March 14, 2012

Nice story about technological disruption – a big change from The Diving Bell & the Butterfly:

Edwards, who suffered brain damage in 2001, can write e- mails, though, and she’s revisiting a favorite pastime, sketching, for the first time in a decade, thanks to her iPad and software applications that can cost as little as $7.

That’s a switch from the $15,000 communication device she had tried, a 9-pound machine approved by her insurer that tracks eye movement on a special grid corresponding to the alphabet. That device kept her tied to those in the room around her. The iPad, along with several other consumer-driven apps, has reopened the world to her.

Fitch has indicated a negative outlook on UK debt:

Fitch Ratings said Britain risks losing its top investment grade because of its limited ability to deal with shocks, days before Chancellor of the Exchequer George Osborne will present his annual budget.

Fitch changed the outlook on Britain to “negative” from “stable,” indicating a “slightly greater” than 50 percent chance that the AAA rating will be reduced within two years, the company said in a statement in London late yesterday, citing the weak economic recovery, high debt levels and threats from Europe’s debt crisis. Osborne will meet coalition partners later this week to agree on a budget he will present on March 21.

It was a quiet day for the Canadian preferred share market, with PerpetualPremiums gaining 3bp, FixedResets up 1bp and DeemedRetractibles off 1bp. There were no entries on the Performance Highlights table. Volume returned to average levels.

PerpetualDiscounts now yield 5.10%, equivalent to 6.63% interest at the standard equivalency factor of 1.3x. Long Corporates now yield about 4.60%, so the pre-tax interest-equivalent spread (which in this context is the Seniority Spread) is now about 205bp, a slight tightening from the 210bp reported March 7.

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 -0.2044 % 2,462.1
FixedFloater 4.53 % 3.91 % 41,112 17.43 1 0.0477 % 3,445.3
Floater 2.93 % 2.92 % 50,831 19.94 3 -0.2044 % 2,658.4
OpRet 4.93 % 2.96 % 54,307 1.26 6 -0.2444 % 2,497.4
SplitShare 5.28 % -2.72 % 85,943 0.75 4 0.0897 % 2,679.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2444 % 2,283.6
Perpetual-Premium 5.39 % -1.86 % 105,774 0.13 25 0.0327 % 2,218.8
Perpetual-Discount 5.10 % 5.07 % 176,953 15.29 7 0.1063 % 2,422.8
FixedReset 5.05 % 2.86 % 197,185 2.21 67 0.0097 % 2,386.4
Deemed-Retractible 4.93 % 3.80 % 201,107 2.58 46 -0.0136 % 2,311.3
Performance Highlights
Issue Index Change Notes
No individual gains or losses exceeding 1%!
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.H FixedReset 135,321 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.59 %
TD.PR.G FixedReset 123,244 TD crossed 50,000 at 27.05; then blocks of 21,300 and 13,700 at 27.04; and finally 10,800 at 27.03. Dejsardins bought 17,000 from TD at 27.04.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.04
Bid-YTW : 2.65 %
TD.PR.I FixedReset 93,390 TD crossed one block of 20,900 and two blocks of 13,700 each, all at 27.20; then 25,000 at 27.16. Anonymous bought 10,000 from TD at 27.18.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 27.19
Bid-YTW : 2.77 %
BAM.PF.A FixedReset 88,947 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-14
Maturity Price : 23.04
Evaluated at bid price : 24.86
Bid-YTW : 4.33 %
GWO.PR.J FixedReset 83,229 TD crossed 80,000 at 26.20.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.12
Bid-YTW : 3.27 %
PWF.PR.F Perpetual-Premium 82,760 RBC crossed 80,000 at 25.50.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-04-13
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : -6.68 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSB.PR.D Deemed-Retractible Quote: 25.52 – 25.94
Spot Rate : 0.4200
Average : 0.2531

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.25
Evaluated at bid price : 25.52
Bid-YTW : 4.21 %

IAG.PR.A Deemed-Retractible Quote: 23.76 – 24.20
Spot Rate : 0.4400
Average : 0.3190

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.76
Bid-YTW : 5.25 %

PWF.PR.P FixedReset Quote: 25.82 – 26.10
Spot Rate : 0.2800
Average : 0.1715

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-14
Maturity Price : 23.51
Evaluated at bid price : 25.82
Bid-YTW : 3.05 %

IAG.PR.C FixedReset Quote: 26.39 – 26.74
Spot Rate : 0.3500
Average : 0.2453

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.39
Bid-YTW : 2.85 %

CM.PR.M FixedReset Quote: 27.11 – 27.40
Spot Rate : 0.2900
Average : 0.1921

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 27.11
Bid-YTW : 3.17 %

GWO.PR.F Deemed-Retractible Quote: 25.40 – 25.67
Spot Rate : 0.2700
Average : 0.1738

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-04-13
Maturity Price : 25.25
Evaluated at bid price : 25.40
Bid-YTW : -4.82 %

One Response to “March 14, 2012”

  1. [...] PerpetualDiscounts (all seven of them!) now yield 5.19%, equivalent to 6.75% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.7%, so the pre-tax interest-equivalent spread (in this context, “the Seniority Spread”) is now about 205bp, unchanged from that reported on March 14. [...]

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