{"id":19696,"date":"2012-09-11T00:30:07","date_gmt":"2012-09-11T04:30:07","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=19696"},"modified":"2012-09-11T00:30:07","modified_gmt":"2012-09-11T04:30:07","slug":"september-10-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=19696","title":{"rendered":"September 10, 2012"},"content":{"rendered":"

There are rising expectations for low rates forever<\/a>:<\/p>\n

Just six months ago, money market traders expected the Federal Reserve to raise interest rates by the end of 2013. Now, they see borrowing costs staying at record lows for about three more years as the economic outlook worsens.<\/p>\n

Bond market measures from overnight index swaps, which indicate no increase in the federal funds rate until mid-2015, to a 62 percent decline in a measure of volatility in government bonds signal that rates will stay near zero for longer. The gap between two- and five-year Treasury yields, which decreases when traders expect benchmark rates to remain subdued, is more than 50 percent narrower than its average since 2008. <\/p><\/blockquote>\n

It was an off day for the Canadian preferred share market, with PerpetualPremiums and FixedResets down 7bp, while DeemedRetractibles lost 9bp. Volatiltiy was average, all on the downside. Volume continued at holiday levels.<\/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>\n0.6532 %<\/td>\n2,420.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.52 %<\/td>\n3.88 %<\/td>\n35,161<\/td>\n17.52<\/td>\n1<\/td>\n-1.8692 %<\/td>\n3,519.1<\/td>\n<\/tr>\n
Floater<\/td>\n3.01 %<\/td>\n3.06 %<\/td>\n52,909<\/td>\n19.51<\/td>\n3<\/td>\n0.6532 %<\/td>\n2,613.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.65 %<\/td>\n3.20 %<\/td>\n59,626<\/td>\n0.78<\/td>\n4<\/td>\n-0.5531 %<\/td>\n2,539.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.47 %<\/td>\n4.89 %<\/td>\n74,124<\/td>\n4.61<\/td>\n3<\/td>\n-0.0665 %<\/td>\n2,802.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.5531 %<\/td>\n2,321.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.29 %<\/td>\n3.79 %<\/td>\n90,607<\/td>\n1.05<\/td>\n28<\/td>\n-0.0694 %<\/td>\n2,278.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.93 %<\/td>\n4.99 %<\/td>\n98,633<\/td>\n15.40<\/td>\n3<\/td>\n-0.0830 %<\/td>\n2,535.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.99 %<\/td>\n3.09 %<\/td>\n165,280<\/td>\n4.08<\/td>\n70<\/td>\n-0.0730 %<\/td>\n2,421.3<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.95 %<\/td>\n3.64 %<\/td>\n122,853<\/td>\n1.95<\/td>\n46<\/td>\n-0.0909 %<\/td>\n2,366.1<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
FTS.PR.E<\/td>\nOpRet<\/td>\n-2.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-06-01
\nMaturity Price : 25.75
\nEvaluated at bid price : 26.26
\nBid-YTW : 2.19 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n-1.87 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-09-10
\nMaturity Price : 21.75
\nEvaluated at bid price : 21.00
\nBid-YTW : 3.88 %<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nDeemed-Retractible<\/td>\n-1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.70
\nBid-YTW : 4.33 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n-1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-09-10
\nMaturity Price : 23.69
\nEvaluated at bid price : 25.52
\nBid-YTW : 3.22 %<\/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
SLF.PR.B<\/td>\nDeemed-Retractible<\/td>\n277,305<\/td>\nNesbitt crossed blocks of 227,300 (nice ticket!) and 47,900, both at 24.40.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.39
\nBid-YTW : 5.13 %<\/td>\n<\/tr>\n
CIU.PR.B<\/td>\nFixedReset<\/td>\n113,500<\/td>\nNational crossed blocks of 82,000 and 26,700.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.00
\nBid-YTW : 2.08 %<\/td>\n<\/tr>\n
PWF.PR.M<\/td>\nFixedReset<\/td>\n62,000<\/td>\nTD crossed 62,000 at 26.25.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.05
\nBid-YTW : 3.39 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nDeemed-Retractible<\/td>\n52,706<\/td>\nNesbitt crossed 47,900 at 23.86.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.78
\nBid-YTW : 5.33 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset<\/td>\n42,829<\/td>\nRBC sold 13,200 to Nesbitt at 25.70, then crossed 15,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-12-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.70
\nBid-YTW : 3.68 %<\/td>\n<\/tr>\n
MFC.PR.H<\/td>\nFixedReset<\/td>\n37,900<\/td>\nRBC crossed 20,000 at 25.80.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-03-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.80
\nBid-YTW : 3.82 %<\/td>\n<\/tr>\n
There were 16 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.M<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.15 – 24.50
\nSpot Rate : 0.3500
\nAverage : 0.2175<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-09-10
\nMaturity Price : 23.87
\nEvaluated at bid price : 24.15
\nBid-YTW : 4.99 %<\/td>\n<\/tr>\n

HSB.PR.D<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.70 – 26.11
\nSpot Rate : 0.4100
\nAverage : 0.2800<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.70
\nBid-YTW : 4.33 %<\/td>\n<\/tr>\n

IAG.PR.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.07 – 26.49
\nSpot Rate : 0.4200
\nAverage : 0.2910<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.07
\nBid-YTW : 5.31 %<\/td>\n<\/tr>\n

FTS.PR.E<\/td>\nOpRet<\/td>\nQuote: 26.26 – 26.59
\nSpot Rate : 0.3300
\nAverage : 0.2108<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-06-01
\nMaturity Price : 25.75
\nEvaluated at bid price : 26.26
\nBid-YTW : 2.19 %<\/td>\n<\/tr>\n

PWF.PR.M<\/td>\nFixedReset<\/td>\nQuote: 26.05 – 26.40
\nSpot Rate : 0.3500
\nAverage : 0.2503<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.05
\nBid-YTW : 3.39 %<\/td>\n<\/tr>\n

IAG.PR.C<\/td>\nFixedReset<\/td>\nQuote: 25.86 – 26.23
\nSpot Rate : 0.3700
\nAverage : 0.2893<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.86
\nBid-YTW : 3.25 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

There are rising expectations for low rates forever: Just six months ago, money market traders expected the Federal Reserve to raise interest rates by the end of 2013. Now, they see borrowing costs staying at …<\/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-19696","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/19696","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=19696"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/19696\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=19696"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=19696"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=19696"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}