{"id":24939,"date":"2014-04-09T18:28:20","date_gmt":"2014-04-09T23:28:20","guid":{"rendered":"http:\/\/prefblog.com\/?p=24939"},"modified":"2014-04-09T18:28:20","modified_gmt":"2014-04-09T23:28:20","slug":"april-9-2014","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=24939","title":{"rendered":"April 9, 2014"},"content":{"rendered":"

Nothing happened today.<\/p>\n

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 3bp, FixedResets up 12bp and DeemedRetractibles gaining 11bp. Volatility was only technically existent. Volume was a little below average.<\/p>\n

PerpetualDiscounts now yield 5.42%, equivalent to 7.05% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield about 4.5%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 255bp, a slight (and perhaps spurious) decline from the 260bp reported April 2<\/a>)
\n.<\/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-0.7702 %<\/td>\n2,455.9<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.67 %<\/td>\n3.96 %<\/td>\n36,158<\/td>\n17.46<\/td>\n1<\/td>\n0.1477 %<\/td>\n3,633.5<\/td>\n<\/tr>\n
Floater<\/td>\n2.96 %<\/td>\n3.06 %<\/td>\n49,489<\/td>\n19.61<\/td>\n4<\/td>\n-0.7702 %<\/td>\n2,651.7<\/td>\n<\/tr>\n
OpRet<\/td>\n4.36 %<\/td>\n-5.54 %<\/td>\n32,957<\/td>\n0.15<\/td>\n2<\/td>\n-0.1740 %<\/td>\n2,694.7<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.80 %<\/td>\n4.39 %<\/td>\n62,588<\/td>\n4.26<\/td>\n5<\/td>\n0.0795 %<\/td>\n3,089.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1740 %<\/td>\n2,464.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.54 %<\/td>\n-7.55 %<\/td>\n100,552<\/td>\n0.09<\/td>\n13<\/td>\n0.0877 %<\/td>\n2,386.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.44 %<\/td>\n5.42 %<\/td>\n120,199<\/td>\n14.60<\/td>\n23<\/td>\n-0.0281 %<\/td>\n2,479.2<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.68 %<\/td>\n3.63 %<\/td>\n203,952<\/td>\n4.20<\/td>\n79<\/td>\n0.1169 %<\/td>\n2,531.3<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.03 %<\/td>\n-0.18 %<\/td>\n147,695<\/td>\n0.14<\/td>\n42<\/td>\n0.1091 %<\/td>\n2,490.6<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.63 %<\/td>\n2.36 %<\/td>\n197,698<\/td>\n4.28<\/td>\n5<\/td>\n0.3112 %<\/td>\n2,480.4<\/td>\n<\/tr>\n<\/table>\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.A<\/td>\nFloater<\/td>\n-2.47 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-04-09
\nMaturity Price : 19.36
\nEvaluated at bid price : 19.36
\nBid-YTW : 2.73 %<\/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.C<\/td>\nFixedReset<\/td>\n690,077<\/td>\nRBC crossed two blocks of 342,200 each, both at 22.34. Nice tickets!
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-04-09
\nMaturity Price : 21.67
\nEvaluated at bid price : 22.11
\nBid-YTW : 3.77 %<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nDeemed-Retractible<\/td>\n102,235<\/td>\nScotia crossed blocks of 51,100 and 48,000, both at 25.70.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-26
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.66
\nBid-YTW : -2.41 %<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n85,850<\/td>\nRBC crossed blocks of 25,000 and 60,000, both at 25.75.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-01-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.65
\nBid-YTW : 3.21 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nDeemed-Retractible<\/td>\n78,598<\/td>\nRBC crossed 70,000 at 25.75.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-09
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.78
\nBid-YTW : -2.59 %<\/td>\n<\/tr>\n
TD.PR.T<\/td>\nFloatingReset<\/td>\n54,788<\/td>\nScotia crossed 50,000 at 24.96.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.96
\nBid-YTW : 2.52 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset<\/td>\n51,967<\/td>\nRBC crossed 50,000 at 22.40.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.38
\nBid-YTW : 4.39 %<\/td>\n<\/tr>\n
There were 27 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
PWF.PR.A<\/td>\nFloater<\/td>\nQuote: 19.36 – 20.00
\nSpot Rate : 0.6400
\nAverage : 0.4104<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-04-09
\nMaturity Price : 19.36
\nEvaluated at bid price : 19.36
\nBid-YTW : 2.73 %<\/td>\n<\/tr>\n

FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.66 – 24.00
\nSpot Rate : 0.3400
\nAverage : 0.2494<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-04-09
\nMaturity Price : 23.33
\nEvaluated at bid price : 23.66
\nBid-YTW : 5.06 %<\/td>\n<\/tr>\n

MFC.PR.G<\/td>\nFixedReset<\/td>\nQuote: 25.96 – 26.15
\nSpot Rate : 0.1900
\nAverage : 0.1101<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-12-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.96
\nBid-YTW : 3.01 %<\/td>\n<\/tr>\n

W.PR.J<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.88 – 25.14
\nSpot Rate : 0.2600
\nAverage : 0.1816<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-04-09
\nMaturity Price : 24.62
\nEvaluated at bid price : 24.88
\nBid-YTW : 5.65 %<\/td>\n<\/tr>\n

GWO.PR.I<\/td>\nDeemed-Retractible<\/td>\nQuote: 21.90 – 22.15
\nSpot Rate : 0.2500
\nAverage : 0.1760<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.90
\nBid-YTW : 6.13 %<\/td>\n<\/tr>\n

CU.PR.E<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.79 – 24.07
\nSpot Rate : 0.2800
\nAverage : 0.2071<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-04-09
\nMaturity Price : 23.44
\nEvaluated at bid price : 23.79
\nBid-YTW : 5.20 %<\/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 off 3bp, FixedResets up 12bp and DeemedRetractibles gaining 11bp. Volatility was only technically existent. Volume was a little below …<\/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-24939","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/24939","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=24939"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/24939\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=24939"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=24939"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=24939"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}