The Bank of England has released the 11Q4 Quarterly Bulletin with articles:
- Markets and operations
- Understanding recent developments in UK external trade
- The financial position of British households: evidence from the 2011 NMG Consulting survey
- Going public: UK companies’ use of capital markets
- Trading models and liquidity provision in OTC derivatives markets
- Summaries of recent Bank of England working papers
- Systemic capital requirements
- Estimating the impact of the volatility of shocks: a structural VAR approach
- How do individual UK consumer prices behave?
- An efficient minimum distance estimator for DSGE models
- Time-varying volatility, precautionary saving and monetary policy
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts losing 15bp, FixedResets down 8bp and DeemedRetractibles gaining 10bp. Volatility was good. Volume was on the high side of average.
| 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 | -0.0633 % | 2,003.7 |
| FixedFloater | 4.94 % | 4.69 % | 36,584 | 16.97 | 1 | -0.3107 % | 3,122.6 |
| Floater | 3.32 % | 3.68 % | 68,856 | 18.13 | 3 | -0.0633 % | 2,163.4 |
| OpRet | 4.94 % | 1.41 % | 60,406 | 1.40 | 6 | -0.4435 % | 2,471.5 |
| SplitShare | 5.51 % | 2.95 % | 68,256 | 0.97 | 4 | 0.0104 % | 2,537.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4435 % | 2,259.9 |
| Perpetual-Premium | 5.49 % | 3.11 % | 88,274 | 0.84 | 18 | -0.0551 % | 2,171.3 |
| Perpetual-Discount | 5.23 % | 5.19 % | 106,435 | 15.07 | 12 | -0.1479 % | 2,318.2 |
| FixedReset | 5.11 % | 3.02 % | 217,704 | 2.54 | 64 | -0.0794 % | 2,337.6 |
| Deemed-Retractible | 5.04 % | 4.04 % | 191,158 | 3.09 | 46 | 0.0968 % | 2,227.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.X | FixedReset | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-19 Maturity Price : 22.90 Evaluated at bid price : 24.36 Bid-YTW : 3.39 % |
| PWF.PR.A | Floater | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-19 Maturity Price : 19.03 Evaluated at bid price : 19.03 Bid-YTW : 2.78 % |
| FTS.PR.H | FixedReset | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-19 Maturity Price : 23.48 Evaluated at bid price : 25.50 Bid-YTW : 2.67 % |
| TCA.PR.X | Perpetual-Premium | -1.12 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-10-15 Maturity Price : 50.00 Evaluated at bid price : 52.30 Bid-YTW : 3.42 % |
| GWO.PR.N | FixedReset | 1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 3.95 % |
| SLF.PR.B | Deemed-Retractible | 1.67 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.93 Bid-YTW : 6.49 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.G | FixedReset | 91,945 | Recent underwriters’ clearance. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.70 Bid-YTW : 4.96 % |
| ENB.PR.D | FixedReset | 77,934 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-19 Maturity Price : 23.16 Evaluated at bid price : 25.18 Bid-YTW : 3.54 % |
| MFC.PR.D | FixedReset | 57,707 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.51 Bid-YTW : 4.07 % |
| BMO.PR.L | Deemed-Retractible | 41,400 | RBC crossed 21,100 at 27.05. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-25 Maturity Price : 26.00 Evaluated at bid price : 27.10 Bid-YTW : 2.81 % |
| MFC.PR.A | OpRet | 41,186 | RBC bought 30,000 from Scotia at 25.00. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 4.18 % |
| CM.PR.E | Perpetual-Premium | 37,608 | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 5.27 % |
| There were 35 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CIU.PR.B | FixedReset | Quote: 27.26 – 27.80 Spot Rate : 0.5400 Average : 0.3414 YTW SCENARIO |
| TCA.PR.X | Perpetual-Premium | Quote: 52.30 – 52.85 Spot Rate : 0.5500 Average : 0.3876 YTW SCENARIO |
| ENB.PR.B | FixedReset | Quote: 25.61 – 25.90 Spot Rate : 0.2900 Average : 0.1777 YTW SCENARIO |
| PWF.PR.A | Floater | Quote: 19.03 – 19.50 Spot Rate : 0.4700 Average : 0.3802 YTW SCENARIO |
| RY.PR.X | FixedReset | Quote: 27.20 – 27.43 Spot Rate : 0.2300 Average : 0.1414 YTW SCENARIO |
| RY.PR.H | Deemed-Retractible | Quote: 26.70 – 27.23 Spot Rate : 0.5300 Average : 0.4432 YTW SCENARIO |