{"id":23473,"date":"2013-10-26T01:42:58","date_gmt":"2013-10-26T05:42:58","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=23473"},"modified":"2013-10-26T01:42:58","modified_gmt":"2013-10-26T05:42:58","slug":"october-25-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=23473","title":{"rendered":"October 25, 2013"},"content":{"rendered":"

The BoC has released<\/a> a paper by Bo Young Chang and Bruno Feunou titled Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility<\/a>:<\/p>\n

We measure uncertainty surrounding the central bank\u2019s future policy rates using implied volatility computed from interest rate option prices and realized volatility computed from intraday prices of interest rate futures. Both volatility measures show that uncertainty decreased following the most important policy actions taken by the Bank of Canada as a response to the financial crisis of 2007\u201308, such as the conditional commitment of 2009\u201310, the unscheduled cut in the target rate coordinated with other major central banks, and the introduction of term purchase and resale agreements. We also find that, on average, uncertainty decreases following the Bank of Canada\u2019s policy rate announcements. Furthermore, our measures of policy rate uncertainty improve the estimation of policy rate expectations from overnight index swap (OIS) rates by predicting the risk premium in the OIS market.<\/p><\/blockquote>\n

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 1bp, FixedResets down 5bp and DeemedRetractibles gaining 9bp. Volatility was high, but without obvious patterns. Volume was high.<\/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>\n-0.7425 %<\/td>\n2,482.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.28 %<\/td>\n3.55 %<\/td>\n26,961<\/td>\n18.31<\/td>\n1<\/td>\n-0.6708 %<\/td>\n3,924.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.73 %<\/td>\n2.96 %<\/td>\n62,882<\/td>\n19.82<\/td>\n5<\/td>\n-0.7425 %<\/td>\n2,679.9<\/td>\n<\/tr>\n
OpRet<\/td>\n4.63 %<\/td>\n3.29 %<\/td>\n71,364<\/td>\n0.59<\/td>\n3<\/td>\n-0.0899 %<\/td>\n2,637.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.76 %<\/td>\n5.30 %<\/td>\n68,533<\/td>\n3.97<\/td>\n6<\/td>\n0.2763 %<\/td>\n2,946.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0899 %<\/td>\n2,411.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.81 %<\/td>\n2.78 %<\/td>\n108,979<\/td>\n0.08<\/td>\n7<\/td>\n-0.0455 %<\/td>\n2,286.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.53 %<\/td>\n5.56 %<\/td>\n178,700<\/td>\n14.40<\/td>\n30<\/td>\n-0.0130 %<\/td>\n2,354.0<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.96 %<\/td>\n3.66 %<\/td>\n243,609<\/td>\n3.38<\/td>\n85<\/td>\n-0.0517 %<\/td>\n2,443.3<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.13 %<\/td>\n4.37 %<\/td>\n192,696<\/td>\n2.82<\/td>\n43<\/td>\n0.0915 %<\/td>\n2,388.9<\/td>\n<\/tr>\n<\/table>\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
TRI.PR.B<\/td>\nFloater<\/td>\n-3.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-25
\nMaturity Price : 19.70
\nEvaluated at bid price : 19.70
\nBid-YTW : 2.68 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n-1.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-25
\nMaturity Price : 20.71
\nEvaluated at bid price : 20.71
\nBid-YTW : 4.14 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nDeemed-Retractible<\/td>\n-1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.39
\nBid-YTW : 6.58 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n-1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.70
\nBid-YTW : 4.54 %<\/td>\n<\/tr>\n
W.PR.J<\/td>\nPerpetual-Discount<\/td>\n-1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-25
\nMaturity Price : 24.21
\nEvaluated at bid price : 24.47
\nBid-YTW : 5.76 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nDeemed-Retractible<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.49
\nBid-YTW : 6.12 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.26
\nBid-YTW : 4.57 %<\/td>\n<\/tr>\n
BNA.PR.E<\/td>\nSplitShare<\/td>\n1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.75
\nBid-YTW : 5.33 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\n1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.35
\nBid-YTW : 6.36 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n2.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-25
\nMaturity Price : 21.24
\nEvaluated at bid price : 21.24
\nBid-YTW : 5.51 %<\/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
RY.PR.L<\/td>\nFixedReset<\/td>\n390,080<\/td>\nRBC crossed 382,000 at 25.12. Nice ticket!
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.14
\nBid-YTW : 2.54 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset<\/td>\n201,629<\/td>\nRBC crossed 193,700 at 22.00.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.08
\nBid-YTW : 4.95 %<\/td>\n<\/tr>\n
BNS.PR.K<\/td>\nDeemed-Retractible<\/td>\n122,597<\/td>\nNesbitt crossed blocks of 58,700 and 59,100, both at 25.07.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.07
\nBid-YTW : 4.06 %<\/td>\n<\/tr>\n
TD.PR.C<\/td>\nFixedReset<\/td>\n107,119<\/td>\nNesbitt crossed 50,000 at 25.19; TD crossed 50,000 at 25.18.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.18
\nBid-YTW : 2.56 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n47,650<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-25
\nMaturity Price : 23.44
\nEvaluated at bid price : 25.00
\nBid-YTW : 4.26 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\n46,697<\/td>\nTD crossed 30,000 at 22.30.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.30
\nBid-YTW : 6.28 %<\/td>\n<\/tr>\n
There were 55 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
MFC.PR.B<\/td>\nDeemed-Retractible<\/td>\nQuote: 21.39 – 21.91
\nSpot Rate : 0.5200
\nAverage : 0.3279<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.39
\nBid-YTW : 6.58 %<\/td>\n<\/tr>\n

RY.PR.R<\/td>\nFixedReset<\/td>\nQuote: 25.15 – 25.52
\nSpot Rate : 0.3700
\nAverage : 0.2253<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.15
\nBid-YTW : 2.91 %<\/td>\n<\/tr>\n

VNR.PR.A<\/td>\nFixedReset<\/td>\nQuote: 24.91 – 25.28
\nSpot Rate : 0.3700
\nAverage : 0.2317<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-10-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.91
\nBid-YTW : 4.51 %<\/td>\n<\/tr>\n

BAM.PR.G<\/td>\nFixedFloater<\/td>\nQuote: 22.21 – 22.67
\nSpot Rate : 0.4600
\nAverage : 0.3492<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-25
\nMaturity Price : 22.55
\nEvaluated at bid price : 22.21
\nBid-YTW : 3.55 %<\/td>\n<\/tr>\n

IFC.PR.C<\/td>\nFixedReset<\/td>\nQuote: 25.12 – 25.47
\nSpot Rate : 0.3500
\nAverage : 0.2404<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.12
\nBid-YTW : 4.15 %<\/td>\n<\/tr>\n

GWO.PR.P<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.60 – 24.92
\nSpot Rate : 0.3200
\nAverage : 0.2306<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.60
\nBid-YTW : 5.68 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

The BoC has released a paper by Bo Young Chang and Bruno Feunou titled Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility: We measure uncertainty surrounding the central bank\u2019s future policy rates …<\/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-23473","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/23473","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=23473"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/23473\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=23473"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=23473"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=23473"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}