Sorry this is so late, folks! What can I say? Time flies like an arrow, but fruit flies like bananas.
The Bank of Canada has released a working paper by Ron Alquist, Lutz Kilian and Robert Vigfusson titled Forecasting the Price of Oil:
We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Are real or nominal oil prices predictable based on macroeconomic aggregates? Does this predictability translate into gains in out-of-sample forecast accuracy compared with conventional no-change forecasts? How useful are oil futures markets in forecasting the price of oil? How useful are survey forecasts? How does one evaluate the sensitivity of a baseline oil price forecast to alternative assumptions about future demand and supply conditions? How does one quantify risks associated with oil price forecasts? Can joint forecasts of the price of oil and of U.S. real GDP growth be improved upon by allowing for asymmetries?
Maybe another movie? “How Yellow was my Valley”? About a family of unfortunate preferred share investors.
| YLO Issues, 2011-6-2 | |||||
| Ticker | Quote 6/1 |
Quote 6/2 |
Bid YTW 6/2 |
YTW Scenario 6/2 |
Performance 6/2 (bid/bid) |
| YLO.PR.A | 23.01-10 | 23.05-15 | 10.27% | Soft Maturity 2012-12-30 |
+0.17% |
| YLO.PR.B | 16.52-74 | 16.30-38 | 13.99% | Soft Maturity 2017-06-29 |
-1.33% |
| YLO.PR.C | 17.55-70 | 17.76-90 | 9.36% | Limit Maturity | +1.20% |
| YLO.PR.D | 18.12-50 | 18.44-51 | 9.21% | Limit Maturity | +1.77% |
It was an uneventful day for the Canadian preferred share market, with PerpetualDiscounts down 3bp, FixedResets losing 3bp, and DeemedRetractibles up 5bp. There was only minor volatility. Volume was quite low.
| 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 | 0.0117 % | 2,462.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0117 % | 3,703.7 |
| Floater | 2.45 % | 2.24 % | 39,900 | 21.63 | 4 | 0.0117 % | 2,658.9 |
| OpRet | 4.87 % | 3.31 % | 66,476 | 0.40 | 9 | 0.0343 % | 2,422.8 |
| SplitShare | 5.23 % | -1.69 % | 63,218 | 0.53 | 6 | -0.1296 % | 2,509.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0343 % | 2,215.4 |
| Perpetual-Premium | 5.65 % | 4.92 % | 162,309 | 1.42 | 12 | 0.0887 % | 2,077.7 |
| Perpetual-Discount | 5.44 % | 5.53 % | 123,158 | 14.54 | 18 | -0.0256 % | 2,184.5 |
| FixedReset | 5.15 % | 3.20 % | 196,648 | 2.84 | 57 | -0.0264 % | 2,313.2 |
| Deemed-Retractible | 5.07 % | 4.89 % | 297,856 | 8.14 | 47 | 0.0473 % | 2,153.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.C | Deemed-Retractible | 1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.68 Bid-YTW : 5.68 % |
| SLF.PR.C | Deemed-Retractible | 1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 5.54 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| FTS.PR.C | OpRet | 172,678 | Scotia sold two blocks, of 20,500 and 18,000, to Desjardins at 25.77; then sold 50,000 to RBC at the same price. RBC and Desjardins both crossed 40,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2011-07-02 Maturity Price : 25.50 Evaluated at bid price : 25.76 Bid-YTW : -6.73 % |
| BAM.PR.T | FixedReset | 90,025 | RBC bought blocks of 18,500 and 20,000 from anonymous at 25.00; RBC crossed 40,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-06-02 Maturity Price : 23.11 Evaluated at bid price : 25.00 Bid-YTW : 4.46 % |
| BMO.PR.Q | FixedReset | 80,931 | RBC bought 49,300 from anonymous at 25.25, then crosed 12,600 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.21 Bid-YTW : 3.67 % |
| CM.PR.D | Perpetual-Premium | 75,617 | Seeking NVCC status. YTW SCENARIO Maturity Type : Call Maturity Date : 2011-07-02 Maturity Price : 25.25 Evaluated at bid price : 25.50 Bid-YTW : -0.29 % |
| BAM.PR.B | Floater | 53,234 | Desjardins crossed blocks of 27,100 and 20,000, both at 19.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-06-02 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 2.72 % |
| CM.PR.G | Perpetual-Premium | 32,760 | Seeking NVCC status. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.22 Bid-YTW : 5.29 % |
| There were 22 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: 24.87 – 25.10 Spot Rate : 0.2300 Average : 0.1532 YTW SCENARIO |
| TD.PR.P | Deemed-Retractible | Quote: 25.44 – 25.66 Spot Rate : 0.2200 Average : 0.1441 YTW SCENARIO |
| ELF.PR.G | Perpetual-Discount | Quote: 21.00 – 21.28 Spot Rate : 0.2800 Average : 0.2077 YTW SCENARIO |
| NA.PR.P | FixedReset | Quote: 27.31 – 27.70 Spot Rate : 0.3900 Average : 0.3225 YTW SCENARIO |
| BMO.PR.K | Deemed-Retractible | Quote: 25.43 – 25.68 Spot Rate : 0.2500 Average : 0.1839 YTW SCENARIO |
| BNS.PR.L | Deemed-Retractible | Quote: 24.63 – 24.84 Spot Rate : 0.2100 Average : 0.1485 YTW SCENARIO |