{"id":14265,"date":"2011-03-02T21:29:57","date_gmt":"2011-03-03T01:29:57","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=14265"},"modified":"2011-03-02T21:29:57","modified_gmt":"2011-03-03T01:29:57","slug":"march-2-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=14265","title":{"rendered":"March 2, 2011"},"content":{"rendered":"<p>DBRS <a href=\"http:\/\/www.dbrs.com\/research\/238370\/dbrs-commentary-sovereign-ratings-provide-a-benchmark-for-other-dbrs-credit-ratings.html\">has released<\/a> a commentary titled <a href=\"http:\/\/www.dbrs.com\/research\/238369\">Sovereign Ratings Provide a Benchmark for other DBRS Credit Ratings<\/a>:<\/p>\n<blockquote>\n<ul>\n<li>Sovereign credit ratings serve as a general benchmark for all other DBRS credit ratings. DBRS uses a case-by-case approach when rating non-sovereign entities or transactions, and avoids using a static \u201csovereign ceiling\u201d concept, because this would imply that ratings are capped at the sovereign rating. DBRS does not institute a maximum number of notches between the sovereign rating and non-sovereign ratings.\n<li>Financial institution and corporate ratings are typically constrained by the sovereign rating, although both could have a higher credit rating that that of the central government, with the level of operations outside of the country of domicile typically being a key consideration. Structured Finance ratings are addressed on a case-by-case basis and in many instances can be higher than the sovereign rating.\n<li>In certain cases, country risks, which do not necessarily result in sovereign rating changes, may also affect non-sovereign ratings.\n<li>Within the Euro zone, non-sovereign ratings may enjoy a lower degree of influence from sovereign-related stresses, since there is far lower exchange rate risk, less regulatory risk and existing support mechanisms from European institutions.<\/ul>\n<\/blockquote>\n<p>It was a mixed day on the Canadian preferred share market, as PerpetualDiscounts were up 10bp, FixedResets gained 6bp, but DeemedRetractibles got knocked back for 16bp. Not much volatility, with only two issues on the Performance Highlight list. Volume was above average.<\/p>\n<p>PerpetualDiscounts now yield 5.61%, equivalent to 7.28% at the <a href=\"http:\/\/www.prefblog.com\/?p=14255\">now standard equivalency factor of 1.3x<\/a>. <a href=\"http:\/\/www.canadianbondindices.com\/ltbi.asp\">Long Corporates<\/a> now yield about 5.5%, so the pre-tax interest equivalent spread is now about 180bp. Given the change in the equivalency factor, this is not really comparable to prior figures; the raw data for <a href=\"http:\/\/www.prefblog.com\/?p=14180\">February 23<\/a> was 5.61% for PerpetualDiscounts and 5.50 for Long Corporates, so the change is really zero.<\/p>\n<table border='1'>\n<tr>\n<td colspan='8'><strong>HIMIPref&trade; Preferred Indices<br \/>These values reflect the December 2008 revision of the HIMIPref&trade; Indices<\/strong><br \/>Values are provisional and are finalized monthly<\/td>\n<\/tr>\n<tr>\n<td>Index<\/td>\n<td>Mean<br \/>Current<br \/>Yield<br \/>(at bid)<\/td>\n<td>Median<br \/>YTW<\/td>\n<td>Median<br \/>Average<br \/>Trading<br \/>Value<\/td>\n<td>Median<br \/>Mod Dur<br \/>(YTW)<\/td>\n<td>Issues<\/td>\n<td>Day&#8217;s Perf.<\/td>\n<td>Index Value<\/td>\n<\/tr>\n<tr>\n<td>Ratchet<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>-0.1549 %<\/td>\n<td>2,389.9<\/td>\n<\/tr>\n<tr>\n<td>FixedFloater<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>-0.1549 %<\/td>\n<td>3,594.4<\/td>\n<\/tr>\n<tr>\n<td>Floater<\/td>\n<td>2.51 %<\/td>\n<td>2.27 %<\/td>\n<td>46,275<\/td>\n<td>21.55<\/td>\n<td>4<\/td>\n<td>-0.1549 %<\/td>\n<td>2,580.5<\/td>\n<\/tr>\n<tr>\n<td>OpRet<\/td>\n<td>4.87 %<\/td>\n<td>3.58 %<\/td>\n<td>59,276<\/td>\n<td>0.40<\/td>\n<td>9<\/td>\n<td>0.0086 %<\/td>\n<td>2,392.3<\/td>\n<\/tr>\n<tr>\n<td>SplitShare<\/td>\n<td>5.09 %<\/td>\n<td>2.79 %<\/td>\n<td>230,587<\/td>\n<td>1.05<\/td>\n<td>5<\/td>\n<td>0.2252 %<\/td>\n<td>2,482.1<\/td>\n<\/tr>\n<tr>\n<td>Interest-Bearing<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>0.0086 %<\/td>\n<td>2,187.5<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Premium<\/td>\n<td>5.74 %<\/td>\n<td>5.54 %<\/td>\n<td>131,810<\/td>\n<td>6.19<\/td>\n<td>10<\/td>\n<td>-0.0536 %<\/td>\n<td>2,033.3<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Discount<\/td>\n<td>5.51 %<\/td>\n<td>5.61 %<\/td>\n<td>127,283<\/td>\n<td>14.41<\/td>\n<td>14<\/td>\n<td>0.1032 %<\/td>\n<td>2,118.8<\/td>\n<\/tr>\n<tr>\n<td>FixedReset<\/td>\n<td>5.21 %<\/td>\n<td>3.48 %<\/td>\n<td>197,756<\/td>\n<td>3.00<\/td>\n<td>54<\/td>\n<td>0.0635 %<\/td>\n<td>2,279.6<\/td>\n<\/tr>\n<tr>\n<td>Deemed-Retractible<\/td>\n<td>5.23 %<\/td>\n<td>5.24 %<\/td>\n<td>379,719<\/td>\n<td>8.28<\/td>\n<td>53<\/td>\n<td>-0.1605 %<\/td>\n<td>2,080.3<\/td>\n<\/tr>\n<\/table>\n<table border='1'>\n<tr>\n<td