There are more rumblings about Toronto’s housing market:
In a new quarterly forecast on the housing market, Canada Mortgage and Housing Corp. said it saw scant evidence of serious problems in the Canadian housing market over all, but warned that home prices are now outstripping economic fundamentals in 11 out of 15 major markets and that four cities – Toronto, Winnipeg, Regina and now Saskatoon – face serious headwinds because of high prices and a surge in the supply of new homes under construction.
CMHC previously warned in August that the housing market in the Greater Toronto Area was at “high risk” for a correction amid soaring home prices that have outstripped income growth, along with a glut of unsold condos. Since then, resale prices, particularly of single-detached homes, have continued to soar at double-digit annual rates. At the same time, the region is also faced with high levels of unsold, newly built condos, although the number of units under construction has fallen from earlier in the year and now appears to be manageable, the housing agency said.
It’s a bit strange talking about “the” Toronto housing market – there are at least two: condos and houses. The two segments have certainly decoupled over the past years, but whether this is evidence of an overheated market or simply a reflection of realities such as lack of possible new supply (for houses), growing congestion and increases in the relative incomes of people who can afford houses in the first place is a matter for speculation and conjecture. Everything will be perfectly obvious once it has happened; and the newspapers will heap accolades on the people who guessed right.
It was another mixed day for the Canadian preferred share market in a pattern that is becoming familiar, with PerpetualDiscounts up 39bp, FixedResets off 12bp and DeemedRetractibles gaining 23bp. The Performance Highlights table is relatively manageable today, but still of inordinate length considering the overall market activity when compared to more normal times. 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 19.00 to be $0.66 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.85 cheap at its bid price of 12.93.
Click for Big
Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 20.14 to be 0.97 rich, while MFC.PR.J resetting at +261bp on 2018-3-19, is bid at 20.08 to be 1.14 cheap.
Click for Big
The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.46 to be $1.36 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 20.00 and appears to be $0.87 rich.
Click for Big
FTS.PR.K, with a spread of +205bp, and bid at 19.01, looks $0.75 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 14.05 and is $0.48 cheap.
Click for Big
Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.84%, with no outliers. The distribution is bimodal, with bank NVCC non-compliant pairs averaging -1.03% and other issues averaging -0.45%. There are four junk outliers above 0.00% and one below -2.00%.
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 | -1.0721 % | 1,740.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.0721 % | 3,043.8 |
| Floater | 4.27 % | 4.29 % | 63,570 | 16.82 | 3 | -1.0721 % | 1,850.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6350 % | 2,730.0 |
| SplitShare | 4.58 % | 5.52 % | 89,967 | 2.94 | 6 | -0.6350 % | 3,199.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6350 % | 2,496.4 |
| Perpetual-Premium | 5.85 % | 5.43 % | 69,226 | 0.08 | 5 | 0.0080 % | 2,488.1 |
| Perpetual-Discount | 5.57 % | 5.68 % | 82,233 | 14.34 | 33 | 0.3935 % | 2,563.5 |
| FixedReset | 4.92 % | 4.45 % | 213,977 | 15.89 | 76 | -0.1240 % | 2,077.4 |
| Deemed-Retractible | 5.19 % | 5.14 % | 111,057 | 5.44 | 33 | 0.2294 % | 2,573.2 |
| FloatingReset | 2.47 % | 3.74 % | 60,686 | 5.83 | 9 | -0.0112 % | 2,172.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.J | FixedReset | -3.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.08 Bid-YTW : 6.54 % |
| CU.PR.C | FixedReset | -2.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 3.96 % |
| BAM.PF.E | FixedReset | -2.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.56 % |
| BAM.PR.B | Floater | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 11.11 Evaluated at bid price : 11.11 Bid-YTW : 4.29 % |
| BNS.PR.Y | FixedReset | -2.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.32 Bid-YTW : 5.39 % |
