It was a wild day, with new 52-week lows all over the place, but the cavalry arrived at 3:40pm to stave off disaster.
TXPR closed at 596.46, down 0.34% on the day after touching a new 52-week low of 593.67 (down 80bp). Volume was 3.12-million, the highest of the past thirty days.
CPD closed at 11.915, down 0.46% on the day, after hitting a new 52-week low of 11.85. Volume of 231,500 was the second-highest of the past thirty days – eclipsed only by yesterday.
ZPR closed at 9.565, down 0.16% on the day, after hitting a new 52-week low of 9.47. Volume of 254,264 was the third-highest of the past thirty days, eclipsed only by yesterday and (just barely) May 31.
Five-year Canada yields were down 4bp to 1.30% today.
Bond strength (lowering yields) has been attributed to a poor US jobs outlook:
U.S. private employers added 27,000 jobs in May, well below economists’ expectations and the smallest monthly gain in more than nine years, a report by a payrolls processor showed on Wednesday.
Economists surveyed by Reuters had forecast the ADP National Employment Report would show a gain of 180,000 jobs, with estimates ranging from 123,000 to 230,000.
…
May’s increase was the smallest since March 2010.
PerpetualDiscounts now yield 5.59%, equivalent to 7.27% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.60%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 365bp, a sharp widening from the 345bp reported May 29.
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 | -0.2577 % | 1,973.2 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2577 % | 3,620.8 |
Floater | 5.95 % | 6.38 % | 62,668 | 13.25 | 3 | -0.2577 % | 2,086.7 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0343 % | 3,302.7 |
SplitShare | 4.72 % | 4.77 % | 77,242 | 4.25 | 7 | 0.0343 % | 3,944.2 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0343 % | 3,077.4 |
Perpetual-Premium | 5.64 % | -6.52 % | 78,012 | 0.08 | 7 | 0.0113 % | 2,929.6 |
Perpetual-Discount | 5.52 % | 5.59 % | 71,805 | 14.43 | 26 | -0.2569 % | 3,051.0 |
FixedReset Disc | 5.57 % | 5.44 % | 174,848 | 14.67 | 70 | -0.1004 % | 2,045.0 |
Deemed-Retractible | 5.34 % | 6.12 % | 95,867 | 8.05 | 27 | -0.2751 % | 3,041.7 |
FloatingReset | 4.11 % | 4.99 % | 50,818 | 2.54 | 4 | -0.2117 % | 2,335.4 |
FixedReset Prem | 5.15 % | 4.05 % | 223,247 | 1.88 | 16 | 0.5079 % | 2,562.1 |
FixedReset Bank Non | 2.00 % | 4.54 % | 162,651 | 2.56 | 3 | 0.2396 % | 2,617.0 |
FixedReset Ins Non | 5.35 % | 7.60 % | 102,879 | 8.17 | 22 | 0.0732 % | 2,130.2 |
Performance Highlights | |||
Issue | Index | Change | Notes |
BAM.PF.B | FixedReset Disc | -2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 6.19 % |
RY.PR.Z | FixedReset Disc | -1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 5.16 % |
RY.PR.H | FixedReset Disc | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 17.22 Evaluated at bid price : 17.22 Bid-YTW : 5.29 % |
BMO.PR.S | FixedReset Disc | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 5.40 % |
MFC.PR.I | FixedReset Ins Non | -1.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.88 Bid-YTW : 7.69 % |
NA.PR.E | FixedReset Disc | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 5.49 % |
CU.PR.F | Perpetual-Discount | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 5.54 % |
BIP.PR.D | FixedReset Disc | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.02 % |
MFC.PR.L | FixedReset Ins Non | -1.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.28 Bid-YTW : 8.59 % |
SLF.PR.I | FixedReset Ins Non | -1.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.46 Bid-YTW : 7.62 % |
CM.PR.S | FixedReset Disc | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 18.77 Evaluated at bid price : 18.77 Bid-YTW : 5.34 % |
POW.PR.B | Perpetual-Discount | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 23.26 Evaluated at bid price : 23.56 Bid-YTW : 5.76 % |
TRP.PR.E | FixedReset Disc | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 5.95 % |
NA.PR.S | FixedReset Disc | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 16.89 Evaluated at bid price : 16.89 Bid-YTW : 5.73 % |
PWF.PR.F | Perpetual-Discount | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 22.98 Evaluated at bid price : 23.25 Bid-YTW : 5.71 % |
BAM.PF.E | FixedReset Disc | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 15.77 Evaluated at bid price : 15.77 Bid-YTW : 6.36 % |
EMA.PR.F | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 5.86 % |
IAF.PR.I | FixedReset Ins Non | -1.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.71 Bid-YTW : 6.68 % |
MFC.PR.G | FixedReset Ins Non | -1.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.80 Bid-YTW : 7.60 % |
CU.PR.I | FixedReset Prem | 1.04 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 3.82 % |
BAM.PF.H | FixedReset Prem | 1.07 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 4.28 % |
TD.PF.H | FixedReset Prem | 1.07 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.48 Bid-YTW : 4.23 % |
TRP.PR.D | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 16.39 Evaluated at bid price : 16.39 Bid-YTW : 5.85 % |
SLF.PR.G | FixedReset Ins Non | 1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.61 Bid-YTW : 9.64 % |
