May 2, 2014

The build up of corporate cash since the Credit Crunch has a nice side-effect:

Rather than get the euros or pounds they need through currency markets, there’s speculation U.S. companies including General Electric Co. may be dipping into offshore cash piles they’ve built up to mitigate tax liabilities.

“Before the market gets excited that mega takeovers from the U.S. could lift the euro and pound, it’s worth recognizing that U.S. companies are sitting on truly huge cash piles abroad,” Steven Barrow, the head of Group of 10 research at Standard Bank Plc in London, wrote in an April 29 note to clients. “That does change the way we have to look at these takeovers from a currency perspective.”

The New York Times produced an excellent graphic regarding relative price changes over the past decade; regrettably but understandably they’ve made it a PNG which doesn’t reproduce well on this blog. Anyway, the point is that the cost of College tuition and fees has soared relative to everything else. I last complained about the universities’ mission-creep on March 6, 2014.

It was another excellent day for the Canadian preferred share market, with PerpetualDiscounts up 19bp, FixedResets winning 26bp and DeemedRetractibles gaining 15bp. Volatility was high, with a lengthy list of winners dominated by FixedResets. Volume was 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 0.8597 % 2,403.6
FixedFloater 4.62 % 3.85 % 30,409 17.77 1 0.1461 % 3,717.8
Floater 3.03 % 3.18 % 52,833 19.28 4 0.8597 % 2,595.2
OpRet 4.35 % -7.00 % 33,369 0.08 2 -0.0387 % 2,699.9
SplitShare 4.79 % 4.33 % 63,718 4.20 5 0.0872 % 3,097.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0387 % 2,468.8
Perpetual-Premium 5.53 % -5.42 % 99,692 0.08 15 0.0654 % 2,394.6
Perpetual-Discount 5.31 % 5.35 % 120,128 14.90 21 0.1907 % 2,532.7
FixedReset 4.51 % 3.38 % 208,500 4.15 75 0.2562 % 2,563.8
Deemed-Retractible 4.98 % -4.25 % 143,597 0.14 42 0.1483 % 2,520.1
FloatingReset 2.68 % 2.30 % 143,689 4.22 6 0.0132 % 2,494.9
Performance Highlights
Issue Index Change Notes
FTS.PR.H FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-02
Maturity Price : 21.41
Evaluated at bid price : 21.73
Bid-YTW : 3.70 %
CU.PR.C FixedReset 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 2.60 %
GWO.PR.N FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 4.09 %
SLF.PR.I FixedReset 1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.48
Bid-YTW : 2.10 %
MFC.PR.F FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 4.08 %
SLF.PR.G FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 4.10 %
SLF.PR.H FixedReset 1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.98
Bid-YTW : 2.37 %
HSE.PR.A FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-02
Maturity Price : 22.81
Evaluated at bid price : 23.16
Bid-YTW : 3.80 %
GWO.PR.I Deemed-Retractible 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 5.74 %
PWF.PR.A Floater 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-02
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 2.68 %
PWF.PR.P FixedReset 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-02
Maturity Price : 23.52
Evaluated at bid price : 24.65
Bid-YTW : 3.35 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.D FixedReset 78,218 CIBC bought four blocks from RBC: 12,200 shares, 11,100 shares, 11,400 and 10,600, all at 25.42. CIBC also bought 24,900 from TD at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 1.67 %
SLF.PR.I FixedReset 69,146 Desjardins crossed blocks of 43,000 and 10,000, both at 26.30.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.48
Bid-YTW : 2.10 %
RY.PR.Z FixedReset 66,690 RBC crossed blocks of 24,900 and 30,000, both at 25.75.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 3.30 %
POW.PR.D Perpetual-Discount 56,895 Scotia crossed 54,000 at 23.80.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-02
Maturity Price : 23.46
Evaluated at bid price : 23.76
Bid-YTW : 5.29 %
BAM.PR.P FixedReset 52,170 Scotia crossed 50,000 at 25.65.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 2.13 %
BNS.PR.Z FixedReset 44,950 RBC crossed 25,000 at 24.75.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 3.38 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.H Perpetual-Premium Quote: 25.50 – 26.01
Spot Rate : 0.5100
Average : 0.2999

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -17.21 %

CU.PR.C FixedReset Quote: 26.21 – 26.70
Spot Rate : 0.4900
Average : 0.3034

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 2.60 %

VNR.PR.A FixedReset Quote: 25.74 – 26.10
Spot Rate : 0.3600
Average : 0.2122

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 3.51 %

BAM.PR.T FixedReset Quote: 25.02 – 25.35
Spot Rate : 0.3300
Average : 0.1933

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-02
Maturity Price : 23.40
Evaluated at bid price : 25.02
Bid-YTW : 3.99 %

TRP.PR.C FixedReset Quote: 22.79 – 23.25
Spot Rate : 0.4600
Average : 0.3282

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-02
Maturity Price : 22.44
Evaluated at bid price : 22.79
Bid-YTW : 3.62 %

ENB.PR.Y FixedReset Quote: 24.50 – 24.85
Spot Rate : 0.3500
Average : 0.2188

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-05-02
Maturity Price : 22.96
Evaluated at bid price : 24.50
Bid-YTW : 4.08 %

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