PR.E Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-26
Maturity Price : 22.60
Evaluated at bid price : 22.99
Bid-YTW : 5.34 %
ENB.PR.Y FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-26
Maturity Price : 22.69
Evaluated at bid price : 23.90
Bid-YTW : 4.22 %
TRP.PR.A FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-26
Maturity Price : 24.17
Evaluated at bid price : 24.59
Bid-YTW : 3.81 %
HSB.PR.D Deemed-Retractible 1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 4.03 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.D FixedReset 104,377 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 2.09 %
TRP.PR.D FixedReset 95,197 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-26
Maturity Price : 23.15
Evaluated at bid price : 25.05
Bid-YTW : 4.00 %
GWO.PR.J FixedReset 51,369 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 2.64 %
ENB.PR.Y FixedReset 48,240 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-26
Maturity Price : 22.69
Evaluated at bid price : 23.90
Bid-YTW : 4.22 %
TRP.PR.C FixedReset 36,927 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-26
Maturity Price : 22.46
Evaluated at bid price : 22.75
Bid-YTW : 3.77 %
FTS.PR.H FixedReset 28,010 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-26
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 3.93 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNA.PR.E SplitShare Quote: 24.95 – 25.49
Spot Rate : 0.5400
Average : 0.3749

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.90 %
CU.PR.E Perpetual-Discount Quote: 22.99 – 23.43
Spot Rate : 0.4400
Average : 0.3130

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-26
Maturity Price : 22.60
Evaluated at bid price : 22.99
Bid-YTW : 5.34 %
VNR.PR.A FixedReset Quote: 25.40 – 25.69
Spot Rate : 0.2900
Average : 0.1918

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.06 %
TRP.PR.B FixedReset Quote: 20.91 – 21.18
Spot Rate : 0.2700
Average : 0.1776

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-26
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 3.78 %
BNS.PR.Z FixedReset Quote: 24.00 – 24.25
Spot Rate : 0.2500
Average : 0.1624

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 3.90 %
RY.PR.D Deemed-Retractible Quote: 25.43 – 25.71
Spot Rate : 0.2800
Average : 0.1947

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-02-24
Maturity Price : 25.25
Evaluated at bid price : 25.43
Bid-YTW : 3.91 %
Market Action

November 25, 2013

I’m having lots of fun importing the old PrefBlog into the new PrefBlog. It’s all tick-a-box software. ‘We need this feature! It doesn’t matter if it only works in ideal conditions – just tick the box!’

There are some things I can try tomorrow. Right now I’m too irritated.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0932 % 2,530.9
FixedFloater 4.28 % 3.56 % 30,205 18.23 1 0.4067 % 3,926.0
Floater 2.93 % 2.96 % 62,119 19.78 3 0.0932 % 2,732.7
OpRet 4.62 % -4.63 % 75,695 0.08 3 -0.1283 % 2,658.9
SplitShare 4.74 % 4.14 % 68,806 3.65 6 -0.0559 % 2,984.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1283 % 2,431.3
Perpetual-Premium 5.57 % 4.37 % 122,755 0.09 11 0.1565 % 2,311.8
Perpetual-Discount 5.57 % 5.56 % 180,287 14.51 27 -0.1730 % 2,365.5
FixedReset 4.97 % 3.30 % 228,106 3.27 82 0.0136 % 2,484.0
Deemed-Retractible 5.06 % 3.96 % 195,191 1.44 42 0.1015 % 2,427.3
FloatingReset 2.65 % 2.39 % 300,867 4.46 5 0.0238 % 2,460.1
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.31
Bid-YTW : 4.67 %
CU.PR.D Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-25
Maturity Price : 22.99
Evaluated at bid price : 23.29
Bid-YTW : 5.27 %
PWF.PR.S Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-25
Maturity Price : 22.09
Evaluated at bid price : 22.40
Bid-YTW : 5.40 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.T FixedReset 277,277 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 1.87 %
BNS.PR.B FloatingReset 267,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-25
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 2.54 %
BMO.PR.R FloatingReset 81,460 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 2.39 %
BAM.PF.D Perpetual-Discount 32,648 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-25
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 6.26 %
RY.PR.P FixedReset 30,966 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 2.61 %
FTS.PR.H FixedReset 24,111 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-25
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 3.95 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.J FixedReset Quote: 25.29 – 25.77
Spot Rate : 0.4800
Average : 0.2776

