{"id":26149,"date":"2014-08-27T21:44:08","date_gmt":"2014-08-28T02:44:08","guid":{"rendered":"http:\/\/prefblog.com\/?p=26149"},"modified":"2014-08-27T21:44:08","modified_gmt":"2014-08-28T02:44:08","slug":"august-27-2014","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=26149","title":{"rendered":"August 27, 2014"},"content":{"rendered":"

Nothing happened today.<\/p>\n

It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 10bp, FixedResets off 10bp and DeemedRetractibles up 15bp. Volatility was muted. Volume was above average, with the highlights comprised entirely of FixedResets.<\/p>\n

PerpetualDiscounts now yield 5.13%, equivalent to 6.67% interest at the standard conversion factor of 1.3x. Long corporates<\/a> now yield about 4.15%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 250bp, a slight (and perhaps spurious) decline from the 255bp reported August 13<\/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>\n-0.0279 %<\/td>\n2,621.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.17 %<\/td>\n3.41 %<\/td>\n28,158<\/td>\n18.56<\/td>\n1<\/td>\n0.1318 %<\/td>\n4,162.0<\/td>\n<\/tr>\n
Floater<\/td>\n2.93 %<\/td>\n3.08 %<\/td>\n52,521<\/td>\n19.48<\/td>\n4<\/td>\n-0.0279 %<\/td>\n2,710.3<\/td>\n<\/tr>\n
OpRet<\/td>\n4.05 %<\/td>\n-2.88 %<\/td>\n96,433<\/td>\n0.08<\/td>\n1<\/td>\n0.0395 %<\/td>\n2,729.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.23 %<\/td>\n3.74 %<\/td>\n61,857<\/td>\n3.97<\/td>\n6<\/td>\n0.1394 %<\/td>\n3,157.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0395 %<\/td>\n2,495.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.49 %<\/td>\n-4.12 %<\/td>\n83,568<\/td>\n0.08<\/td>\n19<\/td>\n0.0372 %<\/td>\n2,437.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.21 %<\/td>\n5.13 %<\/td>\n111,170<\/td>\n15.20<\/td>\n17<\/td>\n0.0979 %<\/td>\n2,606.1<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.23 %<\/td>\n3.67 %<\/td>\n185,692<\/td>\n6.57<\/td>\n74<\/td>\n-0.0855 %<\/td>\n2,569.8<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.98 %<\/td>\n1.03 %<\/td>\n105,276<\/td>\n0.24<\/td>\n42<\/td>\n0.1537 %<\/td>\n2,564.3<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.63 %<\/td>\n1.92 %<\/td>\n81,550<\/td>\n0.16<\/td>\n6<\/td>\n0.0131 %<\/td>\n2,527.7<\/td>\n<\/tr>\n<\/table>\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-1.85 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-08-27
\nMaturity Price : 22.46
\nEvaluated at bid price : 22.87
\nBid-YTW : 3.53 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset<\/td>\n-1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.50
\nBid-YTW : 4.79 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-08-27
\nMaturity Price : 20.35
\nEvaluated at bid price : 20.35
\nBid-YTW : 2.59 %<\/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
BMO.PR.W<\/td>\nFixedReset<\/td>\n86,146<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-08-27
\nMaturity Price : 23.18
\nEvaluated at bid price : 25.10
\nBid-YTW : 3.65 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset<\/td>\n84,500<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-08-27
\nMaturity Price : 23.22
\nEvaluated at bid price : 25.16
\nBid-YTW : 3.68 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset<\/td>\n82,570<\/td>\nRBC crossed 75,000 at 25.45.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.42
\nBid-YTW : 3.63 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset<\/td>\n73,437<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-12-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.13
\nBid-YTW : 3.84 %<\/td>\n<\/tr>\n
TRP.PR.E<\/td>\nFixedReset<\/td>\n64,287<\/td>\nRBC crossed 43,100 at 25.65.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-10-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.70
\nBid-YTW : 3.73 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset<\/td>\n46,355<\/td>\nRBC crossed 18,800 at 25.25.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-08-27
\nMaturity Price : 23.23
\nEvaluated at bid price : 25.20
\nBid-YTW : 3.67 %<\/td>\n<\/tr>\n
There were 38 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
IAG.PR.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.88 – 26.29
\nSpot Rate : 0.4100
\nAverage : 0.2594<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-03-31
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.88
\nBid-YTW : 4.95 %<\/td>\n<\/tr>\n

IGM.PR.B<\/td>\nPerpetual-Premium<\/td>\nQuote: 26.17 – 26.51
\nSpot Rate : 0.3400
\nAverage : 0.2043<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-12-31
\nMaturity Price : 25.50
\nEvaluated at bid price : 26.17
\nBid-YTW : 4.80 %<\/td>\n<\/tr>\n

GWO.PR.N<\/td>\nFixedReset<\/td>\nQuote: 21.50 – 21.95
\nSpot Rate : 0.4500
\nAverage : 0.3440<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.50
\nBid-YTW : 4.79 %<\/td>\n<\/tr>\n

CU.PR.G<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.20 – 22.54
\nSpot Rate : 0.3400
\nAverage : 0.2437<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-08-27
\nMaturity Price : 21.87
\nEvaluated at bid price : 22.20
\nBid-YTW : 5.07 %<\/td>\n<\/tr>\n

RY.PR.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.59 – 25.99
\nSpot Rate : 0.4000
\nAverage : 0.3193<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-09-26
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.59
\nBid-YTW : 0.50 %<\/td>\n<\/tr>\n

CU.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.41 – 22.63
\nSpot Rate : 0.2200
\nAverage : 0.1484<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-08-27
\nMaturity Price : 22.11
\nEvaluated at bid price : 22.41
\nBid-YTW : 5.03 %<\/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 10bp, FixedResets off 10bp and DeemedRetractibles up 15bp. Volatility was muted. Volume was above average, with the highlights …<\/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-26149","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/26149","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=26149"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/26149\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=26149"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=26149"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=26149"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}