{"id":24190,"date":"2014-01-13T23:48:22","date_gmt":"2014-01-14T04:48:22","guid":{"rendered":"http:\/\/prefblog.com\/?p=24190"},"modified":"2014-01-13T23:48:22","modified_gmt":"2014-01-14T04:48:22","slug":"january-13-2014","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=24190","title":{"rendered":"January 13, 2014"},"content":{"rendered":"

Nothing happened today. Bloomberg has a nice piece on Chinese MMFs<\/a>, but it’s not written in such a way that I can convey the gist by extracting a few paragraphs. It will be most interesting to see what, if any, mechanisms are introduced to forestall disruptive panic after a major default.<\/p>\n

It was a negative day for the Canadian preferred share market, with PerpetualDiscounts off 3bp, FixedResets flat and DeemedRetractibles down 16bp. The Performance Highlights table is heavily skewed to the downside and notable for the presence of two TRP issues, hit with fallout from the new issue<\/a>. Volume was high.<\/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>\n0.5379 %<\/td>\n2,572.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.42 %<\/td>\n3.65 %<\/td>\n32,843<\/td>\n18.11<\/td>\n1<\/td>\n0.2190 %<\/td>\n3,840.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.91 %<\/td>\n2.91 %<\/td>\n68,260<\/td>\n19.96<\/td>\n3<\/td>\n0.5379 %<\/td>\n2,777.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.62 %<\/td>\n0.70 %<\/td>\n78,617<\/td>\n0.08<\/td>\n3<\/td>\n0.0642 %<\/td>\n2,672.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.85 %<\/td>\n4.73 %<\/td>\n67,975<\/td>\n4.43<\/td>\n5<\/td>\n-0.0240 %<\/td>\n3,023.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0642 %<\/td>\n2,443.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.63 %<\/td>\n2.66 %<\/td>\n128,740<\/td>\n0.14<\/td>\n13<\/td>\n0.0000 %<\/td>\n2,322.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.63 %<\/td>\n5.64 %<\/td>\n169,236<\/td>\n14.46<\/td>\n25<\/td>\n-0.0286 %<\/td>\n2,357.7<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.95 %<\/td>\n3.49 %<\/td>\n215,443<\/td>\n3.45<\/td>\n82<\/td>\n-0.0044 %<\/td>\n2,485.5<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.14 %<\/td>\n4.40 %<\/td>\n165,760<\/td>\n2.00<\/td>\n42<\/td>\n-0.1594 %<\/td>\n2,404.9<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.60 %<\/td>\n2.33 %<\/td>\n233,147<\/td>\n4.33<\/td>\n5<\/td>\n-0.0633 %<\/td>\n2,472.3<\/td>\n<\/tr>\n<\/table>\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
TRP.PR.A<\/td>\nFixedReset<\/td>\n-1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-13
\nMaturity Price : 23.19
\nEvaluated at bid price : 23.76
\nBid-YTW : 3.91 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n-1.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-13
\nMaturity Price : 22.70
\nEvaluated at bid price : 23.50
\nBid-YTW : 4.39 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset<\/td>\n-1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-13
\nMaturity Price : 23.09
\nEvaluated at bid price : 24.85
\nBid-YTW : 4.02 %<\/td>\n<\/tr>\n
ELF.PR.H<\/td>\nPerpetual-Discount<\/td>\n-1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-13
\nMaturity Price : 23.45
\nEvaluated at bid price : 23.81
\nBid-YTW : 5.79 %<\/td>\n<\/tr>\n
GWO.PR.Q<\/td>\nDeemed-Retractible<\/td>\n-1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.13
\nBid-YTW : 6.16 %<\/td>\n<\/tr>\n
CIU.PR.C<\/td>\nFixedReset<\/td>\n1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-13
\nMaturity Price : 20.51
\nEvaluated at bid price : 20.51
\nBid-YTW : 3.96 %<\/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
TRP.PR.D<\/td>\nFixedReset<\/td>\n624,178<\/td>\nAdded to TXPL<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-13
\nMaturity Price : 23.09
\nEvaluated at bid price : 24.85
\nBid-YTW : 4.02 %<\/td>\n<\/tr>\n
TD.PR.A<\/td>\nFixedReset<\/td>\n224,779<\/td>\nScotia crossed 73,800 at 24.98 and 98,000 at 24.97. TD crossed 50,000 at 24.98.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.97
\nBid-YTW : 3.77 %<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n121,597<\/td>\nWill Reset at 3.83%<\/a>. Yield to DeemedMaturity is 3.57%.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.18
\nBid-YTW : -3.28 %<\/td>\n<\/tr>\n
PWF.PR.M<\/td>\nFixedReset<\/td>\n118,586<\/td>\nScotia crossed 40,000 at 24.98 and 75,000 at 24.97.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-02
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.97
\nBid-YTW : 4.58 %<\/td>\n<\/tr>\n
TD.PR.C<\/td>\nFixedReset<\/td>\n92,696<\/td>\nScotia crossed 36,400 at 24.98 and 55,000 at 24.97.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-02
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.97
\nBid-YTW : 4.33 %<\/td>\n<\/tr>\n
TD.PR.G<\/td>\nFixedReset<\/td>\n88,667<\/td>\nScotia crossed 76,400 at 25.22.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.21
\nBid-YTW : 2.26 %<\/td>\n<\/tr>\n
There were 46 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
ELF.PR.G<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.35 – 21.79
\nSpot Rate : 0.4400
\nAverage : 0.3387<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-13
\nMaturity Price : 21.35
\nEvaluated at bid price : 21.35
\nBid-YTW : 5.60 %<\/td>\n<\/tr>\n

MFC.PR.B<\/td>\nDeemed-Retractible<\/td>\nQuote: 21.13 – 21.40
\nSpot Rate : 0.2700
\nAverage : 0.1829<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.13
\nBid-YTW : 6.74 %<\/td>\n<\/tr>\n

TD.PR.R<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.01 – 26.19
\nSpot Rate : 0.1800
\nAverage : 0.1252<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.75
\nEvaluated at bid price : 26.01
\nBid-YTW : 1.02 %<\/td>\n<\/tr>\n

BMO.PR.K<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.98 – 26.15
\nSpot Rate : 0.1700
\nAverage : 0.1232<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-12
\nMaturity Price : 25.75
\nEvaluated at bid price : 25.98
\nBid-YTW : 2.54 %<\/td>\n<\/tr>\n

MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\nQuote: 20.93 – 21.18
\nSpot Rate : 0.2500
\nAverage : 0.2034<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.93
\nBid-YTW : 6.69 %<\/td>\n<\/tr>\n

BAM.PF.D<\/td>\nPerpetual-Discount<\/td>\nQuote: 20.17 – 20.30
\nSpot Rate : 0.1300
\nAverage : 0.0853<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-13
\nMaturity Price : 20.17
\nEvaluated at bid price : 20.17
\nBid-YTW : 6.14 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. Bloomberg has a nice piece on Chinese MMFs, but it’s not written in such a way that I can convey the gist by extracting a few paragraphs. It will be most interesting …<\/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-24190","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/24190","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=24190"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/24190\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=24190"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=24190"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=24190"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}