Nothing happened today.
It was a moderately good day for the Canadian preferred share market today [for a change!] with PerpetualDiscounts up 13bp, FixedResets gaining 12bp and DeemedRetractibles winning 32bp. The Performance Highlights table is dominated by winners. Volume was 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 19.50 to be $1.27 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.97 cheap at its bid price of 12.80.
Click for Big
Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 20.53 to be 0.36 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 22.69 to be 0.26 cheap.
Click for Big
The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.19 to be $1.01 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 20.75 and appears to be $0.68 rich.
Click for Big
FTS.PR.K, with a spread of +205bp, and bid at 19.16, looks $1.04 expensive and resets 2019-3-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 19.83 and is $0.44 cheap.
Click for Big
Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.60%, with no outliers. There is one junk outlier below -1.50%.
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 | 4.35 % | 5.23 % | 35,879 | 17.60 | 1 | -2.1250 % | 1,787.5 |
| FixedFloater | 6.25 % | 5.49 % | 28,692 | 16.91 | 1 | 0.5291 % | 3,122.4 |
| Floater | 4.39 % | 4.44 % | 85,919 | 16.47 | 3 | 0.7486 % | 1,799.4 |
| OpRet | 4.86 % | 3.66 % | 29,102 | 0.75 | 1 | 0.0000 % | 2,740.8 |
| SplitShare | 4.75 % | 5.54 % | 129,339 | 4.33 | 5 | 0.0246 % | 3,222.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0246 % | 2,514.3 |
| Perpetual-Premium | 5.75 % | -0.73 % | 85,226 | 0.09 | 6 | 0.6657 % | 2,526.1 |
| Perpetual-Discount | 5.57 % | 5.63 % | 90,847 | 14.44 | 33 | 0.1278 % | 2,570.7 |
| FixedReset | 5.00 % | 4.60 % | 226,817 | 15.09 | 76 | 0.1177 % | 2,052.4 |
| Deemed-Retractible | 5.14 % | 5.16 % | 120,161 | 5.37 | 33 | 0.3239 % | 2,594.0 |
| FloatingReset | 2.60 % | 3.74 % | 65,226 | 5.74 | 10 | 0.2718 % | 2,185.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.H | FloatingReset | -5.35 % | Quite real, as the price collapsed shortly before 3:30pm, while the issue traded 19,675 in a range of 10.30-10. 6,200 shares changed hands at 10.40, while another 1,000 traded at 10.41. VWAP was 10.69 and the closing quote was 10.44-79, 10×4. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 10.44 Evaluated at bid price : 10.44 Bid-YTW : 4.06 % |
| FTS.PR.M | FixedReset | -4.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 19.83 Evaluated at bid price : 19.83 Bid-YTW : 4.51 % |
| MFC.PR.F | FixedReset | -2.64 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.73 Bid-YTW : 9.14 % |
| BAM.PR.E | Ratchet | -2.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 25.00 Evaluated at bid price : 15.66 Bid-YTW : 5.23 % |
| TD.PF.D | FixedReset | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 20.47 Evaluated at bid price : 20.47 Bid-YTW : 4.55 % |
| CM.PR.Q | FixedReset | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 20.81 Evaluated at bid price : 20.81 Bid-YTW : 4.48 % |
| FTS.PR.K | FixedReset | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 4.13 % |
| TRP.PR.D | FixedReset | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 18.79 Evaluated at bid price : 18.79 Bid-YTW : 4.62 % |
| PWF.PR.P | FixedReset | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 14.72 Evaluated at bid price : 14.72 Bid-YTW : 4.34 % |
| MFC.PR.J | FixedReset | 1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.54 Bid-YTW : 5.61 % |
| TD.PR.T | FloatingReset | 1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.85 Bid-YTW : 3.54 % |
| MFC.PR.C | Deemed-Retractible | 1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.98 Bid-YTW : 6.89 % |
| FTS.PR.H | FixedReset | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 14.33 Evaluated at bid price : 14.33 Bid-YTW : 4.22 % |
| MFC.PR.H | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.87 Bid-YTW : 4.74 % |
| TD.PR.S | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 3.29 % |
| MFC.PR.B | Deemed-Retractible | 1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.46 Bid-YTW : 6.74 % |
| BNS.PR.D | FloatingReset | 1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.90 Bid-YTW : 5.32 % |
| VNR.PR.A | FixedReset | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 4.93 % |
| BAM.PF.B | FixedReset | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 19.22 Evaluated at bid price : 19.22 Bid-YTW : 4.88 % |
| HSE.PR.G | FixedReset | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 5.26 % |
| BAM.PR.B | Floater | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 10.82 Evaluated at bid price : 10.82 Bid-YTW : 4.42 % |
| BAM.PR.R | FixedReset | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 16.19 Evaluated at bid price : 16.19 Bid-YTW : 5.19 % |
| BAM.PF.A | FixedReset | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 4.93 % |
| BAM.PR.C | Floater | 1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 10.78 Evaluated at bid price : 10.78 Bid-YTW : 4.44 % |
| TRP.PR.F | FloatingReset | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 14.01 Evaluated at bid price : 14.01 Bid-YTW : 4.16 % |
| MFC.PR.M | FixedReset | 2.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.63 Bid-YTW : 6.10 % |
| MFC.PR.N | FixedReset | 2.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.53 Bid-YTW : 6.09 % |
| IGM.PR.B | Perpetual-Premium | 2.68 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2015-12-31 Maturity Price : 25.75 Evaluated at bid price : 26.01 Bid-YTW : -0.73 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.K | Deemed-Retractible | 178,236 | Desjardins crossed 50,000 at 25.65; Scotia crossed 52,000 at the same price; and TD crossed 75,000 at the same price again. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-12-27 Maturity Price : 25.25 Evaluated at bid price : 25.61 Bid-YTW : -11.37 % |
| TD.PR.T | FloatingReset | 108,500 | TD crossed 107,0000 at 22.65. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.85 Bid-YTW : 3.54 % |
| MFC.PR.F | FixedReset | 60,859 | RBC crossed 50,000 at 15.15. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.73 Bid-YTW : 9.14 % |
| RY.PR.Z | FixedReset | 58,162 | TD crossed 30,000 at 18.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 18.58 Evaluated at bid price : 18.58 Bid-YTW : 4.46 % |
| RY.PR.B | Deemed-Retractible | 57,950 | RBC crossed 50,000 at 24.96. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 4.73 % |
| PWF.PR.F | Perpetual-Discount | 53,400 | Nesbitt crossed 45,900 at 23.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-11-27 Maturity Price : 22.95 Evaluated at bid price : 23.22 Bid-YTW : 5.71 % |
| There were 43 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TD.PR.T | FloatingReset | Quote: 22.85 – 23.47 Spot Rate : 0.6200 Average : 0.3866 YTW SCENARIO |
| FTS.PR.M | FixedReset | Quote: 19.83 – 20.29 Spot Rate : 0.4600 Average : 0.3079 YTW SCENARIO |
| PWF.PR.P | FixedReset | Quote: 14.72 – 15.19 Spot Rate : 0.4700 Average : 0.3294 YTW SCENARIO |
| VNR.PR.A | FixedReset | Quote: 19.57 – 20.00 Spot Rate : 0.4300 Average : 0.2948 YTW SCENARIO |
| PWF.PR.T | FixedReset | Quote: 22.28 – 22.80 Spot Rate : 0.5200 Average : 0.3899 YTW SCENARIO |
| MFC.PR.F | FixedReset | Quote: 14.73 – 15.15 Spot Rate : 0.4200 Average : 0.2950 YTW SCENARIO |