{"id":23089,"date":"2013-09-17T21:56:48","date_gmt":"2013-09-18T01:56:48","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=23089"},"modified":"2013-09-17T21:56:48","modified_gmt":"2013-09-18T01:56:48","slug":"september-17-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=23089","title":{"rendered":"September 17, 2013"},"content":{"rendered":"

Nothing happened today, but I’m sure there was more tapering chatter.<\/p>\n

It was another fine day for the Canadian preferred share market, with PerpetualDiscounts up 22bp, FixedResets gaining 18bp and DeemedRetractibles winning 37bp. The Performance Highlights table is short by current standards, skewed heavily towards winners. Volume was heavy, with the Volume Highlights table comprised entirely of relatively low-coupon FixedResets.<\/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>\n0.0793 %<\/td>\n2,598.7<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.30 %<\/td>\n3.61 %<\/td>\n30,606<\/td>\n18.10<\/td>\n1<\/td>\n0.4087 %<\/td>\n3,864.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.60 %<\/td>\n2.86 %<\/td>\n65,074<\/td>\n20.08<\/td>\n5<\/td>\n0.0793 %<\/td>\n2,805.8<\/td>\n<\/tr>\n
OpRet<\/td>\n4.61 %<\/td>\n2.57 %<\/td>\n71,436<\/td>\n0.53<\/td>\n3<\/td>\n-0.0768 %<\/td>\n2,645.9<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.76 %<\/td>\n4.80 %<\/td>\n56,357<\/td>\n4.07<\/td>\n6<\/td>\n-0.1150 %<\/td>\n2,942.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0768 %<\/td>\n2,419.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.86 %<\/td>\n5.87 %<\/td>\n110,093<\/td>\n13.98<\/td>\n2<\/td>\n0.7143 %<\/td>\n2,263.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.61 %<\/td>\n5.74 %<\/td>\n135,849<\/td>\n14.23<\/td>\n36<\/td>\n0.2159 %<\/td>\n2,318.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.93 %<\/td>\n3.67 %<\/td>\n240,564<\/td>\n3.49<\/td>\n85<\/td>\n0.1815 %<\/td>\n2,455.1<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.15 %<\/td>\n4.81 %<\/td>\n195,494<\/td>\n6.91<\/td>\n43<\/td>\n0.3740 %<\/td>\n2,362.7<\/td>\n<\/tr>\n<\/table>\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
TRI.PR.B<\/td>\nFloater<\/td>\n-1.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-17
\nMaturity Price : 22.71
\nEvaluated at bid price : 23.00
\nBid-YTW : 2.24 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-17
\nMaturity Price : 20.85
\nEvaluated at bid price : 20.85
\nBid-YTW : 5.57 %<\/td>\n<\/tr>\n
BMO.PR.K<\/td>\nDeemed-Retractible<\/td>\n1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-11-25
\nMaturity Price : 25.75
\nEvaluated at bid price : 26.01
\nBid-YTW : 1.44 %<\/td>\n<\/tr>\n
BNS.PR.Y<\/td>\nFixedReset<\/td>\n1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.00
\nBid-YTW : 3.87 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n1.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-17
\nMaturity Price : 23.21
\nEvaluated at bid price : 23.51
\nBid-YTW : 2.21 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.80 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-17
\nMaturity Price : 22.76
\nEvaluated at bid price : 23.17
\nBid-YTW : 5.31 %<\/td>\n<\/tr>\n
RY.PR.C<\/td>\nDeemed-Retractible<\/td>\n2.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-11-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.31
\nBid-YTW : 4.17 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n115,202<\/td>\nRBC crossed 100,000 at 25.15.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.11
\nBid-YTW : 3.80 %<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\n107,220<\/td>\nRBC crossed 100,000 at 25.06.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.08
\nBid-YTW : 3.80 %<\/td>\n<\/tr>\n
ENB.PR.H<\/td>\nFixedReset<\/td>\n71,130<\/td>\nNesbitt crossed 50,000 at 22.80.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-17
\nMaturity Price : 22.15
\nEvaluated at bid price : 22.78
\nBid-YTW : 4.52 %<\/td>\n<\/tr>\n
BNS.PR.Y<\/td>\nFixedReset<\/td>\n60,690<\/td>\nRBC crossed 50,000 at 24.14.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.00
\nBid-YTW : 3.87 %<\/td>\n<\/tr>\n
ENB.PR.T<\/td>\nFixedReset<\/td>\n53,324<\/td>\nTD crossed 25,000 at 23.75.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-17
\nMaturity Price : 22.64
\nEvaluated at bid price : 23.77
\nBid-YTW : 4.58 %<\/td>\n<\/tr>\n
ENB.PR.Y<\/td>\nFixedReset<\/td>\n40,205<\/td>\nTD crossed 25,000 at 23.80.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-17
\nMaturity Price : 22.61
\nEvaluated at bid price : 23.72
\nBid-YTW : 4.49 %<\/td>\n<\/tr>\n
There were 67 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
CIU.PR.C<\/td>\nFixedReset<\/td>\nQuote: 22.06 – 22.94
\nSpot Rate : 0.8800
\nAverage : 0.6844<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-17
\nMaturity Price : 21.63
\nEvaluated at bid price : 22.06
\nBid-YTW : 3.92 %<\/td>\n<\/tr>\n

CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.85 – 21.49
\nSpot Rate : 0.6400
\nAverage : 0.4555<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-17
\nMaturity Price : 20.85
\nEvaluated at bid price : 20.85
\nBid-YTW : 5.57 %<\/td>\n<\/tr>\n

TCA.PR.Y<\/td>\nPerpetual-Discount<\/td>\nQuote: 50.16 – 50.70
\nSpot Rate : 0.5400
\nAverage : 0.3820<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-17
\nMaturity Price : 49.69
\nEvaluated at bid price : 50.16
\nBid-YTW : 5.66 %<\/td>\n<\/tr>\n

BAM.PR.Z<\/td>\nFixedReset<\/td>\nQuote: 25.43 – 25.80
\nSpot Rate : 0.3700
\nAverage : 0.2552<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.43
\nBid-YTW : 4.34 %<\/td>\n<\/tr>\n

HSB.PR.C<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.90 – 25.21
\nSpot Rate : 0.3100
\nAverage : 0.1980<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.90
\nBid-YTW : 5.17 %<\/td>\n<\/tr>\n

BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.27 – 20.53
\nSpot Rate : 0.2600
\nAverage : 0.1685<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-09-17
\nMaturity Price : 20.27
\nEvaluated at bid price : 20.27
\nBid-YTW : 5.89 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today, but I’m sure there was more tapering chatter. It was another fine day for the Canadian preferred share market, with PerpetualDiscounts up 22bp, FixedResets gaining 18bp and DeemedRetractibles winning 37bp. The Performance …<\/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-23089","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/23089","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=23089"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/23089\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=23089"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=23089"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=23089"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}