February 25, 2013

More bad news out of Europe, even before the Italian election returns:

he euro zone will not return to growth until 2014, the European Commission said on Friday, reversing its prediction for an end to recession this year and blaming a lack of bank lending and record joblessness for delaying the recovery.

The 17-nation bloc’s economy, which generates nearly a fifth of global output, will shrink 0.3 per cent in 2013, the Commission said, meaning the euro zone will remain in its second recession since 2009 for a year longer than originally foreseen.

I was interested to see in an unrelated article that preferred share ETFs are the benchmark du jour for asset gathering:

There are eight minimum/low volatility exchange-traded funds listed in Canada and it’s fair to say the concept hasn’t caught on like wildfire given that assets under management are collectively less than $150-million.

By comparison, the BMO S&P/TSX Laddered Preferred Share Index ETF (ZPR/TSX) grew from zero to $160-million in the span of exactly three months. Judging by the amount of assets that have flocked to ETFs dedicated to the preferred share market, growth in that group is all but certain.

It has now been about three and a half months since the 2012-11-14 inception of ZPR and the fund is now at $243-million. Not bad!

It was a surprisingly negative day for the Canadian preferred share market, with PerpetualPremiums off 5bp, FixedResets losing 31bp and DeemedRetractibles down 16bp. As indicated in the longer-than-usual volatility highlights, it looks like a relatively modest amount of selling pressure found few bids in the last half hour. Overall volume was extremely high, but block trading details are not yet available.

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 -0.1362 % 2,599.4
FixedFloater 4.13 % 3.46 % 24,653 18.38 1 0.0435 % 3,935.7
Floater 2.56 % 2.87 % 85,700 20.00 5 -0.1362 % 2,806.6
OpRet 4.80 % 2.81 % 45,309 0.34 5 -0.2545 % 2,595.5
SplitShare 4.58 % 4.24 % 42,026 4.27 2 -0.0994 % 2,943.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2545 % 2,373.4
Perpetual-Premium 5.25 % 1.13 % 91,934 0.09 29 -0.0534 % 2,351.0
Perpetual-Discount 4.85 % 4.90 % 131,081 15.57 4 -0.0609 % 2,648.2
FixedReset 4.90 % 2.74 % 275,545 3.32 78 -0.3148 % 2,496.7
Deemed-Retractible 4.88 % 3.44 % 143,847 0.82 45 -0.1554 % 2,433.5
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset -1.71 % This was a day-long slide.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.67 %
MFC.PR.J FixedReset -1.53 % This was trading at around 26.00 until around 3:25, then there were 16 trades totalling about 4,500 shares, mostly out of Nesbitt, that took the bid right down.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 3.34 %
TCA.PR.X Perpetual-Premium -1.45 % Not a real loss as the low for the day was 51.70.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-15
Maturity Price : 50.00
Evaluated at bid price : 51.00
Bid-YTW : 3.05 %
SLF.PR.H FixedReset -1.38 % Trading at around 25.50 until about 3:30, then nine trades totalling about 3,000 shares took it down.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.45 %
TRP.PR.B FixedReset -1.17 % Probably related to the new issue. All trading after 3:00pm was around 24.50.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-02-25
Maturity Price : 23.30
Evaluated at bid price : 24.48
Bid-YTW : 2.78 %
MFC.PR.A OpRet -1.16 % Trading had reached the mid-25.60s by noon.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-06-19
Maturity Price : 25.50
Evaluated at bid price : 25.60
Bid-YTW : 1.98 %
RY.PR.G Deemed-Retractible -1.11 % Not a “real” loss – the day’s low was 26.00.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 3.53 %
ENB.PR.D FixedReset -1.08 % Competition from the new TRP issue? Trading prices had reached about 25.80 by noon.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 3.36 %
CM.PR.K FixedReset -1.07 % Drifted slowly lower on modest volume from about noon to the close.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 2.91 %
ENB.PR.H FixedReset -1.05 % Competition from the new TRP issue? Trading prices were steady in the afternoon.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-02-25
Maturity Price : 23.27
Evaluated at bid price : 25.46
Bid-YTW : 3.40 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.N FixedReset 427,672 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.66
Bid-YTW : 3.25 %
CU.PR.C FixedReset 73,345 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 2.61 %
CU.PR.D Perpetual-Premium 68,548 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.00
Evaluated at bid price : 26.41
Bid-YTW : 4.12 %
TRP.PR.A FixedReset 68,164 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-02-25
Maturity Price : 23.81
Evaluated at bid price : 25.55
Bid-YTW : 3.23 %
TRP.PR.B FixedReset 67,795 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-02-25
Maturity Price : 23.30
Evaluated at bid price : 24.48
Bid-YTW : 2.78 %
ENB.PR.T FixedReset 61,026 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-02-25
Maturity Price : 23.23
Evaluated at bid price : 25.41
Bid-YTW : 3.70 %
There were 62 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TCA.PR.X Perpetual-Premium Quote: 51.00 – 51.75
Spot Rate : 0.7500
Average : 0.4494

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-15
Maturity Price : 50.00
Evaluated at bid price : 51.00
Bid-YTW : 3.05 %

W.PR.J Perpetual-Premium Quote: 25.45 – 25.97
Spot Rate : 0.5200
Average : 0.3145

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-03-27
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : -8.36 %

BAM.PR.K Floater Quote: 18.19 – 18.63
Spot Rate : 0.4400
Average : 0.3337

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-02-25
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 2.91 %

BNS.PR.J Deemed-Retractible Quote: 25.37 – 25.64
Spot Rate : 0.2700
Average : 0.1684

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-29
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 3.59 %

RY.PR.G Deemed-Retractible Quote: 25.76 – 26.00
Spot Rate : 0.2400
Average : 0.1464

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 3.53 %

FTS.PR.C OpRet Quote: 25.25 – 25.50
Spot Rate : 0.2500
Average : 0.1682

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-08-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.35 %

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