May 7, 2014

We can hope that Saskatchewan’s flirtation with the national securities regulator gets consummated:

The federal government is close to signing up a third province for its voluntary national securities regulator, with Saskatchewan’s government now “optimistic” that it can reach an agreement to join Ontario and British Columbia.

And now, Saskatchewan is poised to become the next province, giving needed momentum to the project by adding a province that had long held a neutral stance regarding the idea.

“We are still working on it, and believe we will come to an agreement,” Saskatchewan government spokeswoman Kathy Young said in response to questions, adding, “we are certainly optimistic.”

The Canadian preferred share market kept the rally going – barely! – today, with PerpetualDiscounts gaining 1bp, FixedResets up 8bp and DeemedRetractibles flat. Floaters did very well, dominating the good part of the Performance Highlights table. Volume was slightly above average.

PerpetualDiscounts now yield 5.32%, equivalent to 6.92% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.4% (maybe just a smidgen over) so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 250bp, a slight (and perhaps spurious) widening from the 245bp reported April 30.

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 1.9546 % 2,463.3
FixedFloater 4.58 % 3.81 % 30,411 17.83 1 0.2899 % 3,752.2
Floater 2.96 % 3.08 % 53,642 19.49 4 1.9546 % 2,659.7
OpRet 4.34 % -2.89 % 34,055 0.15 2 0.2124 % 2,709.3
SplitShare 4.78 % 4.35 % 67,715 4.18 5 0.2060 % 3,102.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2124 % 2,477.4
Perpetual-Premium 5.51 % -10.92 % 96,426 0.09 15 -0.0261 % 2,400.3
Perpetual-Discount 5.30 % 5.32 % 124,133 14.91 21 0.0091 % 2,542.3
FixedReset 4.50 % 3.39 % 210,763 4.14 75 0.0819 % 2,572.1
Deemed-Retractible 4.97 % -6.00 % 139,428 0.13 42 0.0028 % 2,528.6
FloatingReset 2.67 % 2.34 % 146,838 4.20 6 -0.0724 % 2,495.4
Performance Highlights
Issue Index Change Notes
FTS.PR.F Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-07
Maturity Price : 23.72
Evaluated at bid price : 24.00
Bid-YTW : 5.18 %
BAM.PR.Z FixedReset -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.32
Bid-YTW : 3.41 %
ELF.PR.G Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-07
Maturity Price : 21.66
Evaluated at bid price : 22.05
Bid-YTW : 5.42 %
BAM.PR.X FixedReset 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-07
Maturity Price : 22.30
Evaluated at bid price : 22.81
Bid-YTW : 3.98 %
BAM.PR.B Floater 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-07
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 3.11 %
BAM.PR.K Floater 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-07
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 3.12 %
BAM.PR.C Floater 2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-07
Maturity Price : 17.14
Evaluated at bid price : 17.14
Bid-YTW : 3.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.Q Deemed-Retractible 204,990 Scotia crossed three blocks;; 35,000 shares, 100,000 and 68,800, all at 26.50.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-06
Maturity Price : 25.75
Evaluated at bid price : 26.51
Bid-YTW : -26.76 %
HSE.PR.A FixedReset 131,570 Nesbitt crossed 25,000 and 100,000, both at 23.50.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-07
Maturity Price : 23.09
Evaluated at bid price : 23.45
Bid-YTW : 3.71 %
ENB.PR.B FixedReset 101,434 Scotia crossed 25,300 and 60,000, both at 25.30.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 3.81 %
NA.PR.L Deemed-Retractible 101,099 TD crossed 50,000 at 25.35; Nesbitt crossed 42,700 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -9.32 %
RY.PR.A Deemed-Retractible 85,308 TD crossed 83,100 at 25.80.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-23
Maturity Price : 25.25
Evaluated at bid price : 25.72
Bid-YTW : -11.20 %
BNS.PR.B FloatingReset 82,200 Nesbitt crossed 80,000 at 25.25.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-25
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 2.33 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.A FixedReset Quote: 26.17 – 27.00
Spot Rate : 0.8300
Average : 0.4668

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-30
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.47 %

MFC.PR.K FixedReset Quote: 25.34 – 26.16
Spot Rate : 0.8200
Average : 0.4623

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 3.60 %

IFC.PR.A FixedReset Quote: 24.59 – 24.98
Spot Rate : 0.3900
Average : 0.2360

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.59
Bid-YTW : 3.92 %

RY.PR.I FixedReset Quote: 25.86 – 26.23
Spot Rate : 0.3700
Average : 0.2430

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 2.72 %

MFC.PR.F FixedReset Quote: 24.01 – 24.34
Spot Rate : 0.3300
Average : 0.2174

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 3.83 %

BNA.PR.E SplitShare Quote: 25.63 – 25.88
Spot Rate : 0.2500
Average : 0.1456

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 4.35 %

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