Febuary 14, 2014

Nothing happened today.

It was a positive day for the Canadian preferred share market, with PerpetualDiscounts up 7bp, FixedResets winning 10bp and DeemedRetractibles gaining 6bp. The Performance Highlights table is a little longer than usual, but has no clear pattern. Volume was low.

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 -0.3703 % 2,411.0
FixedFloater 4.75 % 4.34 % 30,944 17.74 1 -0.1000 % 3,569.2
Floater 3.00 % 3.11 % 53,366 19.42 4 -0.3703 % 2,603.2
OpRet 4.61 % -0.46 % 68,359 0.13 3 0.0641 % 2,688.5
SplitShare 4.87 % 5.02 % 62,001 4.33 5 0.1289 % 3,011.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0641 % 2,458.4
Perpetual-Premium 5.67 % 1.29 % 93,895 0.08 12 0.0298 % 2,334.6
Perpetual-Discount 5.56 % 5.59 % 148,156 14.49 26 0.0663 % 2,387.1
FixedReset 4.90 % 3.76 % 210,538 6.43 82 0.0957 % 2,489.2
Deemed-Retractible 5.12 % 4.04 % 162,877 1.93 42 0.0614 % 2,424.1
FloatingReset 2.66 % 2.64 % 162,858 7.16 6 -0.2612 % 2,434.8
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-14
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 3.11 %
IFC.PR.A FixedReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.89
Bid-YTW : 4.28 %
BAM.PR.N Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-14
Maturity Price : 19.89
Evaluated at bid price : 19.89
Bid-YTW : 6.07 %
PWF.PR.A Floater 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-14
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 2.75 %
BAM.PR.X FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-14
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 4.43 %
SLF.PR.G FixedReset 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 4.47 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset 147,720 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-14
Maturity Price : 23.19
Evaluated at bid price : 25.15
Bid-YTW : 3.76 %
NA.PR.S FixedReset 131,120 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-14
Maturity Price : 23.18
Evaluated at bid price : 25.09
Bid-YTW : 3.94 %
MFC.PR.C Deemed-Retractible 83,399 Nesbitt crossed blocks of 60,000 and 20,000 at 21.25.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 6.57 %
BNS.PR.Z FixedReset 54,770 RBC crossed 50,000 at 23.74.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 3.94 %
SLF.PR.D Deemed-Retractible 30,664 Nesbitt crossed 25,000 at 21.05.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.06
Bid-YTW : 6.60 %
RY.PR.R FixedReset 27,857 Called for Redemption 2014-2-24 at $25.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 5.48 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.G FixedFloater Quote: 19.98 – 20.46
Spot Rate : 0.4800
Average : 0.3406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-14
Maturity Price : 25.00
Evaluated at bid price : 19.98
Bid-YTW : 4.34 %

MFC.PR.F FixedReset Quote: 22.42 – 22.83
Spot Rate : 0.4100
Average : 0.3110

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.42
Bid-YTW : 4.64 %

BNS.PR.B FloatingReset Quote: 24.59 – 24.84
Spot Rate : 0.2500
Average : 0.1637

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.59
Bid-YTW : 2.76 %

CIU.PR.A Perpetual-Discount Quote: 21.55 – 21.82
Spot Rate : 0.2700
Average : 0.1921

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-14
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 5.36 %

BAM.PF.D Perpetual-Discount Quote: 20.35 – 20.68
Spot Rate : 0.3300
Average : 0.2575

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-02-14
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.12 %

SLF.PR.F FixedReset Quote: 25.54 – 25.72
Spot Rate : 0.1800
Average : 0.1080

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.54
Bid-YTW : 2.18 %

3 Responses to “Febuary 14, 2014”

  1. nitromicro says:

    MFC.PR.C and SLF.PR.D are stated as hard maturity in 2025 bringing their YTW to above 6.5%. However I reviewed the SLF.PR.D prospectus issued in October 2006 and it states the shares are perpetuals with hard maturity date. MFC.PR.C are also listed in other sites as perpetuals. If they are perpertuals, this would reduce their YTW to the present value of their distributions (around 5.1%). Am I in error?

  2. adrian2 says:

    Two words: “deemed retractable”.

    http://www.prefletter.com/whatPrefLetter.php

  3. jiHymas says:

    Thanks for the help, adrian2

    nitromicro, you are correct that these issues have no maturity date specified in their prospectuses. However, as outlined in the PrefLetter link adrian2 posted, fleshed out in the links given on that page, and as discussed at length in every edition of PrefLetter, the new OSFI regulations regarding Tier 1 capital eligibility for banks are expected to force redemption (or a change in terms approved by shareholders) prior to 2022-1-31, as becoming ineligible for inclusion in Tier 1 capital will change them, in the banks’ view, from ‘cheap equity’ to ‘expensive debt’.

    The market seems to accept this, given the way the bank issues are trading, particularly during the sharp downdraft of June 2013.

    It is my contention, which is not shared by the market (yet!), that these rules will be extended to insurers and insurance holding companies when OSFI finally gets around to implementing the Life Insurance Regulatory Framework. I currently analyze these issues as if the critical non-inclusion date is 2025-1-31; unless OSFI gets moving quickly, I will be changing this in the near future to 2027-1-31.

    That’s my story and I’m sticking to it!

Leave a Reply

You must be logged in to post a comment.