{"id":33964,"date":"2016-11-25T00:34:02","date_gmt":"2016-11-25T05:34:02","guid":{"rendered":"http:\/\/prefblog.com\/?p=33964"},"modified":"2016-11-25T00:34:02","modified_gmt":"2016-11-25T05:34:02","slug":"november-24-2016","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=33964","title":{"rendered":"November 24, 2016"},"content":{"rendered":"

In response to overwhelming public demand (SafetyinNumbers<\/i> asked me<\/a>), I present a chart of Canada Prime and the interest-equivalent yield of Floaters.<\/p>\n

\"PrimeAndFloaters_161124\"<\/a>
Click for Big<\/i><\/div>\n

There are problems with this chart:<\/p>\n

    \n
  • Often, Floaters have traded above their contemporary call price. When this has happened I have set the interest-equivalent yield to zero.\n
  • In late years, the Floater index has been dominated by BAM issues, which often trade differently from the market as a whole due to credit worries and investor concentration concerns.\n
  • In later years, PWF.PR.A has drifted in and out of the index, relegated intermittently to Scraps on volume concerns. As PWF.PR.A has a significantly lower yield than the BAM Floaters, this creates inconsistencies when comparing one period to another.\n
  • At the beginning of February, 2011, I abruptly changed the interest-equivalency factor from 1.4x to 1.3x<\/ul>\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>\n0.0680 %<\/td>\n1,750.0<\/td>\n<\/tr>\n
    FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0680 %<\/td>\n3,196.8<\/td>\n<\/tr>\n
    Floater<\/td>\n4.28 %<\/td>\n4.45 %<\/td>\n47,922<\/td>\n16.44<\/td>\n4<\/td>\n0.0680 %<\/td>\n1,842.4<\/td>\n<\/tr>\n
    OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2847 %<\/td>\n2,911.5<\/td>\n<\/tr>\n
    SplitShare<\/td>\n4.85 %<\/td>\n4.30 %<\/td>\n52,565<\/td>\n2.02<\/td>\n6<\/td>\n-0.2847 %<\/td>\n3,476.9<\/td>\n<\/tr>\n
    Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2847 %<\/td>\n2,712.8<\/td>\n<\/tr>\n
    Perpetual-Premium<\/td>\n5.45 %<\/td>\n5.08 %<\/td>\n78,671<\/td>\n14.41<\/td>\n23<\/td>\n-0.2058 %<\/td>\n2,653.8<\/td>\n<\/tr>\n
    Perpetual-Discount<\/td>\n5.41 %<\/td>\n5.37 %<\/td>\n91,538<\/td>\n14.82<\/td>\n15<\/td>\n0.0000 %<\/td>\n2,772.0<\/td>\n<\/tr>\n
    FixedReset<\/td>\n4.90 %<\/td>\n4.61 %<\/td>\n207,126<\/td>\n6.81<\/td>\n96<\/td>\n0.1275 %<\/td>\n2,083.1<\/td>\n<\/tr>\n
    Deemed-Retractible<\/td>\n5.14 %<\/td>\n5.31 %<\/td>\n136,327<\/td>\n4.51<\/td>\n32<\/td>\n-0.1664 %<\/td>\n2,748.1<\/td>\n<\/tr>\n
    FloatingReset<\/td>\n2.87 %<\/td>\n3.65 %<\/td>\n42,493<\/td>\n4.87<\/td>\n12<\/td>\n0.0678 %<\/td>\n2,309.6<\/td>\n<\/tr>\n<\/table>\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
    CCS.PR.C<\/td>\nDeemed-Retractible<\/td>\n-1.36 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Hard Maturity
    \nMaturity Date\t: 2025-01-31
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 23.21
    \nBid-YTW : 6.29 %<\/td>\n<\/tr>\n
    VNR.PR.A<\/td>\nFixedReset<\/td>\n-1.25 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2046-11-24
    \nMaturity Price : 18.90
    \nEvaluated at bid price : 18.90
    \nBid-YTW : 5.12 %<\/td>\n<\/tr>\n
    PWF.PR.E<\/td>\nPerpetual-Premium<\/td>\n-1.16 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2046-11-24
    \nMaturity Price : 24.34
    \nEvaluated at bid price : 24.65
    \nBid-YTW : 5.63 %<\/td>\n<\/tr>\n
    PWF.PR.P<\/td>\nFixedReset<\/td>\n-1.16 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2046-11-24
    \nMaturity Price : 13.62
    \nEvaluated at bid price : 13.62
    \nBid-YTW : 4.67 %<\/td>\n<\/tr>\n
    TRP.PR.C<\/td>\nFixedReset<\/td>\n1.06 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2046-11-24
    \nMaturity Price : 13.29
    \nEvaluated at bid price : 13.29
    \nBid-YTW : 4.68 %<\/td>\n<\/tr>\n
    BAM.PR.Z<\/td>\nFixedReset<\/td>\n1.09 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2046-11-24
    \nMaturity Price : 19.56
    \nEvaluated at bid price : 19.56
    \nBid-YTW : 5.21 %<\/td>\n<\/tr>\n
    MFC.PR.F<\/td>\nFixedReset<\/td>\n1.11 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Hard Maturity
    \nMaturity Date\t: 2025-01-31
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 13.65
    \nBid-YTW : 10.73 %<\/td>\n<\/tr>\n
    TRP.PR.A<\/td>\nFixedReset<\/td>\n1.48 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2046-11-24
    \nMaturity Price : 15.75
    \nEvaluated at bid price : 15.75
    \nBid-YTW : 4.78 %<\/td>\n<\/tr>\n
    TRP.PR.F<\/td>\nFloatingReset<\/td>\n1.70 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2046-11-24
    \nMaturity Price : 14.95
    \nEvaluated at bid price : 14.95
    \nBid-YTW : 4.11 %<\/td>\n<\/tr>\n
    TRP.PR.H<\/td>\nFloatingReset<\/td>\n2.72 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2046-11-24
    \nMaturity Price : 11.31
    \nEvaluated at bid price : 11.31
    \nBid-YTW : 4.00 %<\/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.K<\/td>\nFixedReset<\/td>\n377,038<\/td>\nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2046-11-24
    \nMaturity Price : 23.10
    \nEvaluated at bid price : 24.91
    \nBid-YTW : 4.84 %<\/td>\n<\/tr>\n
    TRP.PR.G<\/td>\nFixedReset<\/td>\n237,996<\/td>\nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2046-11-24
    \nMaturity Price : 20.21
    \nEvaluated at bid price : 20.21
    \nBid-YTW : 4.86 %<\/td>\n<\/tr>\n
    MFC.PR.R<\/td>\nFixedReset<\/td>\n203,300<\/td>\nYTW SCENARIO
    \nMaturity Type : Hard Maturity
    \nMaturity Date\t: 2025-01-31
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 24.99
    \nBid-YTW : 4.87 %<\/td>\n<\/tr>\n
    TD.PF.H<\/td>\nFixedReset<\/td>\n198,328<\/td>\nYTW SCENARIO
    \nMaturity Type : Call
    \nMaturity Date\t: 2021-10-31
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 25.52
    \nBid-YTW : 4.51 %<\/td>\n<\/tr>\n
    TD.PF.B<\/td>\nFixedReset<\/td>\n118,600<\/td>\nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2046-11-24
    \nMaturity Price : 18.60
    \nEvaluated at bid price : 18.60
    \nBid-YTW : 4.52 %<\/td>\n<\/tr>\n
    TRP.PR.E<\/td>\nFixedReset<\/td>\n113,321<\/td>\nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2046-11-24
    \nMaturity Price : 18.35
    \nEvaluated at bid price : 18.35
    \nBid-YTW : 4.79 %<\/td>\n<\/tr>\n
    There were 45 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
    IFC.PR.D<\/td>\nFloatingReset<\/td>\nQuote: 19.25 – 22.00
    \nSpot Rate : 2.7500
    \nAverage : 2.1856<\/p>\n

