{"id":22736,"date":"2013-08-07T22:32:21","date_gmt":"2013-08-08T02:32:21","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=22736"},"modified":"2013-08-07T22:32:21","modified_gmt":"2013-08-08T02:32:21","slug":"august-7-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=22736","title":{"rendered":"August 7, 2013"},"content":{"rendered":"

Nothing happened today.<\/p>\n

Another crushing day for the Canadian preferred share market, with PerpetualDiscounts losing 77bp, FixedResets off 8bp and DeemedRetractibles down 23bp. There is a suitably lengthy Performance Highlights table, suitably featuring PerpetualDiscount losers, but with an impressive number of FixedReset losers and a few winners to provide some variety. Volume was quite high.<\/p>\n

PerpetualDiscounts now yield 5.64%, equivalent to 7.33% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield about 4.7%, so the pre-tax interest-equivalent spread is now about 265bp, an extremely sharp widening from the 240bp reported July 31<\/a>.<\/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>\n0.2143 %<\/td>\n2,635.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.14 %<\/td>\n3.43 %<\/td>\n32,324<\/td>\n18.49<\/td>\n1<\/td>\n0.0000 %<\/td>\n4,011.5<\/td>\n<\/tr>\n
Floater<\/td>\n2.55 %<\/td>\n2.84 %<\/td>\n75,208<\/td>\n20.11<\/td>\n5<\/td>\n0.2143 %<\/td>\n2,845.2<\/td>\n<\/tr>\n
OpRet<\/td>\n4.60 %<\/td>\n2.97 %<\/td>\n77,587<\/td>\n0.63<\/td>\n3<\/td>\n-0.3568 %<\/td>\n2,620.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.67 %<\/td>\n4.67 %<\/td>\n57,911<\/td>\n4.14<\/td>\n6<\/td>\n0.4295 %<\/td>\n2,966.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3568 %<\/td>\n2,396.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.69 %<\/td>\n5.43 %<\/td>\n90,282<\/td>\n3.86<\/td>\n12<\/td>\n-0.1738 %<\/td>\n2,276.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.51 %<\/td>\n5.64 %<\/td>\n154,772<\/td>\n14.43<\/td>\n25<\/td>\n-0.7676 %<\/td>\n2,335.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.00 %<\/td>\n3.90 %<\/td>\n234,219<\/td>\n4.66<\/td>\n85<\/td>\n-0.0834 %<\/td>\n2,441.3<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.17 %<\/td>\n5.05 %<\/td>\n183,953<\/td>\n6.99<\/td>\n43<\/td>\n-0.2312 %<\/td>\n2,338.6<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\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
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n-3.46 %<\/td>\nPretty real. 100 shares changed hands at 22.03 fifteen minutes before the close and the “last” quote was 22.03-26, 10×1. However, the VWAP (volume weighted average price) was 22.39 on 14,493 shares, so we’ll find out tomorrow if it was real or just a little last minute weariness.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 21.68
\nEvaluated at bid price : 22.03
\nBid-YTW : 5.64 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n-3.38 %<\/td>\nReal! All board lots after 2:30pm were under 22.00.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 21.38
\nEvaluated at bid price : 21.70
\nBid-YTW : 5.56 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n-2.55 %<\/td>\nReal! Lots of action below par, and the low for the day was 24.22.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 23.22
\nEvaluated at bid price : 24.85
\nBid-YTW : 4.13 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n-2.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.85
\nBid-YTW : 3.97 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n-1.87 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 21.03
\nEvaluated at bid price : 21.03
\nBid-YTW : 5.73 %<\/td>\n<\/tr>\n
BAM.PF.D<\/td>\nPerpetual-Discount<\/td>\n-1.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 21.48
\nEvaluated at bid price : 21.76
\nBid-YTW : 5.71 %<\/td>\n<\/tr>\n
ENB.PR.N<\/td>\nFixedReset<\/td>\n-1.74 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 22.89
\nEvaluated at bid price : 24.32
\nBid-YTW : 4.41 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n-1.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 22.18
\nEvaluated at bid price : 22.51
\nBid-YTW : 3.84 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 21.30
\nEvaluated at bid price : 21.58
\nBid-YTW : 5.31 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset<\/td>\n-1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 22.36
\nEvaluated at bid price : 23.15
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n
FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 22.77
\nEvaluated at bid price : 23.02
\nBid-YTW : 5.41 %<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\n-1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 20.83
\nEvaluated at bid price : 20.83
\nBid-YTW : 5.78 %<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetual-Discount<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 23.15
\nEvaluated at bid price : 23.45
\nBid-YTW : 5.75 %<\/td>\n<\/tr>\n
GWO.PR.R<\/td>\nDeemed-Retractible<\/td>\n-1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.40
\nBid-YTW : 5.66 %<\/td>\n<\/tr>\n
ELF.PR.H<\/td>\nPerpetual-Discount<\/td>\n-1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 23.72
\nEvaluated at bid price : 24.09
\nBid-YTW : 5.75 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.76
\nBid-YTW : 6.04 %<\/td>\n<\/tr>\n
BNS.PR.N<\/td>\nDeemed-Retractible<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-01-27
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.10
\nBid-YTW : 5.18 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-09-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.25
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n-1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.65
\nBid-YTW : 4.16 %<\/td>\n<\/tr>\n
GCS.PR.A<\/td>\nSplitShare<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.87
\nBid-YTW : 4.17 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 22.90
\nEvaluated at bid price : 23.35
\nBid-YTW : 4.06 %<\/td>\n<\/tr>\n
RY.PR.B<\/td>\nDeemed-Retractible<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.69
\nBid-YTW : 4.88 %<\/td>\n<\/tr>\n
BNA.PR.E<\/td>\nSplitShare<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.40
\nBid-YTW : 4.67 %<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset<\/td>\n11.87 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 22.67
\nEvaluated at bid price : 23.84
\nBid-YTW : 4.54 %<\/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
GWO.PR.G<\/td>\nDeemed-Retractible<\/td>\n110,820<\/td>\nDesjardins crossed 100,000 at 24.00.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.95
\nBid-YTW : 5.81 %<\/td>\n<\/tr>\n
ENB.PR.Y<\/td>\nFixedReset<\/td>\n94,382<\/td>\nScotia crossed blocks of 10,000 and 30,000, both at 24.00.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 22.71
\nEvaluated at bid price : 23.97
\nBid-YTW : 4.27 %<\/td>\n<\/tr>\n
RY.PR.D<\/td>\nDeemed-Retractible<\/td>\n90,974<\/td>\nRBC crossed 78,800 at 24.35.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.26
\nBid-YTW : 4.93 %<\/td>\n<\/tr>\n
RY.PR.Y<\/td>\nFixedReset<\/td>\n59,390<\/td>\nNesbitt crossed 50,000 at 26.01.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-11-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.99
\nBid-YTW : 2.77 %<\/td>\n<\/tr>\n
RY.PR.X<\/td>\nFixedReset<\/td>\n57,363<\/td>\nNesbitt crossed 50,000 at 25.87.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.87
\nBid-YTW : 2.61 %<\/td>\n<\/tr>\n
CM.PR.M<\/td>\nFixedReset<\/td>\n53,505<\/td>\nScotia crossed 40,000 at 25.95.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.80
\nBid-YTW : 3.33 %<\/td>\n<\/tr>\n
There were 56 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
BNS.PR.Y<\/td>\nFixedReset<\/td>\nQuote: 23.30 – 23.86
\nSpot Rate : 0.5600
\nAverage : 0.3400<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.30
\nBid-YTW : 4.01 %<\/td>\n<\/tr>\n

PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.70 – 22.14
\nSpot Rate : 0.4400
\nAverage : 0.2869<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 21.38
\nEvaluated at bid price : 21.70
\nBid-YTW : 5.56 %<\/td>\n<\/tr>\n

TCA.PR.X<\/td>\nPerpetual-Discount<\/td>\nQuote: 50.00 – 50.39
\nSpot Rate : 0.3900
\nAverage : 0.2478<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 49.56
\nEvaluated at bid price : 50.00
\nBid-YTW : 5.64 %<\/td>\n<\/tr>\n

RY.PR.C<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.45 – 24.92
\nSpot Rate : 0.4700
\nAverage : 0.3386<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.45
\nBid-YTW : 4.92 %<\/td>\n<\/tr>\n

POW.PR.B<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.45 – 23.83
\nSpot Rate : 0.3800
\nAverage : 0.2558<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 23.15
\nEvaluated at bid price : 23.45
\nBid-YTW : 5.75 %<\/td>\n<\/tr>\n

HSE.PR.A<\/td>\nFixedReset<\/td>\nQuote: 23.14 – 23.48
\nSpot Rate : 0.3400
\nAverage : 0.2227<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-07
\nMaturity Price : 22.57
\nEvaluated at bid price : 23.14
\nBid-YTW : 3.95 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. Another crushing day for the Canadian preferred share market, with PerpetualDiscounts losing 77bp, FixedResets off 8bp and DeemedRetractibles down 23bp. There is a suitably lengthy Performance Highlights table, suitably featuring PerpetualDiscount losers, …<\/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-22736","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/22736","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=22736"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/22736\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=22736"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=22736"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=22736"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}