Nothing happened today.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 11bp, FixedResets gaining 6bp and DeemedRetractibles down 35bp. The Performance Highlights table is lengthy relative to the overall move. Volume was well above average.
For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.
Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread
Here’s TRP:
Click for Big
TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.13 to be $1.03 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.89 cheap at its bid price of 24.95.
Click for Big
Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).
Most expensive is MFC.PR.N, resetting at +230 on 2020-3-19, bid at 24.35 to be $0.71 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 25.06 to be $0.60 cheap.
Click for Big
The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 22.66 to be $0.74 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 25.00 and appears to be $0.54 rich.
Click for Big
FTS.PR.H, with a spread of +145bp, and bid at 16.05, looks $1.16 cheap and resets 2015-6-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 24.88 and is $0.69 rich.
Click for Big
Investment-grade pairs predict an average over the next five-odd years of about 0.30%, including the TRP.PR.A / TRP.PR.F at -0.29% and the BNS.PR.Y / BNS.PR.D pair at +0.62%. On the junk side, the FFH.PR.E / FFH.PR.F pair is at -1.03%, while BRF.PR.A / BRF.PR.B is at -0.82%.
Click for Big
Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | -0.6717 % | 2,314.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6717 % | 4,046.3 |
| Floater | 3.14 % | 3.25 % | 53,291 | 19.07 | 4 | -0.6717 % | 2,460.1 |
| OpRet | 4.46 % | -5.25 % | 35,607 | 0.12 | 2 | 0.0000 % | 2,774.2 |
| SplitShare | 4.57 % | 4.32 % | 60,943 | 3.36 | 3 | 0.0668 % | 3,259.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 2,536.7 |
| Perpetual-Premium | 5.47 % | 2.98 % | 63,967 | 0.08 | 18 | -0.1614 % | 2,516.5 |
| Perpetual-Discount | 5.07 % | 5.08 % | 120,725 | 15.34 | 15 | -0.1118 % | 2,778.6 |
| FixedReset | 4.40 % | 3.80 % | 267,619 | 16.27 | 86 | 0.0584 % | 2,421.6 |
| Deemed-Retractible | 4.94 % | 3.50 % | 111,884 | 0.84 | 35 | -0.3529 % | 2,633.9 |
| FloatingReset | 2.57 % | 2.96 % | 62,001 | 6.17 | 7 | -0.0608 % | 2,331.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TD.PF.B | FixedReset | -3.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 22.70 Evaluated at bid price : 23.70 Bid-YTW : 3.59 % |
| MFC.PR.B | Deemed-Retractible | -3.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.27 Bid-YTW : 5.56 % |
| SLF.PR.B | Deemed-Retractible | -1.81 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.38 Bid-YTW : 5.25 % |
| PWF.PR.S | Perpetual-Discount | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 23.96 Evaluated at bid price : 24.36 Bid-YTW : 4.95 % |
| MFC.PR.C | Deemed-Retractible | -1.40 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.17 Bid-YTW : 5.46 % |
| BAM.PR.K | Floater | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 15.14 Evaluated at bid price : 15.14 Bid-YTW : 3.32 % |
| TRP.PR.C | FixedReset | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 17.38 Evaluated at bid price : 17.38 Bid-YTW : 3.89 % |
| BAM.PR.R | FixedReset | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 4.23 % |
| SLF.PR.A | Deemed-Retractible | -1.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.14 Bid-YTW : 5.32 % |
| FTS.PR.K | FixedReset | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 21.33 Evaluated at bid price : 21.63 Bid-YTW : 3.80 % |
| HSE.PR.A | FixedReset | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 17.14 Evaluated at bid price : 17.14 Bid-YTW : 4.28 % |
| PWF.PR.A | Floater | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 2.83 % |
| ENB.PR.B | FixedReset | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 4.58 % |
| PWF.PR.T | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 23.41 Evaluated at bid price : 25.40 Bid-YTW : 3.42 % |
| BAM.PR.X | FixedReset | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 18.79 Evaluated at bid price : 18.79 Bid-YTW : 4.16 % |
| MFC.PR.F | FixedReset | 1.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.05 Bid-YTW : 5.93 % |
| MFC.PR.N | FixedReset | 1.80 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 3.91 % |
| SLF.PR.G | FixedReset | 2.74 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.01 Bid-YTW : 6.51 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| FTS.PR.M | FixedReset | 148,540 | Desjardins crossed blocks of 75,000 and 42,200, both at 25.07. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 23.16 Evaluated at bid price : 24.88 Bid-YTW : 3.58 % |
| PWF.PR.P | FixedReset | 77,150 | Scotia crossed blocks of 40,000 and 33,000, both at 19.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 3.71 % |
| TRP.PR.B | FixedReset | 58,923 | RBC crossed 36,200 at 16.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 15.77 Evaluated at bid price : 15.77 Bid-YTW : 3.81 % |
| TD.PF.D | FixedReset | 57,079 | RBC crossed 48,800 at 24.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 23.09 Evaluated at bid price : 24.84 Bid-YTW : 3.76 % |
| TD.PR.Y | FixedReset | 56,600 | TD crossed 39,900 at 25.35 and 16,000 at 25.30. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.27 Bid-YTW : 3.06 % |
| CU.PR.C | FixedReset | 56,122 | RBC crossed 50,000 at 24.68. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-05-19 Maturity Price : 23.40 Evaluated at bid price : 24.55 Bid-YTW : 3.52 % |
| There were 42 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TD.PF.B | FixedReset | Quote: 23.70 – 24.75 Spot Rate : 1.0500 Average : 0.6051 YTW SCENARIO |
| PWF.PR.S | Perpetual-Discount | Quote: 24.36 – 24.90 Spot Rate : 0.5400 Average : 0.3425 YTW SCENARIO |
| CIU.PR.C | FixedReset | Quote: 16.47 – 17.20 Spot Rate : 0.7300 Average : 0.5332 YTW SCENARIO |
| MFC.PR.L | FixedReset | Quote: 23.10 – 23.85 Spot Rate : 0.7500 Average : 0.5550 YTW SCENARIO |
| MFC.PR.B | Deemed-Retractible | Quote: 23.27 – 23.68 Spot Rate : 0.4100 Average : 0.2435 YTW SCENARIO |
| GWO.PR.I | Deemed-Retractible | Quote: 23.72 – 24.15 Spot Rate : 0.4300 Average : 0.3077 YTW SCENARIO |