    YTW SCENARIO
    \nMaturity Type : Hard Maturity
    \nMaturity Date\t: 2025-01-31
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 19.25
    \nBid-YTW : 6.99 %<\/td>\n<\/tr>\n

    PWF.PR.E<\/td>\nPerpetual-Premium<\/td>\nQuote: 24.65 – 24.94
    \nSpot Rate : 0.2900
    \nAverage : 0.1878<\/p>\n

    YTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2046-11-24
    \nMaturity Price : 24.34
    \nEvaluated at bid price : 24.65
    \nBid-YTW : 5.63 %<\/td>\n<\/tr>\n

    SLF.PR.C<\/td>\nDeemed-Retractible<\/td>\nQuote: 21.16 – 21.45
    \nSpot Rate : 0.2900
    \nAverage : 0.1980<\/p>\n

    YTW SCENARIO
    \nMaturity Type : Hard Maturity
    \nMaturity Date\t: 2025-01-31
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 21.16
    \nBid-YTW : 7.10 %<\/td>\n<\/tr>\n

    TD.PR.Z<\/td>\nFloatingReset<\/td>\nQuote: 23.23 – 23.55
    \nSpot Rate : 0.3200
    \nAverage : 0.2281<\/p>\n

    YTW SCENARIO
    \nMaturity Type : Hard Maturity
    \nMaturity Date\t: 2022-01-31
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 23.23
    \nBid-YTW : 3.64 %<\/td>\n<\/tr>\n

    TD.PR.S<\/td>\nFixedReset<\/td>\nQuote: 23.99 – 24.24
    \nSpot Rate : 0.2500
    \nAverage : 0.1807<\/p>\n

    YTW SCENARIO
    \nMaturity Type : Hard Maturity
    \nMaturity Date\t: 2022-01-31
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 23.99
    \nBid-YTW : 3.77 %<\/td>\n<\/tr>\n

    TD.PR.Y<\/td>\nFixedReset<\/td>\nQuote: 24.16 – 24.39
    \nSpot Rate : 0.2300
    \nAverage : 0.1638<\/p>\n

    YTW SCENARIO
    \nMaturity Type : Hard Maturity
    \nMaturity Date\t: 2022-01-31
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 24.16
    \nBid-YTW : 3.79 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

    In response to overwhelming public demand (SafetyinNumbers asked me), I present a chart of Canada Prime and the interest-equivalent yield of Floaters. Click for Big There are problems with this chart: Often, Floaters have traded …<\/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-33964","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/33964","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=33964"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/33964\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=33964"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=33964"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=33964"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}