July 9, 2014

The National Securities Regulator has just gotten a little more national:

Two more provinces have agreed to join a voluntary national securities regulator expected to begin operations in the fall of 2015, bringing the total number on board to four and giving the upcoming capital markets watchdog a more pan-Canadian scope.

Sources say Saskatchewan and New Brunswick will sign on to the Cooperative Capital Markets Regulator Wednesday in a ceremony in Ottawa with federal Finance Minister Joe Oliver, embracing a plan backed by Ontario and British Columbia last September.

Marketwatch has a nice chart on market trends:

This chart shows how much money is flooding into investment vehicles — index mutual funds and exchange-traded funds — that track stock indexes. These two types of funds have grabbed about 24% of the U.S. mutual fund and ETF market, down from less than 5% in 1998, according to Deutsche Bank data.

Big full-service brokerages, “which control 50% of all invested household wealth in America, have successfully pushed the majority of their advisors’ practices toward more hands-off investing approaches,” said Josh Brown of The Reformed Broker in a recent blog post, referring to charging a flat percentage fee on assets, rather than commissions. “At the same time, do-it-yourselfers have made Vanguard, State Street and BlackRock’s iShares three of the world’s largest asset managers — and they are primarily purveyors of passive indexing products.”

cashFlows

There were modest gains for the Canadian preferred share market, with PerpetualDiscounts winning 7bp, FixedResets gaining 1bp and DeemedRetractibles up 2bp. Volatility was minimal. Volume was average.

PerpetualDiscounts now yield 5.17%, equivalent to 6.72% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.3%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 240bp, a slight (and perhaps spurious) narrowing from the 245bp reported July 2.

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 3.14 % 3.13 % 22,987 19.41 1 -0.0418 % 2,531.9
FixedFloater 4.14 % 3.42 % 28,662 18.47 1 2.6846 % 4,148.0
Floater 2.87 % 2.98 % 46,793 19.80 4 0.2605 % 2,756.8
OpRet 4.02 % -4.25 % 87,763 0.08 1 -0.0392 % 2,717.9
SplitShare 4.26 % 4.01 % 56,618 4.05 6 0.0603 % 3,116.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0392 % 2,485.2
Perpetual-Premium 5.53 % -2.41 % 85,341 0.09 17 -0.0231 % 2,424.6
Perpetual-Discount 5.25 % 5.17 % 111,585 15.23 20 0.0663 % 2,572.4
FixedReset 4.39 % 3.62 % 199,089 4.62 76 0.0076 % 2,558.5
Deemed-Retractible 4.98 % 1.63 % 136,042 0.13 43 0.0202 % 2,548.0
FloatingReset 2.66 % 2.13 % 110,761 3.86 6 0.0526 % 2,516.3
Performance Highlights
Issue Index Change Notes
CIU.PR.C FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-07-09
Maturity Price : 21.76
Evaluated at bid price : 22.25
Bid-YTW : 3.41 %
BAM.PR.G FixedFloater 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-07-09
Maturity Price : 22.98
Evaluated at bid price : 22.95
Bid-YTW : 3.42 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset 334,546 Nesbitt crossed two blocks of 100,000 each, both at 25.45. RBC crossed blocks of 10,000 shares, 12,300 and 50,000, all at 25.45. TD crossed 40,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 3.62 %
CM.PR.O FixedReset 201,900 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 3.62 %
TD.PF.A FixedReset 168,241 TD crossed 100,000 at 25.47. Desjardins crossed 30,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : 3.60 %
RY.PR.H FixedReset 164,150 RBC crossed 50,000 at 25.45. TD crossed 30,000 at the same price; Nesbitt crossed 50,000 at the same price. CIBC sold 10,000 to anonymous at the same price again.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 3.61 %
ENB.PF.C FixedReset 133,597 Scotia crossed 75,400 at 25.12. RBC crossed 10,000 at 25.10.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-07-09
Maturity Price : 23.16
Evaluated at bid price : 25.10
Bid-YTW : 4.20 %
BNS.PR.P FixedReset 132,946 RBC crossed 88,600 and 40,000, both at 25.46.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 2.84 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.B Floater Quote: 17.70 – 18.20
Spot Rate : 0.5000
Average : 0.3060

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-07-09
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 2.98 %

BAM.PR.G FixedFloater Quote: 22.95 – 23.95
Spot Rate : 1.0000
Average : 0.8072

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-07-09
Maturity Price : 22.98
Evaluated at bid price : 22.95
Bid-YTW : 3.42 %

CIU.PR.C FixedReset Quote: 22.25 – 22.84
Spot Rate : 0.5900
Average : 0.4280

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-07-09
Maturity Price : 21.76
Evaluated at bid price : 22.25
Bid-YTW : 3.41 %

RY.PR.L FixedReset Quote: 26.41 – 26.84
Spot Rate : 0.4300
Average : 0.2895

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.41
Bid-YTW : 3.08 %

BAM.PR.C Floater Quote: 17.60 – 17.95
Spot Rate : 0.3500
Average : 0.2904

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2044-07-09
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 3.00 %

GWO.PR.H Deemed-Retractible Quote: 23.87 – 24.05
Spot Rate : 0.1800
Average : 0.1219

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.87
Bid-YTW : 5.47 %

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