{"id":24158,"date":"2014-01-09T01:05:42","date_gmt":"2014-01-09T06:05:42","guid":{"rendered":"http:\/\/prefblog.com\/?p=24158"},"modified":"2014-01-09T01:05:42","modified_gmt":"2014-01-09T06:05:42","slug":"january-8-2014","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=24158","title":{"rendered":"January 8, 2014"},"content":{"rendered":"

Nothing happened today.<\/p>\n

It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 1bp, FixedResets up 11bp and DeemedRetractibles down 12bp. The Performance Highlights table is short by standards of the past year. Volume was on the low side of average.<\/p>\n

PerpetualDiscounts now yield 5.66%, equivalent to 7.36% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield about 4.8%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread” is now about 255bp, a slight (and perhaps spurious) narrowing from the 260bp reported December 27<\/a>.<\/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>\n0.6714 %<\/td>\n2,561.9<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.47 %<\/td>\n3.77 %<\/td>\n33,922<\/td>\n17.76<\/td>\n1<\/td>\n-0.0470 %<\/td>\n3,754.6<\/td>\n<\/tr>\n
Floater<\/td>\n2.92 %<\/td>\n2.93 %<\/td>\n67,895<\/td>\n19.94<\/td>\n3<\/td>\n0.6714 %<\/td>\n2,766.2<\/td>\n<\/tr>\n
OpRet<\/td>\n4.63 %<\/td>\n1.82 %<\/td>\n76,431<\/td>\n0.39<\/td>\n3<\/td>\n0.1159 %<\/td>\n2,667.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.86 %<\/td>\n4.72 %<\/td>\n69,561<\/td>\n4.44<\/td>\n5<\/td>\n0.1125 %<\/td>\n3,019.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1159 %<\/td>\n2,438.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.64 %<\/td>\n3.62 %<\/td>\n129,165<\/td>\n0.15<\/td>\n13<\/td>\n0.1440 %<\/td>\n2,319.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.64 %<\/td>\n5.66 %<\/td>\n169,313<\/td>\n14.44<\/td>\n25<\/td>\n0.0149 %<\/td>\n2,355.2<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.96 %<\/td>\n3.50 %<\/td>\n211,261<\/td>\n3.40<\/td>\n82<\/td>\n0.1104 %<\/td>\n2,483.9<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.14 %<\/td>\n4.36 %<\/td>\n167,352<\/td>\n2.01<\/td>\n42<\/td>\n-0.1224 %<\/td>\n2,405.7<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.60 %<\/td>\n2.35 %<\/td>\n231,811<\/td>\n4.34<\/td>\n5<\/td>\n0.0793 %<\/td>\n2,473.3<\/td>\n<\/tr>\n<\/table>\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
SLF.PR.E<\/td>\nDeemed-Retractible<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.26
\nBid-YTW : 6.46 %<\/td>\n<\/tr>\n
BAM.PF.D<\/td>\nPerpetual-Discount<\/td>\n1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-08
\nMaturity Price : 20.20
\nEvaluated at bid price : 20.20
\nBid-YTW : 6.12 %<\/td>\n<\/tr>\n
BAM.PF.C<\/td>\nPerpetual-Discount<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-08
\nMaturity Price : 19.90
\nEvaluated at bid price : 19.90
\nBid-YTW : 6.15 %<\/td>\n<\/tr>\n
CIU.PR.C<\/td>\nFixedReset<\/td>\n1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-08
\nMaturity Price : 20.39
\nEvaluated at bid price : 20.39
\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
GWO.PR.I<\/td>\nDeemed-Retractible<\/td>\n323,182<\/td>\nTD crossed 100,000 at 21.50; Nesbitt crossed two blocks of 100,000 each at the same price.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.45
\nBid-YTW : 6.35 %<\/td>\n<\/tr>\n
RY.PR.C<\/td>\nDeemed-Retractible<\/td>\n68,395<\/td>\nRBC crossed blocks of 30,000 and 25,000, both at 25.40.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-11-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.35
\nBid-YTW : 4.16 %<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n62,926<\/td>\nWill reset at 3.83%<\/a>. Yield to Deemed Maturity 2022-1-31 at 25.00 is 3.74%.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.16
\nBid-YTW : -2.35 %<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n55,200<\/td>\nNesbitt crossed 50,000 at 25.05.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-10-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.08
\nBid-YTW : 3.50 %<\/td>\n<\/tr>\n
CIU.PR.B<\/td>\nFixedReset<\/td>\n50,100<\/td>\nScotia crossed 50,000 at 25.60.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.57
\nBid-YTW : 2.72 %<\/td>\n<\/tr>\n
BAM.PF.A<\/td>\nFixedReset<\/td>\n50,036<\/td>\nRBC crossed 38,400 at 25.35.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.56
\nBid-YTW : 4.02 %<\/td>\n<\/tr>\n
There were 29 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
VNR.PR.A<\/td>\nFixedReset<\/td>\nQuote: 25.13 – 25.44
\nSpot Rate : 0.3100
\nAverage : 0.2137<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-10-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.13
\nBid-YTW : 4.20 %<\/td>\n<\/tr>\n

CU.PR.D<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.51 – 22.85
\nSpot Rate : 0.3400
\nAverage : 0.2516<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-08
\nMaturity Price : 22.19
\nEvaluated at bid price : 22.51
\nBid-YTW : 5.50 %<\/td>\n<\/tr>\n

W.PR.J<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.39 – 24.71
\nSpot Rate : 0.3200
\nAverage : 0.2366<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-08
\nMaturity Price : 24.14
\nEvaluated at bid price : 24.39
\nBid-YTW : 5.76 %<\/td>\n<\/tr>\n

TCA.PR.Y<\/td>\nPerpetual-Premium<\/td>\nQuote: 49.97 – 50.37
\nSpot Rate : 0.4000
\nAverage : 0.3193<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-05
\nMaturity Price : 50.00
\nEvaluated at bid price : 49.97
\nBid-YTW : 3.62 %<\/td>\n<\/tr>\n

GWO.PR.N<\/td>\nFixedReset<\/td>\nQuote: 21.85 – 22.09
\nSpot Rate : 0.2400
\nAverage : 0.1664<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.85
\nBid-YTW : 4.83 %<\/td>\n<\/tr>\n

GWO.PR.L<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.80 – 25.00
\nSpot Rate : 0.2000
\nAverage : 0.1269<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.80
\nBid-YTW : 5.80 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 1bp, FixedResets up 11bp and DeemedRetractibles down 12bp. The Performance Highlights table is short by standards of the …<\/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-24158","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/24158","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=24158"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/24158\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=24158"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=24158"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=24158"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}