{"id":23524,"date":"2013-11-01T01:28:25","date_gmt":"2013-11-01T05:28:25","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=23524"},"modified":"2013-11-01T01:28:25","modified_gmt":"2013-11-01T05:28:25","slug":"october-31-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=23524","title":{"rendered":"October 31, 2013"},"content":{"rendered":"

Nothing happened today.<\/p>\n

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 37bp, FixedResets gaining 11bp and DeemedRetractibles off 3bp. The Performance Highlights table is notable on the downside for domination by BAM Floating Rate issues, while the upside has a surprisingly large population of FixedResets. Volume was high.<\/p>\n

PerpetualDiscounts now yield 5.49%, equivalent to 7.14% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield about 4.7%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 245bp, unchanged from October 23<\/a>.<\/p>\n

And that’s it for another month!<\/p>\n\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-0.9452 %<\/td>\n2,459.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.19 %<\/td>\n3.47 %<\/td>\n28,099<\/td>\n18.46<\/td>\n1<\/td>\n2.0702 %<\/td>\n4,007.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.75 %<\/td>\n3.03 %<\/td>\n63,356<\/td>\n19.65<\/td>\n5<\/td>\n-0.9452 %<\/td>\n2,655.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.62 %<\/td>\n3.16 %<\/td>\n68,248<\/td>\n0.57<\/td>\n3<\/td>\n0.0900 %<\/td>\n2,640.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.75 %<\/td>\n4.90 %<\/td>\n63,647<\/td>\n3.68<\/td>\n6<\/td>\n0.1314 %<\/td>\n2,956.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0900 %<\/td>\n2,414.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.78 %<\/td>\n0.13 %<\/td>\n105,812<\/td>\n0.08<\/td>\n7<\/td>\n0.1586 %<\/td>\n2,299.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.49 %<\/td>\n5.49 %<\/td>\n186,112<\/td>\n14.46<\/td>\n30<\/td>\n0.3678 %<\/td>\n2,375.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.01 %<\/td>\n3.65 %<\/td>\n227,423<\/td>\n3.37<\/td>\n82<\/td>\n0.1110 %<\/td>\n2,454.8<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.08 %<\/td>\n4.15 %<\/td>\n195,475<\/td>\n1.51<\/td>\n43<\/td>\n-0.0330 %<\/td>\n2,413.8<\/td>\n<\/tr>\n
FloatingReset<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n5<\/td>\n0.1110 %<\/td>\n2,454.8<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nDeemed-Retractible<\/td>\n-2.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.71
\nBid-YTW : 6.41 %<\/td>\n<\/tr>\n
BAM.PR.C<\/td>\nFloater<\/td>\n-1.69 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 17.40
\nEvaluated at bid price : 17.40
\nBid-YTW : 3.04 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n-1.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 17.34
\nEvaluated at bid price : 17.34
\nBid-YTW : 3.05 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n-1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 17.46
\nEvaluated at bid price : 17.46
\nBid-YTW : 3.03 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n-1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 23.46
\nEvaluated at bid price : 25.07
\nBid-YTW : 4.13 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 23.63
\nEvaluated at bid price : 24.11
\nBid-YTW : 3.84 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 22.60
\nEvaluated at bid price : 22.96
\nBid-YTW : 5.24 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.27
\nBid-YTW : 5.78 %<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 23.70
\nEvaluated at bid price : 23.97
\nBid-YTW : 5.50 %<\/td>\n<\/tr>\n
VNR.PR.A<\/td>\nFixedReset<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-10-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.40
\nBid-YTW : 3.98 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 22.87
\nEvaluated at bid price : 23.16
\nBid-YTW : 5.43 %<\/td>\n<\/tr>\n
CIU.PR.C<\/td>\nFixedReset<\/td>\n1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 20.61
\nEvaluated at bid price : 20.61
\nBid-YTW : 3.91 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 21.96
\nEvaluated at bid price : 22.36
\nBid-YTW : 4.18 %<\/td>\n<\/tr>\n
ENB.PR.D<\/td>\nFixedReset<\/td>\n1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 22.89
\nEvaluated at bid price : 24.14
\nBid-YTW : 4.19 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 21.60
\nEvaluated at bid price : 22.00
\nBid-YTW : 3.72 %<\/td>\n<\/tr>\n
ENB.PR.Y<\/td>\nFixedReset<\/td>\n1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 22.45
\nEvaluated at bid price : 23.40
\nBid-YTW : 4.35 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 22.75
\nEvaluated at bid price : 23.15
\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n
ENB.PR.H<\/td>\nFixedReset<\/td>\n1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 22.46
\nEvaluated at bid price : 23.32
\nBid-YTW : 4.16 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n2.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 22.89
\nEvaluated at bid price : 22.68
\nBid-YTW : 3.47 %<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetual-Discount<\/td>\n2.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 23.69
\nEvaluated at bid price : 24.00
\nBid-YTW : 5.61 %<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n2.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 23.04
\nEvaluated at bid price : 23.33
\nBid-YTW : 5.32 %<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\nNot Calc!<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.86
\nBid-YTW : 3.60 %<\/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.A<\/td>\nDeemed-Retractible<\/td>\n99,266<\/td>\nRBC crossed 80,200 at 22.75.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.71
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nDeemed-Retractible<\/td>\n97,747<\/td>\nRBC crossed 82,000 at 22.36.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.13
\nBid-YTW : 6.00 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n53,571<\/td>\nRBC crossed 24,900 at 21.39.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 21.30
\nEvaluated at bid price : 21.30
\nBid-YTW : 5.38 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\n49,176<\/td>\nTD crossed 30,000 at 23.38.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.27
\nBid-YTW : 5.78 %<\/td>\n<\/tr>\n
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\n34,460<\/td>\nRBC crossed 25,000 at 21.39.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 21.30
\nEvaluated at bid price : 21.30
\nBid-YTW : 5.38 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n31,638<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 20.15
\nEvaluated at bid price : 20.15
\nBid-YTW : 5.97 %<\/td>\n<\/tr>\n
There were 51 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: 21.71 – 22.20
\nSpot Rate : 0.4900
\nAverage : 0.3070<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.71
\nBid-YTW : 6.41 %<\/td>\n<\/tr>\n

PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.46 – 23.90
\nSpot Rate : 0.4400
\nAverage : 0.3165<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 23.17
\nEvaluated at bid price : 23.46
\nBid-YTW : 5.45 %<\/td>\n<\/tr>\n

CGI.PR.D<\/td>\nSplitShare<\/td>\nQuote: 23.81 – 24.26
\nSpot Rate : 0.4500
\nAverage : 0.3354<\/p>\n

YTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2023-06-14
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.81
\nBid-YTW : 4.45 %<\/td>\n<\/tr>\n

FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.50 – 23.89
\nSpot Rate : 0.3900
\nAverage : 0.2887<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 23.21
\nEvaluated at bid price : 23.50
\nBid-YTW : 5.29 %<\/td>\n<\/tr>\n

GWO.PR.P<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.90 – 25.24
\nSpot Rate : 0.3400
\nAverage : 0.2476<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.90
\nBid-YTW : 5.54 %<\/td>\n<\/tr>\n

BAM.PR.K<\/td>\nFloater<\/td>\nQuote: 17.34 – 17.75
\nSpot Rate : 0.4100
\nAverage : 0.3222<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-31
\nMaturity Price : 17.34
\nEvaluated at bid price : 17.34
\nBid-YTW : 3.05 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 37bp, FixedResets gaining 11bp and DeemedRetractibles off 3bp. The Performance Highlights table is notable on the downside for …<\/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-23524","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/23524","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=23524"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/23524\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=23524"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=23524"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=23524"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}