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 |
| W.PR.J | Perpetual-Premium | Quote: 25.45 – 25.97 Spot Rate : 0.5200 Average : 0.3145 YTW SCENARIO |
| BAM.PR.K | Floater | Quote: 18.19 – 18.63 Spot Rate : 0.4400 Average : 0.3337 YTW SCENARIO |
| BNS.PR.J | Deemed-Retractible | Quote: 25.37 – 25.64 Spot Rate : 0.2700 Average : 0.1684 YTW SCENARIO |
| RY.PR.G | Deemed-Retractible | Quote: 25.76 – 26.00 Spot Rate : 0.2400 Average : 0.1464 YTW SCENARIO |
| FTS.PR.C | OpRet | Quote: 25.25 – 25.50 Spot Rate : 0.2500 Average : 0.1682 YTW SCENARIO |