August 18, 2015

The dong has been devalued:

The State Bank of Vietnam weakened its reference rate by 1 percent to 21,890 dong a dollar effective Wednesday, it said in a statement on its website. The authority also widened the currency’s trading band to 3 percent on either side of the fixing. The dong fell 1.4 percent to 22,408 as of 10:36 a.m. in Hanoi, according to data compiled by Bloomberg.

The devaluation comes after the central bank widened the dong’s trading band to 2 percent from 1 percent on Aug.12, a day after China’s surprise policy shift heightened the risk of a currency war. Prime Minister Nguyen Tan Dung is seeking to safeguard slowing export growth and the State Bank said it’s concerned about the prospect of higher U.S. interest rates.

“After the strong devaluation of the yuan, Vietnam’s domestic market sentiment is still very much concerned about the impact of the U.S. Federal Reserve’s rate increase,” the central bank said in its statement. The reference rate and the trading band are being adjusted “in order to proactively lead the market and preempt negative impacts of the possibility that the Fed will increase rates.”

And there’s pressure on Thailand:

Bangkok’s deadly bomb attack this week is set to hit Thailand’s last remaining growth pillar with travel warnings and canceled trips, adding pressure on authorities to restore confidence and stimulate the economy.

Weaker tourism in the next two to three quarters will probably hurt Thailand’s economic growth and the explosion could have a longer-lasting impact on visitor numbers compared with previous incidents in the past decade, Standard & Poor’s said Tuesday.

It also increases the probability that the Bank of Thailand will cut interest rates again this year, according to Credit Suisse, Australia & New Zealand Banking Group Ltd., Nomura Holdings Inc. and BMI.

“It reinforces our view of further monetary easing ahead,” said Weiwen Ng, a Singapore-based economist at ANZ, who estimates tourism accounts for 20 percent of the economy, including indirect effects. “Domestic demand — which is already sluggish — will be derailed. Bank of Thailand will also probably allow some baht weakness to help boost exports.”

Today’s technology news is that Uncle Sam is Yelping:

Adding customer satisfaction ratings and reviews to public services just got easier now that Yelp offers a terms of service for official government use.

Yelp, a Web and mobile-based user review platform, hosts insights from “real people giving their honest and personal opinions on everything from restaurants and spas to coffee shops.” With the addition of Public Services and Government under the Yelp umbrella, agencies can continue to find new ways to use customer insights to improve citizen services.

Agencies are now able to use Yelp to potentially:

  • ◾Claim existing pages or launch new pages to listen and respond to customer comments
  • ◾Use customer feedback data to drive improvements in citizen services.

It was yet another poor day for the Canadian preferred share market, with PerpetualDiscounts off 7bp, FixedResets losing 35bp and DeemedRetractibles down 13bp. The Performance Highlights table is again notable for the relatively large number of TRP and ENB issues included in the less desirable neighborhood. Volume was very low.

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:

impVol_TRP_150818
Click for Big

TRP.PR.A, which resets 2019-12-31 at +192, is bid at 17.00 to be $0.49 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.90 cheap at its bid price of 13.26.

impVol_MFC_150818
Click for Big

Another good fit today!

Most expensive is MFC.PR.I, resetting at +286bp on 2017-9-19, bid at 24.27 to be 0.38 rich, while MFC.PR.J, resetting at +261bp on 2018-3-19, is bid at 22.60 to be $0.41 cheap.

impVol_BAM_150818
Click for Big

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 17.43 to be $1.30 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 21.41 and appears to be $1.13 rich.

impVol_FTS_150818
Click for Big

Not very reliable; the calculated level of Implied Volatility dropped from 17% yesterday, largely due to a highly suspicious bid on FTS.PR.K (see the Performance Highlights table).

FTS.PR.H, with a spread of +145bp, and bid at 15.90, looks $0.79 expensive and resets 2020-6-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 19.36 and is $0.49 cheap.

pairs_FR_150818
Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.35%, with no outliers. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.47% and the unregulated issues averaging -0.10%. There are three junk outliers below -1.00%.

