Archive for November, 2013

Importation of Posts Completed!

Saturday, November 30th, 2013

I am very relieved to announce that the importation of posts from the Old Server to the New Server has been completed, at least as far as I know. The Partial Importation took place on November 27.

I’ve also been able to upload the various images and post attachments that have accumulated over the years.

I regret that importing the posts for the last two years required me to resurrect the Old Server as the official PrefBlog host for a day; perhaps that wouldn’t have been necessary if I knew what I was doing, but it wouldn’t have been necessary if WordPress’ programmers knew what they were doing either, so I win. I’ve alerted WordPress to the problem, but it doesn’t look like anybody’s very interested.

However, I’ve lost all my links on the right-hand navigation panel. Those will be straightforward, if rather tedious, to recreate and I hope to accomplish this job in bits and pieces over the next little while.

Additionally, Assiduous Readers seeking to point out all my mistakes, absurdities and other shortcomings in the comments will have to re-register. Sorry!

November 29, 2013

Saturday, November 30th, 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 %

November 28, 2013

Friday, November 29th, 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 %

November 27, 2013

Thursday, November 28th, 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 %

Partial Importation Successful

Wednesday, November 27th, 2013

Assiduous Readers will notice that most posts from the old server have been imported successfully.

Alert Assiduous Readers will further notice that the last two years are missing.

I don’t know why.

I will attempt to figure this out once I’ve calmed down a little.

Update: There are 1,163 missing posts; everything with a post ID >= 16,886. Oddly, #16869 was successfully imported, but #16864 was skipped. This cutoff point looks suspiciously close to 2^14 = 16,384, but I don’t know if that’s significant.

November 26, 2013

Wednesday, November 27th, 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 %

November 25, 2013

Tuesday, November 26th, 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 %

Hello world!

Monday, November 25th, 2013

Welcome to WordPress. This is your first post. Edit or delete it, then start blogging!

Last Post For The Old Server

Saturday, November 23rd, 2013

As many of you will know, my old server is retiring after seven years or so of sterling service.

A new server has been rented and is now hosting several sites, PrefInfo.com among them. I am now transferring the others.

This will probably involve PrefBlog being down for a while, for the period between propogation of the DNS change and the time when I upload the data to the new server – for reasons that I don’t understand and my simply reflect my lack of knowledge, I can’t install the PrefBlog software and data on the new machine until the DNS change has propogated.

So long, 70.86.75.42 ! It’s time for 184.172.98.210 to take over!

November 22, 2013

Friday, November 22nd, 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 %