{"id":21185,"date":"2013-02-25T23:46:19","date_gmt":"2013-02-26T03:46:19","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=21185"},"modified":"2013-02-25T23:46:19","modified_gmt":"2013-02-26T03:46:19","slug":"february-25-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=21185","title":{"rendered":"February 25, 2013"},"content":{"rendered":"

More bad news out of Europe<\/a>, even before the Italian election returns:<\/p>\n

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.<\/p>\n

The 17-nation bloc\u2019s 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.<\/p><\/blockquote>\n

I was interested to see in an unrelated article that preferred share ETFs are the benchmark du jour for asset gathering<\/a>:<\/p>\n

There are eight minimum\/low volatility exchange-traded funds listed in Canada and it\u2019s fair to say the concept hasn\u2019t caught on like wildfire given that assets under management are collectively less than $150-million.<\/p>\n

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.<\/p><\/blockquote>\n

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<\/a>. Not bad!<\/p>\n

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.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1362 %<\/td>\n2,599.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.13 %<\/td>\n3.46 %<\/td>\n24,653<\/td>\n18.38<\/td>\n1<\/td>\n0.0435 %<\/td>\n3,935.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.56 %<\/td>\n2.87 %<\/td>\n85,700<\/td>\n20.00<\/td>\n5<\/td>\n-0.1362 %<\/td>\n2,806.6<\/td>\n<\/tr>\n
OpRet<\/td>\n4.80 %<\/td>\n2.81 %<\/td>\n45,309<\/td>\n0.34<\/td>\n5<\/td>\n-0.2545 %<\/td>\n2,595.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.58 %<\/td>\n4.24 %<\/td>\n42,026<\/td>\n4.27<\/td>\n2<\/td>\n-0.0994 %<\/td>\n2,943.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2545 %<\/td>\n2,373.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.25 %<\/td>\n1.13 %<\/td>\n91,934<\/td>\n0.09<\/td>\n29<\/td>\n-0.0534 %<\/td>\n2,351.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.85 %<\/td>\n4.90 %<\/td>\n131,081<\/td>\n15.57<\/td>\n4<\/td>\n-0.0609 %<\/td>\n2,648.2<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.90 %<\/td>\n2.74 %<\/td>\n275,545<\/td>\n3.32<\/td>\n78<\/td>\n-0.3148 %<\/td>\n2,496.7<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.88 %<\/td>\n3.44 %<\/td>\n143,847<\/td>\n0.82<\/td>\n45<\/td>\n-0.1554 %<\/td>\n2,433.5<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset<\/td>\n-1.71 %<\/td>\nThis was a day-long slide.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-03-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.90
\nBid-YTW : 3.67 %<\/td>\n<\/tr>\n
MFC.PR.J<\/td>\nFixedReset<\/td>\n-1.53 %<\/td>\nThis 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.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-03-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.72
\nBid-YTW : 3.34 %<\/td>\n<\/tr>\n
TCA.PR.X<\/td>\nPerpetual-Premium<\/td>\n-1.45 %<\/td>\nNot a real loss as the low for the day was 51.70.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-15
\nMaturity Price : 50.00
\nEvaluated at bid price : 51.00
\nBid-YTW : 3.05 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n-1.38 %<\/td>\nTrading at around 25.50 until about 3:30, then nine trades totalling about 3,000 shares took it down.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.30
\nBid-YTW : 3.45 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n-1.17 %<\/td>\nProbably related to the new issue<\/a>. All trading after 3:00pm was around 24.50.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-02-25
\nMaturity Price : 23.30
\nEvaluated at bid price : 24.48
\nBid-YTW : 2.78 %<\/td>\n<\/tr>\n
MFC.PR.A<\/td>\nOpRet<\/td>\n-1.16 %<\/td>\nTrading had reached the mid-25.60s by noon.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-06-19
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.60
\nBid-YTW : 1.98 %<\/td>\n<\/tr>\n
RY.PR.G<\/td>\nDeemed-Retractible<\/td>\n-1.11 %<\/td>\nNot a “real” loss – the day’s low was 26.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-05-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.76
\nBid-YTW : 3.53 %<\/td>\n<\/tr>\n
ENB.PR.D<\/td>\nFixedReset<\/td>\n-1.08 %<\/td>\nCompetition from the new TRP issue<\/a>? Trading prices had reached about 25.80 by noon.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-03-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.74
\nBid-YTW : 3.36 %<\/td>\n<\/tr>\n
CM.PR.K<\/td>\nFixedReset<\/td>\n-1.07 %<\/td>\nDrifted slowly lower on modest volume from about noon to the close.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.95
\nBid-YTW : 2.91 %<\/td>\n<\/tr>\n
ENB.PR.H<\/td>\nFixedReset<\/td>\n-1.05 %<\/td>\nCompetition from the new TRP issue<\/a>? Trading prices were steady in the afternoon.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-02-25
\nMaturity Price : 23.27
\nEvaluated at bid price : 25.46
\nBid-YTW : 3.40 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset<\/td>\n427,672<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.66
\nBid-YTW : 3.25 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n73,345<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-06-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.40
\nBid-YTW : 2.61 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Premium<\/td>\n68,548<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-09-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.41
\nBid-YTW : 4.12 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n68,164<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-02-25
\nMaturity Price : 23.81
\nEvaluated at bid price : 25.55
\nBid-YTW : 3.23 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n67,795<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-02-25
\nMaturity Price : 23.30
\nEvaluated at bid price : 24.48
\nBid-YTW : 2.78 %<\/td>\n<\/tr>\n
ENB.PR.T<\/td>\nFixedReset<\/td>\n61,026<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-02-25
\nMaturity Price : 23.23
\nEvaluated at bid price : 25.41
\nBid-YTW : 3.70 %<\/td>\n<\/tr>\n
There were 62 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
TCA.PR.X<\/td>\nPerpetual-Premium<\/td>\nQuote: 51.00 – 51.75
\nSpot Rate : 0.7500
\nAverage : 0.4494<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-15
\nMaturity Price : 50.00
\nEvaluated at bid price : 51.00
\nBid-YTW : 3.05 %<\/td>\n<\/tr>\n

W.PR.J<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.45 – 25.97
\nSpot Rate : 0.5200
\nAverage : 0.3145<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-03-27
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.45
\nBid-YTW : -8.36 %<\/td>\n<\/tr>\n

BAM.PR.K<\/td>\nFloater<\/td>\nQuote: 18.19 – 18.63
\nSpot Rate : 0.4400
\nAverage : 0.3337<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-02-25
\nMaturity Price : 18.19
\nEvaluated at bid price : 18.19
\nBid-YTW : 2.91 %<\/td>\n<\/tr>\n

BNS.PR.J<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.37 – 25.64
\nSpot Rate : 0.2700
\nAverage : 0.1684<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.37
\nBid-YTW : 3.59 %<\/td>\n<\/tr>\n

RY.PR.G<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.76 – 26.00
\nSpot Rate : 0.2400
\nAverage : 0.1464<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-05-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.76
\nBid-YTW : 3.53 %<\/td>\n<\/tr>\n

FTS.PR.C<\/td>\nOpRet<\/td>\nQuote: 25.25 – 25.50
\nSpot Rate : 0.2500
\nAverage : 0.1682<\/p>\n

YTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2013-08-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.25
\nBid-YTW : 3.35 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

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 …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-21185","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/21185","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=21185"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/21185\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=21185"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=21185"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=21185"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}