November 1, 2013

There was a little pop in bond yields today:

Treasury 10-year note yields (USGG10YR) rose to the highest levels in two weeks after a gauge of U.S. manufacturing expanded at a faster pace than forecast, weakening the case for the Federal Reserve to maintain stimulus.

The benchmark securities extended the first five-day drop in three weeks as Fed Bank of St. Louis President James Bullard said labor market gains in the past year could warrant a cut in the bond buying. Fed policy makers said Oct. 30 that the economy showed signs of “underlying strength” even as they maintained their $85 billion of monthly asset purchases.

Want a raise? Go west, young man!

Data released yesterday by Statistics Canada showed the difference in average hourly wages in Alberta and the rest of the country, but for Saskatchewan, widened again in August.

“Note that hourly wages are now nearly $6 less in Atlantic Canada than in Alberta, the widest gap on record, a factor that has contributed to pushing more than 11,000 migrants out of the region in the past year – a major headache for housing markets, government finances, etc.,” said senior economist Robert Kavcic of BMO Nesbitt Burns.

“Even B.C. is seeing the wage gap approach $4/hour versus Alberta, and not coincidentally is also seeing a decade-high net outflow of workers.”

The StatsCan report indicates that a decent economy is still comfortably far away:


Click for Big

… with an implication that those who decided to earn a living filing paperwork for construction companies are getting vindicated …


Click for Big

DBRS confirmed Enbridge at Pfd-2(low):

DBRS has today confirmed the Issuer Rating of Enbridge Inc. (ENB or the Company) at A (low) and ratings on ENB’s Medium-Term Notes & Unsecured Debentures, Commercial Paper and Cumulative Redeemable Preferred Shares ratings at A (low), R-1 (low) and Pfd-2 (low), respectively, all with Stable trends. The ratings reflect (1) a relatively strong business risk profile, (2) pressure on ENB’s near-to-medium-term credit metrics and (3) results under the ten-year Competitive Tolling Settlement (CTS), effective July 1, 2011.

Enbridge is the proud issuer of ENB.PR.A, ENB.PR.B, ENB.PR.D, ENB.PR.F, ENB.PR.H, ENB.PR.N, ENB.PR.P, ENB.PR.T and ENB.PR.Y, as well as some US-Pay stuff that I don’t track.

It was a negative day for the Canadian preferred share market, with PerpetualDiscounts down 11bp, FixedResets off 3bp and DeemedRetractibles losing 18bp. The Performance Highlights table is longer than one might expect given the modest overall moves, with a preponderance of Straight losers. Volume was on the low side of average.

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 0.2682 % 2,465.9
FixedFloater 4.18 % 3.46 % 27,003 18.46 1 0.1323 % 4,012.5
Floater 3.01 % 3.03 % 62,859 19.64 3 0.2682 % 2,662.5
OpRet 4.63 % 3.38 % 67,802 0.57 3 -0.1541 % 2,636.1
SplitShare 4.74 % 4.90 % 63,167 3.68 6 0.0202 % 2,957.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1541 % 2,410.4
Perpetual-Premium 5.59 % 3.68 % 126,485 0.31 11 -0.0613 % 2,298.0
Perpetual-Discount 5.53 % 5.52 % 183,016 14.55 27 -0.1093 % 2,372.7
FixedReset 5.01 % 3.59 % 227,630 3.37 82 -0.0277 % 2,454.1
Deemed-Retractible 5.08 % 4.20 % 195,601 1.50 42 -0.1802 % 2,409.5
FloatingReset 2.62 % 2.37 % 310,113 4.53 5 -0.0317 % 2,454.0
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-01
Maturity Price : 22.55
Evaluated at bid price : 23.55
Bid-YTW : 4.55 %
GWO.PR.N FixedReset -1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.71
Bid-YTW : 4.75 %
MFC.PR.C Deemed-Retractible -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 6.48 %
VNR.PR.A FixedReset -1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.38 %
ELF.PR.F Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-01
Maturity Price : 23.22
Evaluated at bid price : 23.52
Bid-YTW : 5.67 %
BAM.PF.C Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-01
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.14 %
SLF.PR.C Deemed-Retractible -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.53
Bid-YTW : 6.27 %
BAM.PR.T FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-01
Maturity Price : 22.57
Evaluated at bid price : 23.31
Bid-YTW : 4.42 %
TRP.PR.C FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-01
Maturity Price : 22.28
Evaluated at bid price : 22.61
Bid-YTW : 3.73 %
PWF.PR.L Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-01
Maturity Price : 23.51
Evaluated at bid price : 23.81
Bid-YTW : 5.37 %
CIU.PR.C FixedReset 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-01
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 3.82 %
Volume Highlights
Issue Index Shares
Traded
Notes
FTS.PR.J Perpetual-Discount 53,435 RBC crossed two blocks of 25,000 each, both at 23.26.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-01
Maturity Price : 22.76
Evaluated at bid price : 23.16
Bid-YTW : 5.19 %
CM.PR.G Perpetual-Premium 32,900 Desjardins crossed 21,000 at 25.03.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-01
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 5.35 %
CU.PR.C FixedReset 29,800 Scotia crossed 24,700 at 25.25.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.92 %
MFC.PR.C Deemed-Retractible 21,353 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 6.48 %
CM.PR.E Perpetual-Premium 18,616 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : -0.36 %
CM.PR.K FixedReset 18,360 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.70 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CIU.PR.C FixedReset Quote: 21.09 – 21.75
Spot Rate : 0.6600
Average : 0.5245

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-11-01
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 3.82 %

BNS.PR.O Deemed-Retractible Quote: 26.24 – 26.61
Spot Rate : 0.3700
Average : 0.2458

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-01
Maturity Price : 26.00
Evaluated at bid price : 26.24
Bid-YTW : -5.56 %

IAG.PR.G FixedReset Quote: 25.56 – 25.83
Spot Rate : 0.2700
Average : 0.1857

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 3.77 %

PWF.PR.I Perpetual-Premium Quote: 25.20 – 25.50
Spot Rate : 0.3000
Average : 0.2286

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : -3.49 %

SLF.PR.G FixedReset Quote: 22.48 – 22.67
Spot Rate : 0.1900
Average : 0.1225

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.48
Bid-YTW : 4.54 %

GWO.PR.M Deemed-Retractible Quote: 25.41 – 25.58
Spot Rate : 0.1700
Average : 0.1047

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 5.70 %

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