RY.PR.M | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 18.47 Evaluated at bid price : 18.47 Bid-YTW : 5.38 % |
CM.PR.R | FixedReset Disc | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 21.27 Evaluated at bid price : 21.55 Bid-YTW : 5.47 % |
MFC.PR.M | FixedReset Ins Non | 1.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.41 Bid-YTW : 8.03 % |
TRP.PR.A | FixedReset Disc | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 13.69 Evaluated at bid price : 13.69 Bid-YTW : 5.99 % |
IAF.PR.G | FixedReset Ins Non | 1.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.59 Bid-YTW : 6.36 % |
BMO.PR.D | FixedReset Disc | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 21.28 Evaluated at bid price : 21.28 Bid-YTW : 5.33 % |
IFC.PR.C | FixedReset Ins Non | 1.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.24 Bid-YTW : 7.71 % |
IFC.PR.A | FixedReset Ins Non | 1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.96 Bid-YTW : 9.38 % |
BIP.PR.F | FixedReset Disc | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 6.20 % |
SLF.PR.H | FixedReset Ins Non | 1.48 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.79 Bid-YTW : 8.72 % |
NA.PR.G | FixedReset Disc | 1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 20.66 Evaluated at bid price : 20.66 Bid-YTW : 5.29 % |
BAM.PF.J | FixedReset Disc | 2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 22.13 Evaluated at bid price : 22.60 Bid-YTW : 5.32 % |
GWO.PR.N | FixedReset Ins Non | 2.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.00 Bid-YTW : 9.08 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
TD.PF.H | FixedReset Prem | 203,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.48 Bid-YTW : 4.23 % |
TD.PF.M | FixedReset Disc | 173,410 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 22.99 Evaluated at bid price : 24.54 Bid-YTW : 5.00 % |
CM.PR.Y | FixedReset Disc | 133,615 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 22.86 Evaluated at bid price : 24.22 Bid-YTW : 5.14 % |
BAM.PR.K | Floater | 111,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 11.03 Evaluated at bid price : 11.03 Bid-YTW : 6.39 % |
BMO.PR.T | FixedReset Disc | 92,450 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 5.39 % |
PWF.PR.L | Perpetual-Discount | 80,087 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-06-05 Maturity Price : 22.40 Evaluated at bid price : 22.66 Bid-YTW : 5.69 % |
There were 63 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
BAM.PF.D | Perpetual-Discount | Quote: 20.60 – 21.20 Spot Rate : 0.6000 Average : 0.3701 YTW SCENARIO |
MFC.PR.K | FixedReset Ins Non | Quote: 18.42 – 19.09 Spot Rate : 0.6700 Average : 0.4605 YTW SCENARIO |
BMO.PR.C | FixedReset Disc | Quote: 21.94 – 22.40 Spot Rate : 0.4600 Average : 0.2788 YTW SCENARIO |
BAM.PF.E | FixedReset Disc | Quote: 15.77 – 16.18 Spot Rate : 0.4100 Average : 0.2456 YTW SCENARIO |
TD.PF.L | FixedReset Disc | Quote: 24.47 – 24.90 Spot Rate : 0.4300 Average : 0.2674 YTW SCENARIO |
GWO.PR.Q | Deemed-Retractible | Quote: 22.85 – 23.26 Spot Rate : 0.4100 Average : 0.2717 YTW SCENARIO |
CM.PR.Y Relatively Strong on Excellent Volume
June 4th, 2019Canadian Imperial Bank of Commerce has announced:
CM.PR.Y is a FixedReset, 5.15%+362, NVCC, announced May 24. It will be tracked by HIMIPref™ and has been assigned to the FixedReset (Discount) subindex.
The issue traded 1,022,019 shares today in a range of 24.35-65 before closing at 24.37-40. Vital statistics are:
Maturity Type : Limit Maturity
Maturity Date : 2049-06-04
Maturity Price : 22.92
Evaluated at bid price : 24.37
Bid-YTW : 5.10 %
Given that the PerpetualDiscount index is down 5.64% from its pre-announcement close on May 23, this was actually a pretty good day for the issue!
The new issue is somewhat expensive according to Implied Volatility Analysis:
Click for Big
According to this analysis, the fair price of the new issue is 23.71, down from the announcement day fair-value of 24.85, but alert Assiduous Readers will have noticed that the Implied Volatility plot is very peculiar, having three expensive issues and four cheap ones, with nothing in between.
The other two rich issues are:
The extremely perplexing issue is CM.PR.R, a FixedReset, 4.40%+338, NVCC Compliant issue that commenced trading 2017-6-2 after being announced 2017-5-25. It is bid at 21.30 compared to a fair value of 22.56. Alert readers will note that it is bid much lower than CM.PR.T despite having an Issue Reset Spread 7bp higher.
I confess I don’t know quite what to make of this. It is common – normal, even – for a new issue to remain rich for quite some time, but I am at a loss to explain why CM.PR.S should remain rich after being on the market for sixteen months. CM.PR.R is just silly … but note that its current coupon is low relative to the new issue and it won’t reset until 2022-7-31 … three years, roughly, thirteen coupon payments, but that’s only a total of about $0.60 and doesn’t explain the differential with CM.PR.S anyway.
Fortunately, I don’t have to explain it! All I have to do is avoid buying the new issue and favour other, cheaper, choices for any allocation to CM that I care to make.
Posted in Issue Comments | 4 Comments »