colspan='4'><strong>Performance Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Change<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>SLF.PR.B<\/td>\n<td>Deemed-Retractible<\/td>\n<td>-1.40 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 23.18<br \/>\nBid-YTW : 5.69 %<\/td>\n<\/tr>\n<tr>\n<td>CIU.PR.B<\/td>\n<td>FixedReset<\/td>\n<td>1.30 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-07-01<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 27.35<br \/>\nBid-YTW : 3.76 %<\/td>\n<\/tr>\n<\/table>\n<table border='1'>\n<tr>\n<td colspan='4'><strong>Volume Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Shares<br \/>Traded<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>SLF.PR.D<\/td>\n<td>Deemed-Retractible<\/td>\n<td>81,904<\/td>\n<td>RBC crossed blocks of 26,000 and 48,600, both at 21.90.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 21.85<br \/>\nBid-YTW : 6.03 %<\/td>\n<\/tr>\n<tr>\n<td>FTS.PR.H<\/td>\n<td>FixedReset<\/td>\n<td>62,609<\/td>\n<td>RBC crossed 58,000 at 25.45.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2015-07-01<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.35<br \/>\nBid-YTW : 3.91 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.F<\/td>\n<td>Deemed-Retractible<\/td>\n<td>60,741<\/td>\n<td>TD crossed 50,000 at 23.70.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 23.68<br \/>\nBid-YTW : 5.13 %<\/td>\n<\/tr>\n<tr>\n<td>BNS.PR.O<\/td>\n<td>Deemed-Retractible<\/td>\n<td>56,070<\/td>\n<td>RBC crossed 50,000 at 25.66.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2017-05-26<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.78<br \/>\nBid-YTW : 5.14 %<\/td>\n<\/tr>\n<tr>\n<td>CM.PR.D<\/td>\n<td>Deemed-Retractible<\/td>\n<td>55,580<\/td>\n<td>Desjardins crossed 40,000 at 25.65.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2011-05-30<br \/>\nMaturity Price  : 25.25<br \/>\nEvaluated at bid price : 25.61<br \/>\nBid-YTW : 1.90 %<\/td>\n<\/tr>\n<tr>\n<td>TRP.PR.C<\/td>\n<td>FixedReset<\/td>\n<td>52,676<\/td>\n<td>RBC bought 17,500 from Scotia at 25.45 and crossed 20,900 at the same price.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2016-02-29<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.46<br \/>\nBid-YTW : 4.08 %<\/td>\n<\/tr>\n<tr>\n<td colspan='4'>There were 40 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n<table border='1'>\n<tr>\n<td colspan='3'><strong>Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Quote Data and Yield Notes<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.B<\/td>\n<td>Deemed-Retractible<\/td>\n<td>Quote: 22.59 &#8211; 22.88<br \/>\nSpot Rate  :  0.2900<br \/>\nAverage  :  0.1765<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 22.59<br \/>\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.C<\/td>\n<td>Deemed-Retractible<\/td>\n<td>Quote: 21.93 &#8211; 22.22<br \/>\nSpot Rate  :  0.2900<br \/>\nAverage  :  0.1862<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 21.93<br \/>\nBid-YTW : 6.06 %<\/td>\n<\/tr>\n<tr>\n<td>GWO.PR.F<\/td>\n<td>Deemed-Retractible<\/td>\n<td>Quote: 25.05 &#8211; 25.34<br \/>\nSpot Rate  :  0.2900<br \/>\nAverage  :  0.1990<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2012-10-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.05<br \/>\nBid-YTW : 5.50 %<\/td>\n<\/tr>\n<tr>\n<td>ELF.PR.F<\/td>\n<td>Deemed-Retractible<\/td>\n<td>Quote: 22.45 &#8211; 22.79<br \/>\nSpot Rate  :  0.3400<br \/>\nAverage  :  0.2679<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 22.45<br \/>\nBid-YTW : 6.77 %<\/td>\n<\/tr>\n<tr>\n<td>TRP.PR.A<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 25.55 &#8211; 25.99<br \/>\nSpot Rate  :  0.4400<br \/>\nAverage  :  0.3679<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2015-01-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.55<br \/>\nBid-YTW : 3.90 %<\/td>\n<\/tr>\n<tr>\n<td>CM.PR.K<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 26.62 &#8211; 26.95<br \/>\nSpot Rate  :  0.3300<br \/>\nAverage  :  0.2589<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-08-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.62<br \/>\nBid-YTW : 3.53 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"<p>DBRS has released a commentary titled Sovereign Ratings Provide a Benchmark for other DBRS Credit Ratings: Sovereign credit ratings serve as a general benchmark for all other DBRS credit ratings. DBRS uses a case-by-case approach &hellip;<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-14265","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14265","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=14265"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14265\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=14265"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=14265"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=14265"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}