{"id":17408,"date":"2011-12-19T23:47:42","date_gmt":"2011-12-20T03:47:42","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=17408"},"modified":"2011-12-19T23:47:42","modified_gmt":"2011-12-20T03:47:42","slug":"december-19-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=17408","title":{"rendered":"December 19, 2011"},"content":{"rendered":"<p>The Bank of England <a href=\"http:\/\/www.bankofengland.co.uk\/publications\/news\/2011\/159.htm\">has released<\/a> the <a href=\"http:\/\/www.bankofengland.co.uk\/publications\/quarterlybulletin\/n11qbcon.htm\">11Q4 Quarterly Bulletin<\/a> with articles:<\/p>\n<ul>\n<li>Markets and operations\n<li>Understanding recent developments in UK external trade\n<li>The financial position of British households: evidence from the 2011 NMG Consulting survey\n<li>Going public: UK companies\u2019 use of capital markets\n<li>Trading models and liquidity provision in OTC derivatives markets\n<li>Summaries of recent Bank of England working papers\n<ul>\n<li>Systemic capital requirements\n<li>Estimating the impact of the volatility of shocks: a structural VAR approach\n<li>How do individual UK consumer prices behave?\n<li>An efficient minimum distance estimator for DSGE models\n<li>Time-varying volatility, precautionary saving and monetary policy<\/ul>\n<\/ul>\n<p>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.<\/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>-0.0633 %<\/td>\n<td>2,003.7<\/td>\n<\/tr>\n<tr>\n<td>FixedFloater<\/td>\n<td>4.94 %<\/td>\n<td>4.69 %<\/td>\n<td>36,584<\/td>\n<td>16.97<\/td>\n<td>1<\/td>\n<td>-0.3107 %<\/td>\n<td>3,122.6<\/td>\n<\/tr>\n<tr>\n<td>Floater<\/td>\n<td>3.32 %<\/td>\n<td>3.68 %<\/td>\n<td>68,856<\/td>\n<td>18.13<\/td>\n<td>3<\/td>\n<td>-0.0633 %<\/td>\n<td>2,163.4<\/td>\n<\/tr>\n<tr>\n<td>OpRet<\/td>\n<td>4.94 %<\/td>\n<td>1.41 %<\/td>\n<td>60,406<\/td>\n<td>1.40<\/td>\n<td>6<\/td>\n<td>-0.4435 %<\/td>\n<td>2,471.5<\/td>\n<\/tr>\n<tr>\n<td>SplitShare<\/td>\n<td>5.51 %<\/td>\n<td>2.95 %<\/td>\n<td>68,256<\/td>\n<td>0.97<\/td>\n<td>4<\/td>\n<td>0.0104 %<\/td>\n<td>2,537.3<\/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>-0.4435 %<\/td>\n<td>2,259.9<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Premium<\/td>\n<td>5.49 %<\/td>\n<td>3.11 %<\/td>\n<td>88,274<\/td>\n<td>0.84<\/td>\n<td>18<\/td>\n<td>-0.0551 %<\/td>\n<td>2,171.3<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Discount<\/td>\n<td>5.23 %<\/td>\n<td>5.19 %<\/td>\n<td>106,435<\/td>\n<td>15.07<\/td>\n<td>12<\/td>\n<td>-0.1479 %<\/td>\n<td>2,318.2<\/td>\n<\/tr>\n<tr>\n<td>FixedReset<\/td>\n<td>5.11 %<\/td>\n<td>3.02 %<\/td>\n<td>217,704<\/td>\n<td>2.54<\/td>\n<td>64<\/td>\n<td>-0.0794 %<\/td>\n<td>2,337.6<\/td>\n<\/tr>\n<tr>\n<td>Deemed-Retractible<\/td>\n<td>5.04 %<\/td>\n<td>4.04 %<\/td>\n<td>191,158<\/td>\n<td>3.09<\/td>\n<td>46<\/td>\n<td>0.0968 %<\/td>\n<td>2,227.8<\/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>BAM.PR.X<\/td>\n<td>FixedReset<\/td>\n<td>-1.54 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2041-12-19<br \/>\nMaturity Price  : 22.90<br \/>\nEvaluated at bid price : 24.36<br \/>\nBid-YTW : 3.39 %<\/td>\n<\/tr>\n<tr>\n<td>PWF.PR.A<\/td>\n<td>Floater<\/td>\n<td>-1.19 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2041-12-19<br \/>\nMaturity Price  : 19.03<br \/>\nEvaluated at bid price : 19.03<br \/>\nBid-YTW : 2.78 %<\/td>\n<\/tr>\n<tr>\n<td>FTS.PR.H<\/td>\n<td>FixedReset<\/td>\n<td>-1.16 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2041-12-19<br \/>\nMaturity Price  : 23.48<br \/>\nEvaluated at bid price : 25.50<br \/>\nBid-YTW : 2.67 %<\/td>\n<\/tr>\n<tr>\n<td>TCA.PR.X<\/td>\n<td>Perpetual-Premium<\/td>\n<td>-1.12 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2013-10-15<br \/>\nMaturity Price  : 50.00<br \/>\nEvaluated at bid price : 52.30<br \/>\nBid-YTW : 3.42 %<\/td>\n<\/tr>\n<tr>\n<td>GWO.PR.N<\/td>\n<td>FixedReset<\/td>\n<td>1.05 %<\/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 : 23.00<br \/>\nBid-YTW : 3.95 %<\/td>\n<\/tr>\n<tr>\n<td>SLF.PR.B<\/td>\n<td>Deemed-Retractible<\/td>\n<td>1.67 %<\/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 : 21.93<br \/>\nBid-YTW : 6.49 %<\/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>MFC.PR.G<\/td>\n<td>FixedReset<\/td>\n<td>91,945<\/td>\n<td><a href=\"http:\/\/www.prefblog.com\/?p=17307\">Recent underwriters&#8217; clearance<\/a>.