November 12, 2013

It might be a while before we see tapering:

Federal Reserve Bank of Atlanta President Dennis Lockhart, who has backed record stimulus, said he wants to see inflation accelerate toward the Fed’s 2 percent goal before the central bank reduces $85 billion in monthly bond purchases.

“I’d like to see some movement toward the target” before tapering, Lockhart said today in a Bloomberg Radio interview with Kathleen Hays. Inflation is “stable but too low” and a move up would “give me some confidence we are not dealing with some downside scenario that might develop,” said Lockhart, who doesn’t vote on policy this year.

It was another mixed day for the Canadian preferred share market, with PerpetualDiscounts down 28bp, FixedResets up 20bp and DeemedRetractibles off 5bp. In the Performance Highlights table the three losers are all PerpetualDiscounts while FixedResets dominate the winning side. Volume was above average with the highlights comprised entirely of FixedResets.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0749 % 2,515.4
FixedFloater 4.13 % 3.41 % 30,027 18.53 1 0.8772 % 4,063.8
Floater 2.95 % 2.98 % 60,317 19.75 3 -0.0749 % 2,715.9
OpRet 4.60 % 0.88 % 70,596 0.38 3 0.1663 % 2,655.4
SplitShare 4.74 % 5.12 % 67,585 3.92 6 -0.1410 % 2,958.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1663 % 2,428.1
Perpetual-Premium 5.57 % 4.84 % 123,827 0.30 11 -0.1257 % 2,306.0
Perpetual-Discount 5.57 % 5.55 % 177,579 14.51 27 -0.2795 % 2,362.6
FixedReset 4.95 % 3.21 % 234,115 3.32 82 0.1977 % 2,484.2
Deemed-Retractible 5.08 % 3.92 % 194,404 1.47 42 -0.0532 % 2,412.3
FloatingReset 2.61 % 2.41 % 283,185 4.49 5 0.0000 % 2,456.4
Performance Highlights
Issue Index Change Notes
ELF.PR.H Perpetual-Discount -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-12
Maturity Price : 23.49
Evaluated at bid price : 23.85
Bid-YTW : 5.82 %
BAM.PF.D Perpetual-Discount -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-12
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.37 %
FTS.PR.F Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-12
Maturity Price : 23.01
Evaluated at bid price : 23.30
Bid-YTW : 5.35 %
IAG.PR.E Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.25
Evaluated at bid price : 25.87
Bid-YTW : 5.50 %
IAG.PR.G FixedReset 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-30
Maturity Price : 25.00
Evaluated at bid price : 26.12
Bid-YTW : 3.15 %
BAM.PR.R FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-12
Maturity Price : 23.65
Evaluated at bid price : 25.62
Bid-YTW : 4.13 %
HSE.PR.A FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-12
Maturity Price : 22.64
Evaluated at bid price : 23.19
Bid-YTW : 3.98 %
TRP.PR.C FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-12
Maturity Price : 22.40
Evaluated at bid price : 22.78
Bid-YTW : 3.83 %
CIU.PR.A Perpetual-Discount 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-12
Maturity Price : 21.67
Evaluated at bid price : 21.67
Bid-YTW : 5.32 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.I FixedReset 263,640 Nesbitt crossed 260,000 at 25.18.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 2.03 %
BNS.PR.Z FixedReset 168,257 Nesbitt crossed blocks of 75,000 shares, 25,000 and 50,000, all at 25.70.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 4.11 %
GWO.PR.J FixedReset 53,849 Called for redemption.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 2.34 %
CU.PR.C FixedReset 32,182 Nesbitt crossed 10,000 at 26.05.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 2.70 %
ENB.PR.B FixedReset 30,715 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-12
Maturity Price : 23.25
Evaluated at bid price : 24.85
Bid-YTW : 4.18 %
BAM.PF.A FixedReset 28,995 TD crossed 23,100 at 25.45.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.23 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.E OpRet Quote: 26.17 – 26.53
Spot Rate : 0.3600
Average : 0.2131

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-12
Maturity Price : 25.75
Evaluated at bid price : 26.17
Bid-YTW : -3.57 %

SLF.PR.I FixedReset Quote: 25.94 – 26.34
Spot Rate : 0.4000
Average : 0.2687

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 3.17 %

MFC.PR.C Deemed-Retractible Quote: 21.31 – 21.80
Spot Rate : 0.4900
Average : 0.3720

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.31
Bid-YTW : 6.49 %

CU.PR.E Perpetual-Discount Quote: 23.34 – 23.68
Spot Rate : 0.3400
Average : 0.2323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-12
Maturity Price : 23.04
Evaluated at bid price : 23.34
Bid-YTW : 5.25 %

CU.PR.F Perpetual-Discount Quote: 20.99 – 21.25
Spot Rate : 0.2600
Average : 0.1623

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-12
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 5.38 %

GWO.PR.I Deemed-Retractible Quote: 22.00 – 22.28
Spot Rate : 0.2800
Average : 0.1915

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.09 %

One Response to “November 12, 2013”

  1. Nestor says:

    with statements like this…

    “The Federal Reserve needs to do more work to support the economic recovery before it can return to “a more normal approach” to monetary policy, Janet Yellen said in prepared testimony released Wednesday. ”

    tapering is a long long way off

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