{"id":24222,"date":"2014-01-17T23:24:08","date_gmt":"2014-01-18T04:24:08","guid":{"rendered":"http:\/\/prefblog.com\/?p=24222"},"modified":"2014-01-17T23:24:08","modified_gmt":"2014-01-18T04:24:08","slug":"january-17-2014","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=24222","title":{"rendered":"January 17, 2014"},"content":{"rendered":"

Nothing happened today.<\/p>\n

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts down 38bp, FixedResets gaining 11bp and DeemedRetractibles off 7bp. The BAM Floaters got hammered. TRP issues were prominent in the Performance Highlights table, perhaps adjusting themselves for the new issue that settles Monday<\/a>. However, as the chart below shows, the four TRP issues are well-behaved in terms of Implied Volatility theory. Volume was very heavy.<\/p>\n

\"ImpVol_TRP_140117\"<\/a>
Click for Big<\/i><\/div>\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-1.8709 %<\/td>\n2,489.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.44 %<\/td>\n3.67 %<\/td>\n33,154<\/td>\n18.07<\/td>\n1<\/td>\n-0.0933 %<\/td>\n3,826.4<\/td>\n<\/tr>\n
Floater<\/td>\n3.00 %<\/td>\n3.02 %<\/td>\n72,871<\/td>\n19.69<\/td>\n3<\/td>\n-1.8709 %<\/td>\n2,687.8<\/td>\n<\/tr>\n
OpRet<\/td>\n4.61 %<\/td>\n0.39 %<\/td>\n77,926<\/td>\n0.20<\/td>\n3<\/td>\n0.0128 %<\/td>\n2,675.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.84 %<\/td>\n4.69 %<\/td>\n62,183<\/td>\n4.42<\/td>\n5<\/td>\n-0.0880 %<\/td>\n3,028.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0128 %<\/td>\n2,446.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.64 %<\/td>\n4.32 %<\/td>\n126,632<\/td>\n0.13<\/td>\n13<\/td>\n-0.1516 %<\/td>\n2,320.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.66 %<\/td>\n5.68 %<\/td>\n163,801<\/td>\n14.38<\/td>\n25<\/td>\n-0.3847 %<\/td>\n2,347.4<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.94 %<\/td>\n3.53 %<\/td>\n222,976<\/td>\n3.44<\/td>\n82<\/td>\n0.1121 %<\/td>\n2,490.7<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.16 %<\/td>\n4.55 %<\/td>\n170,820<\/td>\n6.64<\/td>\n42<\/td>\n-0.0688 %<\/td>\n2,395.0<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.60 %<\/td>\n2.30 %<\/td>\n239,756<\/td>\n4.32<\/td>\n5<\/td>\n0.2221 %<\/td>\n2,475.3<\/td>\n<\/tr>\n<\/table>\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
BAM.PR.K<\/td>\nFloater<\/td>\n-1.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-17
\nMaturity Price : 17.45
\nEvaluated at bid price : 17.45
\nBid-YTW : 3.02 %<\/td>\n<\/tr>\n
BAM.PR.C<\/td>\nFloater<\/td>\n-1.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-17
\nMaturity Price : 17.50
\nEvaluated at bid price : 17.50
\nBid-YTW : 3.02 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n-1.80 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-17
\nMaturity Price : 17.50
\nEvaluated at bid price : 17.50
\nBid-YTW : 3.02 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n-1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-17
\nMaturity Price : 21.54
\nEvaluated at bid price : 21.85
\nBid-YTW : 5.50 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-17
\nMaturity Price : 22.85
\nEvaluated at bid price : 23.42
\nBid-YTW : 3.97 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-17
\nMaturity Price : 23.26
\nEvaluated at bid price : 25.33
\nBid-YTW : 4.00 %<\/td>\n<\/tr>\n
BAM.PF.C<\/td>\nPerpetual-Discount<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-17
\nMaturity Price : 19.80
\nEvaluated at bid price : 19.80
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-17
\nMaturity Price : 21.53
\nEvaluated at bid price : 21.90
\nBid-YTW : 3.77 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.07
\nBid-YTW : 4.59 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-17
\nMaturity Price : 20.44
\nEvaluated at bid price : 20.44
\nBid-YTW : 3.84 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n1.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-17
\nMaturity Price : 21.57
\nEvaluated at bid price : 21.96
\nBid-YTW : 3.87 %<\/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.H<\/td>\nDeemed-Retractible<\/td>\n188,408<\/td>\nDesjardins crossed blocks of 104,300 shares, 52,200 and 14,500, all at 22.10.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.05
\nBid-YTW : 6.43 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset<\/td>\n149,986<\/td>\nAdded to TXPR and TXPL<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-17
\nMaturity Price : 23.26
\nEvaluated at bid price : 25.33
\nBid-YTW : 4.00 %<\/td>\n<\/tr>\n
BMO.PR.N<\/td>\nFixedReset<\/td>\n128,703<\/td>\nAdded to TXPR<\/a>. With an Issue Reset Spread of 383bp<\/a>, this issue is virtually certain to be redeemed.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.34
\nBid-YTW : 2.57 %<\/td>\n<\/tr>\n
ENB.PR.T<\/td>\nFixedReset<\/td>\n116,039<\/td>\nAdded to TXPL<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-17
\nMaturity Price : 22.94
\nEvaluated at bid price : 24.45
\nBid-YTW : 4.24 %<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset<\/td>\n108,769<\/td>\nAdded to TXPL<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-17
\nMaturity Price : 23.07
\nEvaluated at bid price : 24.76
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n86,104<\/td>\nScotia crossed 36,700 at 25.15; RBC crossed 25,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.07
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n
There were 65 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
GCS.PR.A<\/td>\nSplitShare<\/td>\nQuote: 24.92 – 25.29
\nSpot Rate : 0.3700
\nAverage : 0.2460<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.92
\nBid-YTW : 4.09 %<\/td>\n<\/tr>\n

PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.91 – 23.34
\nSpot Rate : 0.4300
\nAverage : 0.3170<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-17
\nMaturity Price : 22.63
\nEvaluated at bid price : 22.91
\nBid-YTW : 5.57 %<\/td>\n<\/tr>\n

PWF.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.02 – 23.28
\nSpot Rate : 0.2600
\nAverage : 0.1691<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-17
\nMaturity Price : 22.73
\nEvaluated at bid price : 23.02
\nBid-YTW : 5.71 %<\/td>\n<\/tr>\n

BAM.PF.C<\/td>\nPerpetual-Discount<\/td>\nQuote: 19.80 – 20.06
\nSpot Rate : 0.2600
\nAverage : 0.1704<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-17
\nMaturity Price : 19.80
\nEvaluated at bid price : 19.80
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n

CU.PR.G<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.25 – 21.52
\nSpot Rate : 0.2700
\nAverage : 0.1841<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-17
\nMaturity Price : 21.25
\nEvaluated at bid price : 21.25
\nBid-YTW : 5.38 %<\/td>\n<\/tr>\n

RY.PR.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.10 – 25.42
\nSpot Rate : 0.3200
\nAverage : 0.2368<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.10
\nBid-YTW : 4.51 %<\/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 down 38bp, FixedResets gaining 11bp and DeemedRetractibles off 7bp. The BAM Floaters got hammered. TRP issues were prominent in …<\/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-24222","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/24222","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=24222"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/24222\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=24222"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=24222"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=24222"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}