<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 : 23.70<br \/>\nBid-YTW : 4.96 %<\/td>\n<\/tr>\n<tr>\n<td>ENB.PR.D<\/td>\n<td>FixedReset<\/td>\n<td>77,934<\/td>\n<td><a href=\"http:\/\/www.prefblog.com\/?p=17109\">Recent new issue<\/a>.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2041-12-19<br \/>\nMaturity Price  : 23.16<br \/>\nEvaluated at bid price : 25.18<br \/>\nBid-YTW : 3.54 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.D<\/td>\n<td>FixedReset<\/td>\n<td>57,707<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-06-19<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.51<br \/>\nBid-YTW : 4.07 %<\/td>\n<\/tr>\n<tr>\n<td>BMO.PR.L<\/td>\n<td>Deemed-Retractible<\/td>\n<td>41,400<\/td>\n<td>RBC crossed 21,100 at 27.05.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2013-05-25<br \/>\nMaturity Price  : 26.00<br \/>\nEvaluated at bid price : 27.10<br \/>\nBid-YTW : 2.81 %<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.A<\/td>\n<td>OpRet<\/td>\n<td>41,186<\/td>\n<td>RBC bought 30,000 from Scotia at 25.00.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Soft Maturity<br \/>\nMaturity Date\t: 2015-12-18<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 24.95<br \/>\nBid-YTW : 4.18 %<\/td>\n<\/tr>\n<tr>\n<td>CM.PR.E<\/td>\n<td>Perpetual-Premium<\/td>\n<td>37,608<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2012-10-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.26<br \/>\nBid-YTW : 5.27 %<\/td>\n<\/tr>\n<tr>\n<td colspan='4'>There were 35 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>CIU.PR.B<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 27.26 &#8211; 27.80<br \/>\nSpot Rate  :  0.5400<br \/>\nAverage  :  0.3414<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-06-01<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 27.26<br \/>\nBid-YTW : 3.02 %<\/td>\n<\/tr>\n<tr>\n<td>TCA.PR.X<\/td>\n<td>Perpetual-Premium<\/td>\n<td>Quote: 52.30 &#8211; 52.85<br \/>\nSpot Rate  :  0.5500<br \/>\nAverage  :  0.3876<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2013-10-15<br \/>\nMaturity Price  : 50.00<br \/>\nEvaluated at bid price : 52.30<br \/>\nBid-YTW : 3.42 %<\/td>\n<\/tr>\n<tr>\n<td>ENB.PR.B<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 25.61 &#8211; 25.90<br \/>\nSpot Rate  :  0.2900<br \/>\nAverage  :  0.1777<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2041-12-19<br \/>\nMaturity Price  : 23.32<br \/>\nEvaluated at bid price : 25.61<br \/>\nBid-YTW : 3.50 %<\/td>\n<\/tr>\n<tr>\n<td>PWF.PR.A<\/td>\n<td>Floater<\/td>\n<td>Quote: 19.03 &#8211; 19.50<br \/>\nSpot Rate  :  0.4700<br \/>\nAverage  :  0.3802<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2041-12-19<br \/>\nMaturity Price  : 19.03<br \/>\nEvaluated at bid price : 19.03<br \/>\nBid-YTW : 2.78 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.X<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 27.20 &#8211; 27.43<br \/>\nSpot Rate  :  0.2300<br \/>\nAverage  :  0.1414<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-08-24<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 27.20<br \/>\nBid-YTW : 3.01 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.H<\/td>\n<td>Deemed-Retractible<\/td>\n<td>Quote: 26.70 &#8211; 27.23<br \/>\nSpot Rate  :  0.5300<br \/>\nAverage  :  0.4432<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2013-05-24<br \/>\nMaturity Price  : 26.00<br \/>\nEvaluated at bid price : 26.70<br \/>\nBid-YTW : 3.76 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"<p>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 &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-17408","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17408","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=17408"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17408\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=17408"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=17408"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=17408"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}