March 30, 2011

Europeans seem to want to blame commodity price inflation on speculators – Hoenig blames the Fed:

The Federal Reserve’s “highly accommodative” monetary policy is partly to blame for rapidly increasing global commodity prices, said Kansas City Fed President Thomas Hoenig, who called on colleagues to raise the benchmark interest rate toward 1 percent soon.

“Once again there are signs that the world is building new economic imbalances and inflationary impulses,” Hoenig, the central bank’s longest-serving policy maker and the lone dissenter at Fed meetings last year, said in the text of a speech today in London. “The longer policy remains as it is, the greater the likelihood these pressures will build and ultimately undermine world growth.”

This was also discussed in the post QE2 and Inflation.

It was a mixed day on the Canadian preferred share market, with PerpetualDiscounts getting whacked for 23bp, FixedResets down 2bp and DeemedRetractibles gaining 10bp. Not a lot of volatility, with only three entries in the Performance Highlights table. Volume was above average.

PerpetualDiscounts now yield 5.54%, equivalent to 7.20% interest at this year’s standard conversion factor of 1.3x. Long Corporates now yied 5.5%, so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 170bp, a significant tightening from the 180bp reported on March 23.

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 0.2627 % 2,405.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2627 % 3,618.2
Floater 2.50 % 2.29 % 40,043 21.52 4 0.2627 % 2,597.6
OpRet 4.86 % 2.79 % 59,148 0.25 9 0.1630 % 2,413.5
SplitShare 5.09 % 2.63 % 124,706 0.97 5 -0.0468 % 2,486.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1630 % 2,206.9
Perpetual-Premium 5.74 % 5.70 % 144,723 2.44 10 0.0139 % 2,041.3
Perpetual-Discount 5.51 % 5.54 % 130,363 14.53 14 -0.2268 % 2,137.2
FixedReset 5.15 % 3.43 % 232,952 2.93 57 -0.0185 % 2,290.2
Deemed-Retractible 5.21 % 5.15 % 315,650 8.26 53 0.0989 % 2,093.0
Performance Highlights
Issue Index Change Notes
PWF.PR.K Perpetual-Discount -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-03-30
Maturity Price : 23.47
Evaluated at bid price : 23.73
Bid-YTW : 5.29 %
BNS.PR.K Deemed-Retractible 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 4.97 %
HSB.PR.D Deemed-Retractible 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.36
Bid-YTW : 5.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.N FixedReset 211,075 Issuer bid.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-09-14
Maturity Price : 25.00
Evaluated at bid price : 27.05
Bid-YTW : 2.15 %
BMO.PR.H Deemed-Retractible 84,813 Nesbitt crossed 75,000 at 25.45.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-03-27
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.67 %
CM.PR.G Deemed-Retractible 78,296 Nesbitt crossed 75,000 at 25.55.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 4.67 %
BNS.PR.X FixedReset 66,669 Nesbitt crossed 50,000 at 27.60.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 27.62
Bid-YTW : 3.17 %
BNS.PR.R FixedReset 62,776 Nesbitt crossed 50,000 at 26.50.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.48
Bid-YTW : 3.13 %
RY.PR.F Deemed-Retractible 58,423 RBC crossed 12,000 at 23.65.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.15 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.H FixedReset Quote: 25.23 – 25.74
Spot Rate : 0.5100
Average : 0.3630

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-01
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 4.09 %

IAG.PR.F Deemed-Retractible Quote: 25.37 – 25.70
Spot Rate : 0.3300
Average : 0.1969

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 5.71 %

BAM.PR.R FixedReset Quote: 25.63 – 26.13
Spot Rate : 0.5000
Average : 0.3935

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-07-30
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 4.86 %

CIU.PR.A Perpetual-Discount Quote: 22.62 – 23.00
Spot Rate : 0.3800
Average : 0.2839

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-03-30
Maturity Price : 22.46
Evaluated at bid price : 22.62
Bid-YTW : 5.13 %

FTS.PR.E OpRet Quote: 26.45 – 27.03
Spot Rate : 0.5800
Average : 0.4906

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-07-01
Maturity Price : 25.75
Evaluated at bid price : 26.45
Bid-YTW : 3.68 %

BNS.PR.R FixedReset Quote: 26.48 – 26.69
Spot Rate : 0.2100
Average : 0.1376

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.48
Bid-YTW : 3.13 %

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