Nothing happened today.
Except something happened to the Canadian preferred share market:
Click for Big
It was carnage for the Canadian preferred share market, with PerpetualDiscounts losing 65bp, FixedResets down 63bp and DeemedRetractibles off 4bp. The Performance Highlights table is suitably enormous and suitably dominated by losing FixedResets, with BAM, TRP and ENB issues notable for their frequent mention. Volume was very high.
PerpetualDiscounts now yield 5.01%, equivalent to 6.51% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.6% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 290bp, unchanged from the March 25 figure.
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 23.56 to be $0.82 rich, while TRP.PR.C, resetting 2016-01-30 at +154, is $1.05 cheap at its bid price of 16.02.
Click for Big
Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum, although it declined substantially today. 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.L, resetting at +216 on 2019-6-19, bid at 23.74 to be $0.62 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.01 to be $1.04 cheap.
Click for Big
The fit on this series has suddenly become atrocious. It will be most interesting to see how long it takes for things to readjust.
The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.43 to be $1.31 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 24.10 and appears to be $1.64 rich.
Click for Big
This is just weird because the middle is expensive and the ends are cheap but anyway … FTS.PR.H, with a spread of +145bp, and bid at 16.00, looks $1.61 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.70 and is $1.26 rich.
Click for Big
Investment-grade pairs predict an average over the next five years of about 0.15%. The DC.PR.B / DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3/4 years of -2.68%.
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 | -1.1496 % | 2,341.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.1496 % | 4,094.6 |
| Floater | 3.09 % | 3.18 % | 59,462 | 19.27 | 4 | -1.1496 % | 2,489.5 |
| OpRet | 4.41 % | -5.55 % | 32,243 | 0.17 | 2 | 0.1571 % | 2,772.4 |
| SplitShare | 4.56 % | 4.65 % | 55,780 | 3.46 | 3 | 0.3477 % | 3,229.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1571 % | 2,535.1 |
| Perpetual-Premium | 5.29 % | -0.96 % | 59,547 | 0.08 | 25 | -0.1398 % | 2,521.6 |
| Perpetual-Discount | 5.08 % | 5.01 % | 156,023 | 15.12 | 9 | -0.6465 % | 2,809.4 |
| FixedReset | 4.46 % | 3.64 % | 259,750 | 16.42 | 85 | -0.6315 % | 2,391.4 |
| Deemed-Retractible | 4.90 % | 1.20 % | 112,689 | 0.15 | 37 | -0.0437 % | 2,658.2 |
| FloatingReset | 2.46 % | 2.86 % | 80,125 | 6.28 | 8 | -0.3174 % | 2,352.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.B | FixedReset | -3.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.25 Evaluated at bid price : 22.85 Bid-YTW : 3.88 % |
| TRP.PR.E | FixedReset | -3.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.60 Evaluated at bid price : 23.56 Bid-YTW : 3.50 % |
| BAM.PR.R | FixedReset | -3.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 19.43 Evaluated at bid price : 19.43 Bid-YTW : 4.17 % |
| ENB.PR.B | FixedReset | -2.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 4.50 % |
| SLF.PR.H | FixedReset | -2.88 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 4.68 % |
| TRP.PR.D | FixedReset | -2.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.39 Evaluated at bid price : 23.10 Bid-YTW : 3.54 % |
| BAM.PR.T | FixedReset | -2.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 19.99 Evaluated at bid price : 19.99 Bid-YTW : 4.06 % |
| CIU.PR.C | FixedReset | -2.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 3.27 % |
| PWF.PR.A | Floater | -2.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 2.79 % |
| MFC.PR.H | FixedReset | -2.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 4.09 % |
| PWF.PR.P | FixedReset | -2.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 3.41 % |
| BAM.PF.A | FixedReset | -2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 23.12 Evaluated at bid price : 24.50 Bid-YTW : 3.82 % |
| BAM.PR.N | Perpetual-Discount | -2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.13 Evaluated at bid price : 22.59 Bid-YTW : 5.26 % |
| BAM.PR.M | Perpetual-Discount | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.34 Evaluated at bid price : 22.70 Bid-YTW : 5.24 % |