pairs_FF_150818
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
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 -3.4091 % 1,935.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -3.4091 % 3,384.7
Floater 3.79 % 3.88 % 53,434 17.64 3 -3.4091 % 2,057.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.2140 % 2,783.3
SplitShare 4.57 % 4.95 % 55,180 3.11 3 0.2140 % 3,261.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2140 % 2,545.1
Perpetual-Premium 5.72 % 5.53 % 60,165 2.05 9 0.0177 % 2,484.1
Perpetual-Discount 5.43 % 5.51 % 79,409 14.67 29 -0.0745 % 2,602.4
FixedReset 4.79 % 3.94 % 195,840 15.99 87 -0.3467 % 2,204.3
Deemed-Retractible 5.11 % 5.25 % 98,023 5.43 34 -0.1289 % 2,583.6
FloatingReset 2.35 % 3.29 % 45,575 5.99 9 -0.0150 % 2,245.9
Performance Highlights
Issue Index Change Notes
FTS.PR.K FixedReset -4.90 % Not particularly real, since the issue traded 3,800 shares today in a range of 19.53-01 and a VWAP of 19.80. The closing quote was 19.02-20.04. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 3.75 %
BAM.PR.K Floater -4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 3.88 %
ENB.PR.B FixedReset -3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 14.73
Evaluated at bid price : 14.73
Bid-YTW : 5.20 %
BAM.PR.C Floater -3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 12.31
Evaluated at bid price : 12.31
Bid-YTW : 3.88 %
TRP.PR.G FixedReset -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 21.63
Evaluated at bid price : 22.00
Bid-YTW : 4.06 %
BAM.PR.B Floater -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 3.73 %
MFC.PR.J FixedReset -1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 4.65 %
RY.PR.H FixedReset -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 21.54
Evaluated at bid price : 21.81
Bid-YTW : 3.45 %
ENB.PR.F FixedReset -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 5.18 %
BAM.PF.E FixedReset -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 4.05 %
ENB.PR.H FixedReset -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 4.89 %
PWF.PR.T FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 22.81
Evaluated at bid price : 23.77
Bid-YTW : 3.23 %
ELF.PR.H Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 23.30
Evaluated at bid price : 23.70
Bid-YTW : 5.86 %
TRP.PR.E FixedReset -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 4.15 %
FTS.PR.H FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 3.33 %
MFC.PR.N FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.74
Bid-YTW : 5.08 %
ENB.PR.P FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 5.01 %
GWO.PR.Q Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.22
Bid-YTW : 5.71 %
ENB.PF.C FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.96 %
TRP.PR.C FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 4.04 %
ENB.PF.G FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.94 %
ENB.PR.T FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 16.23
Evaluated at bid price : 16.23
Bid-YTW : 5.02 %
ENB.PF.E FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 4.96 %
HSE.PR.E FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 22.44
Evaluated at bid price : 23.25
Bid-YTW : 4.54 %
HSE.PR.G FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 22.26
Evaluated at bid price : 22.95
Bid-YTW : 4.61 %
FTS.PR.F Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 5.39 %
IAG.PR.G FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.80 %
SLF.PR.G FixedReset 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.55
Bid-YTW : 7.19 %
PWF.PR.L Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 23.99
Evaluated at bid price : 24.30
Bid-YTW : 5.28 %
HSE.PR.C FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 21.94
Evaluated at bid price : 22.40
Bid-YTW : 4.36 %
VNR.PR.A FixedReset 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.20 %
BAM.PR.T FixedReset 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.21 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset 59,300 Scotia crossed 23,300 at 22.47; RBC crossed 22,900 at 22.50.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 21.96
Evaluated at bid price : 22.40
Bid-YTW : 3.32 %
ENB.PR.Y FixedReset 47,200 RBC crossed blocks of 10,500 and 14,700, both at 16.50.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.83 %
BAM.PF.A FixedReset 28,924 RBC crossed 21,300 at 21.97.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 4.15 %
W.PR.H Perpetual-Discount 21,773 Desjardins crossed 20,000 at 24.54.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 5.66 %
ENB.PR.N FixedReset 20,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 4.98 %
ENB.PR.B FixedReset 20,318 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 14.73
Evaluated at bid price : 14.73
Bid-YTW : 5.20 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.K FixedReset Quote: 19.02 – 20.04
Spot Rate : 1.0200
Average : 0.6269

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 3.75 %

BNS.PR.D FloatingReset Quote: 21.37 – 21.79
Spot Rate : 0.4200
Average : 0.2612

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.37
Bid-YTW : 3.92 %

BAM.PR.C Floater Quote: 12.31 – 12.70
Spot Rate : 0.3900
Average : 0.2525

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 12.31
Evaluated at bid price : 12.31
Bid-YTW : 3.88 %

SLF.PR.I FixedReset Quote: 23.08 – 23.50
Spot Rate : 0.4200
Average : 0.2905

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.08
Bid-YTW : 4.56 %

BAM.PF.E FixedReset Quote: 21.41 – 21.70
Spot Rate : 0.2900
Average : 0.1735

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 4.05 %

MFC.PR.C Deemed-Retractible Quote: 21.48 – 21.92
Spot Rate : 0.4400
Average : 0.3247

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.48
Bid-YTW : 6.50 %

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