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 3.66 %
CIU.PR.C FixedReset Quote: 21.19 – 21.72
Spot Rate : 0.5300
Average : 0.3892

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-25
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 3.80 %
ENB.PR.N FixedReset Quote: 24.53 – 24.84
Spot Rate : 0.3100
Average : 0.1995

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-25
Maturity Price : 22.99
Evaluated at bid price : 24.53
Bid-YTW : 4.30 %
TD.PR.P Deemed-Retractible Quote: 26.09 – 26.47
Spot Rate : 0.3800
Average : 0.2818

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-25
Maturity Price : 25.75
Evaluated at bid price : 26.09
Bid-YTW : -6.55 %
MFC.PR.B Deemed-Retractible Quote: 21.85 – 22.21
Spot Rate : 0.3600
Average : 0.2654

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 6.23 %
BAM.PR.C Floater Quote: 17.89 – 18.15
Spot Rate : 0.2600
Average : 0.1924

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-25
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 2.96 %
Market Action

November 22, 2013

Nothing happened today, except for more server-fiddling.

It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts down 10bp, FixedResets up 13bp and DeemedRetractibles off 2bp. Volatility was low. Volume was above average, led by two FloatingReset issues.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.1117 % 2,528.6
FixedFloater 4.29 % 3.57 % 30,007 18.21 1 -0.3602 % 3,910.1
Floater 2.93 % 2.96 % 63,114 19.77 3 -0.1117 % 2,730.2
OpRet 4.62 % -4.78 % 72,755 0.08 3 -0.1537 % 2,662.3
SplitShare 4.74 % 4.14 % 68,459 3.66 6 0.0198 % 2,986.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1537 % 2,434.4
Perpetual-Premium 5.58 % 3.88 % 123,557 0.09 11 -0.0054 % 2,308.1
Perpetual-Discount 5.56 % 5.55 % 181,561 14.50 27 -0.1050 % 2,369.6
FixedReset 4.97 % 3.26 % 230,360 3.28 82 0.1313 % 2,483.7
Deemed-Retractible 5.05 % 4.00 % 191,190 1.45 42 -0.0183 % 2,424.9
FloatingReset 2.65 % 2.42 % 305,032 4.46 5 -0.0475 % 2,459.5
Performance Highlights
Issue Index Change Notes
CIU.PR.A Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-22
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 5.49 %
IFC.PR.A FixedReset -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 4.38 %
BAM.PF.B FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-22
Maturity Price : 23.02
Evaluated at bid price : 24.65
Bid-YTW : 4.36 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.R FloatingReset 277,640 Scotia crossed blocks of 200,000 and 66,600, both at 25.06. Nice tickets!
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 2.42 %
TD.PR.Z FloatingReset 242,000 Scotia crossed blocks of 188,200 and 50,000, both at 25.03. More nice tickets!
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 2.50 %
CM.PR.L FixedReset 60,408 RBC crossed 25,000 at 25.63.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 1.87 %
BAM.PF.D Perpetual-Discount 50,775 RBC crossed 12,400 at 19.85.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-22
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.25 %
BNS.PR.X FixedReset 47,000 RBC crossed 30,000 at 25.58.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 1.83 %
BNS.PR.T FixedReset 42,575 RBC crossed 38,200 at 25.58.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 1.83 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.P FixedReset Quote: 25.10 – 25.43
Spot Rate : 0.3300
Average : 0.2118

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.31 %
GWO.PR.R Deemed-Retractible Quote: 23.01 – 23.27
Spot Rate : 0.2600
Average : 0.1615

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 5.90 %
W.PR.H Perpetual-Discount Quote: 24.45 – 24.73
Spot Rate : 0.2800
Average : 0.2045

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-22
Maturity Price : 24.19
Evaluated at bid price : 24.45
Bid-YTW : 5.69 %
FTS.PR.F Perpetual-Discount Quote: 23.25 – 23.47
Spot Rate : 0.2200
Average : 0.1545

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-22
Maturity Price : 22.96
Evaluated at bid price : 23.25
Bid-YTW : 5.28 %
BAM.PR.Z FixedReset Quote: 25.80 – 26.00
Spot Rate : 0.2000
Average : 0.1401

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.16 %
BNS.PR.O Deemed-Retractible Quote: 26.45 – 26.80
Spot Rate : 0.3500
Average : 0.2903

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-22
Maturity Price : 26.00
Evaluated at bid price : 26.45
Bid-YTW : -11.26 %