| ENB.PR.N | FixedReset | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 19.73 Evaluated at bid price : 19.73 Bid-YTW : 4.54 % |
| IFC.PR.A | FixedReset | -1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 5.14 % |
| MFC.PR.M | FixedReset | -1.43 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 3.98 % |
| SLF.PR.G | FixedReset | -1.42 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.30 Bid-YTW : 6.51 % |
| ENB.PR.Y | FixedReset | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 19.03 Evaluated at bid price : 19.03 Bid-YTW : 4.46 % |
| BAM.PR.X | FixedReset | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 3.91 % |
| BAM.PR.K | Floater | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 3.26 % |
| TRP.PR.F | FloatingReset | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 3.17 % |
| IFC.PR.C | FixedReset | -1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.74 Bid-YTW : 3.70 % |
| FTS.PR.H | FixedReset | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 3.52 % |
| TRP.PR.C | FixedReset | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 16.02 Evaluated at bid price : 16.02 Bid-YTW : 3.72 % |
| FTS.PR.J | Perpetual-Premium | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 24.33 Evaluated at bid price : 24.76 Bid-YTW : 4.82 % |
| CU.PR.E | Perpetual-Premium | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 24.46 Evaluated at bid price : 24.90 Bid-YTW : 4.95 % |
| ENB.PR.T | FixedReset | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 19.27 Evaluated at bid price : 19.27 Bid-YTW : 4.51 % |
| ENB.PR.H | FixedReset | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 17.81 Evaluated at bid price : 17.81 Bid-YTW : 4.40 % |
| BMO.PR.W | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.97 Evaluated at bid price : 24.41 Bid-YTW : 3.16 % |
| BAM.PF.D | Perpetual-Discount | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 23.22 Evaluated at bid price : 23.55 Bid-YTW : 5.22 % |
| BAM.PF.C | Perpetual-Discount | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.86 Evaluated at bid price : 23.17 Bid-YTW : 5.25 % |
| TRP.PR.A | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 3.46 % |
| IAG.PR.A | Deemed-Retractible | 1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 4.78 % |
| ELF.PR.H | Perpetual-Premium | 1.30 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 25.78 Bid-YTW : 4.88 % |
| BNS.PR.Y | FixedReset | 1.72 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.85 Bid-YTW : 3.96 % |
| BAM.PF.F | FixedReset | 4.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 23.07 Evaluated at bid price : 24.64 Bid-YTW : 3.79 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.W | FixedReset | 112,573 | TD crossed blocks of 22,400 and 25,000 at 24.55, and blocks of 23,900 and 25,000 at 24.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 22.97 Evaluated at bid price : 24.41 Bid-YTW : 3.16 % |
| CU.PR.C | FixedReset | 103,255 | RBC crossed blocks of 15,000 and 19,800 at 24.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 23.44 Evaluated at bid price : 24.72 Bid-YTW : 3.22 % |
| FTS.PR.M | FixedReset | 95,910 | RBC crossed 46,900 at 25.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 23.15 Evaluated at bid price : 24.90 Bid-YTW : 3.35 % |
| PWF.PR.P | FixedReset | 92,709 | Nesbitt crossed 84,300 at 18.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 3.41 % |
| CM.PR.Q | FixedReset | 84,625 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-04-01 Maturity Price : 23.11 Evaluated at bid price : 24.91 Bid-YTW : 3.48 % |
| GWO.PR.R | Deemed-Retractible | 62,709 | RBC crossed 50,000 at 25.25. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 4.72 % |
| There were 53 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.A | Floater | Quote: 18.00 – 19.25 Spot Rate : 1.2500 Average : 0.8141 YTW SCENARIO |
| BAM.PF.B | FixedReset | Quote: 22.85 – 23.25 Spot Rate : 0.4000 Average : 0.2325 YTW SCENARIO |
| MFC.PR.H | FixedReset | Quote: 25.01 – 25.64 Spot Rate : 0.6300 Average : 0.4693 YTW SCENARIO |
| TRP.PR.D | FixedReset | Quote: 23.10 – 23.50 Spot Rate : 0.4000 Average : 0.2729 YTW SCENARIO |
| BAM.PF.G | FixedReset | Quote: 24.40 – 24.80 Spot Rate : 0.4000 Average : 0.2803 YTW SCENARIO |
| TRP.PR.E | FixedReset | Quote: 23.56 – 23.91 Spot Rate : 0.3500 Average : 0.2410 YTW SCENARIO |