{"id":24105,"date":"2014-01-02T19:42:11","date_gmt":"2014-01-03T00:42:11","guid":{"rendered":"http:\/\/prefblog.com\/?p=24105"},"modified":"2014-01-02T19:42:11","modified_gmt":"2014-01-03T00:42:11","slug":"january-2-2014","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=24105","title":{"rendered":"January 2, 2014"},"content":{"rendered":"

Nothing happened today, either.<\/p>\n

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 27bp, FixedResets off 1bp and DeemedRetractibles gaining 12bp. The Performance Highlights table is heavily skewed towards winners, with Floating Rate issues notable on the plus side. Volume was abysmally low – will the current rally in Straight Perpetuals survive the return of trading activity?<\/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>\n1.0908 %<\/td>\n2,551.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.51 %<\/td>\n3.81 %<\/td>\n35,449<\/td>\n17.70<\/td>\n1<\/td>\n1.2019 %<\/td>\n3,719.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.93 %<\/td>\n2.94 %<\/td>\n61,607<\/td>\n19.90<\/td>\n3<\/td>\n1.0908 %<\/td>\n2,754.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.64 %<\/td>\n2.80 %<\/td>\n81,188<\/td>\n0.40<\/td>\n3<\/td>\n0.0902 %<\/td>\n2,663.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.85 %<\/td>\n4.65 %<\/td>\n71,105<\/td>\n4.45<\/td>\n5<\/td>\n0.0722 %<\/td>\n3,023.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0902 %<\/td>\n2,435.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.63 %<\/td>\n4.98 %<\/td>\n129,259<\/td>\n4.15<\/td>\n13<\/td>\n-0.0536 %<\/td>\n2,311.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.64 %<\/td>\n5.69 %<\/td>\n182,321<\/td>\n14.40<\/td>\n25<\/td>\n0.2658 %<\/td>\n2,346.0<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.96 %<\/td>\n3.52 %<\/td>\n216,606<\/td>\n3.41<\/td>\n82<\/td>\n-0.0111 %<\/td>\n2,472.8<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.13 %<\/td>\n4.28 %<\/td>\n184,381<\/td>\n2.03<\/td>\n42<\/td>\n0.1224 %<\/td>\n2,400.5<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.62 %<\/td>\n2.36 %<\/td>\n246,400<\/td>\n4.36<\/td>\n5<\/td>\n-0.1897 %<\/td>\n2,463.6<\/td>\n<\/tr>\n<\/table>\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.P<\/td>\nFixedReset<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-02
\nMaturity Price : 22.16
\nEvaluated at bid price : 22.42
\nBid-YTW : 4.11 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nDeemed-Retractible<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.91
\nBid-YTW : 6.59 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-02
\nMaturity Price : 21.26
\nEvaluated at bid price : 21.26
\nBid-YTW : 5.36 %<\/td>\n<\/tr>\n
BAM.PR.C<\/td>\nFloater<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-02
\nMaturity Price : 17.85
\nEvaluated at bid price : 17.85
\nBid-YTW : 2.95 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-02
\nMaturity Price : 21.65
\nEvaluated at bid price : 21.05
\nBid-YTW : 3.81 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-02
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 2.93 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-02
\nMaturity Price : 23.02
\nEvaluated at bid price : 23.32
\nBid-YTW : 5.30 %<\/td>\n<\/tr>\n
CU.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-02
\nMaturity Price : 22.96
\nEvaluated at bid price : 23.26
\nBid-YTW : 5.32 %<\/td>\n<\/tr>\n
GWO.PR.P<\/td>\nDeemed-Retractible<\/td>\n2.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.28
\nBid-YTW : 5.80 %<\/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
ENB.PR.N<\/td>\nFixedReset<\/td>\n26,187<\/td>\nScotia bought 13,200 from anonymous at 24.45.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-12-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.62
\nBid-YTW : 4.45 %<\/td>\n<\/tr>\n
TD.PR.G<\/td>\nFixedReset<\/td>\n21,825<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.62
\nBid-YTW : 1.80 %<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nDeemed-Retractible<\/td>\n18,538<\/td>\nRBC crossed 15,000 at 22.00.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.91
\nBid-YTW : 6.36 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset<\/td>\n17,403<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.29
\nBid-YTW : 3.71 %<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n14,917<\/td>\nWill reset with 3.83% coupon<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.30
\nBid-YTW : 0.58 %<\/td>\n<\/tr>\n
NA.PR.O<\/td>\nFixedReset<\/td>\n14,385<\/td>\nCalled for redemption<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.38
\nBid-YTW : 1.17 %<\/td>\n<\/tr>\n
There were 1 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.J<\/td>\nOpRet<\/td>\nQuote: 26.40 – 26.94
\nSpot Rate : 0.5400
\nAverage : 0.3000<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.40
\nBid-YTW : -1.06 %<\/td>\n<\/tr>\n

RY.PR.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.30 – 25.67
\nSpot Rate : 0.3700
\nAverage : 0.2199<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.30
\nBid-YTW : 4.37 %<\/td>\n<\/tr>\n

BAM.PR.T<\/td>\nFixedReset<\/td>\nQuote: 24.10 – 24.49
\nSpot Rate : 0.3900
\nAverage : 0.2464<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-02
\nMaturity Price : 22.99
\nEvaluated at bid price : 24.10
\nBid-YTW : 4.41 %<\/td>\n<\/tr>\n

BMO.PR.K<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.81 – 26.10
\nSpot Rate : 0.2900
\nAverage : 0.1745<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-11-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.81
\nBid-YTW : 4.28 %<\/td>\n<\/tr>\n

ELF.PR.H<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.41 – 23.78
\nSpot Rate : 0.3700
\nAverage : 0.2577<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-02
\nMaturity Price : 23.09
\nEvaluated at bid price : 23.41
\nBid-YTW : 5.88 %<\/td>\n<\/tr>\n

TRP.PR.A<\/td>\nFixedReset<\/td>\nQuote: 23.58 – 23.99
\nSpot Rate : 0.4100
\nAverage : 0.3026<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-02
\nMaturity Price : 23.02
\nEvaluated at bid price : 23.58
\nBid-YTW : 4.12 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today, either. It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 27bp, FixedResets off 1bp and DeemedRetractibles gaining 12bp. The Performance Highlights table is heavily skewed towards winners, …<\/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-24105","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/24105","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=24105"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/24105\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=24105"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=24105"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=24105"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}