| BAM.PR.Z | FixedReset | -1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 4.80 % |
| BAM.PR.R | FixedReset | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 16.46 Evaluated at bid price : 16.46 Bid-YTW : 4.87 % |
| VNR.PR.A | FixedReset | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 20.74 Evaluated at bid price : 20.74 Bid-YTW : 4.48 % |
| SLF.PR.J | FloatingReset | -1.48 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.30 Bid-YTW : 9.52 % |
| FTS.PR.K | FixedReset | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 4.07 % |
| BAM.PR.T | FixedReset | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.60 % |
| BAM.PR.C | Floater | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 10.91 Evaluated at bid price : 10.91 Bid-YTW : 4.37 % |
| FTS.PR.G | FixedReset | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.24 % |
| BAM.PR.X | FixedReset | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 4.48 % |
| BAM.PF.G | FixedReset | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 21.27 Evaluated at bid price : 21.27 Bid-YTW : 4.58 % |
| MFC.PR.M | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.64 Bid-YTW : 6.11 % |
| GWO.PR.S | Deemed-Retractible | 1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 5.71 % |
| TRP.PR.F | FloatingReset | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 14.45 Evaluated at bid price : 14.45 Bid-YTW : 3.98 % |
| CU.PR.D | Perpetual-Discount | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 22.41 Evaluated at bid price : 22.69 Bid-YTW : 5.48 % |
| TD.PF.B | FixedReset | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 19.69 Evaluated at bid price : 19.69 Bid-YTW : 4.10 % |
| CM.PR.P | FixedReset | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 19.31 Evaluated at bid price : 19.31 Bid-YTW : 4.17 % |
| GWO.PR.P | Deemed-Retractible | 1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.49 Bid-YTW : 5.79 % |
| RY.PR.J | FixedReset | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 20.88 Evaluated at bid price : 20.88 Bid-YTW : 4.26 % |
| CM.PR.O | FixedReset | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 4.15 % |
| MFC.PR.F | FixedReset | 1.81 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.10 Bid-YTW : 9.69 % |
| PWF.PR.S | Perpetual-Discount | 2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 21.99 Evaluated at bid price : 22.30 Bid-YTW : 5.40 % |
| BMO.PR.M | FixedReset | 2.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 2.95 % |
| RY.PR.M | FixedReset | 2.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.22 % |
| CU.PR.G | Perpetual-Discount | 4.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.35 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.B | Deemed-Retractible | 71,243 | Nesbitt crossed 50,000 at 24.94. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-11-28 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 4.58 % |
| BMO.PR.L | Deemed-Retractible | 34,686 | RBC bought 17,100 from anonymous at 25.70. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-11-28 Maturity Price : 25.50 Evaluated at bid price : 25.45 Bid-YTW : 2.98 % |
| NA.PR.S | FixedReset | 33,996 | Desjardins bought 18,600 from anonymous at 20.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 4.19 % |
| BAM.PR.X | FixedReset | 23,812 | RBC crossed 19,900 at 15.66. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 4.48 % |
| PVS.PR.E | SplitShare | 23,300 | New issue settled today. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 24.52 Bid-YTW : 5.86 % |
| RY.PR.N | Perpetual-Discount | 23,169 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-29 Maturity Price : 22.85 Evaluated at bid price : 23.22 Bid-YTW : 5.26 % |
| There were 39 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.M | FixedReset | Quote: 20.64 – 21.78 Spot Rate : 1.1400 Average : 0.8725 YTW SCENARIO |
| CU.PR.C | FixedReset | Quote: 20.90 – 21.69 Spot Rate : 0.7900 Average : 0.5332 YTW SCENARIO |
| MFC.PR.J | FixedReset | Quote: 20.08 – 20.88 Spot Rate : 0.8000 Average : 0.5925 YTW SCENARIO |
| MFC.PR.N | FixedReset | Quote: 20.58 – 21.29 Spot Rate : 0.7100 Average : 0.5043 YTW SCENARIO |
| PWF.PR.S | Perpetual-Discount | Quote: 22.30 – 22.90 Spot Rate : 0.6000 Average : 0.4017 YTW SCENARIO |
| PWF.PR.T | FixedReset | Quote: 20.86 – 21.56 Spot Rate : 0.7000 Average : 0.5083 YTW SCENARIO |