Commodities got smacked today:
The Bloomberg Commodities Index is holding losses after dropping Monday to a 13-year low, weaker than after the banking meltdown of 2008 and the euro-zone crisis of 2012. From oil to copper to sugar, little has escaped the rout in the year’s worst-performing asset class.
…
Gold, the most heavily-weighted commodity in the index, is the latest to get hit hard, socked by a stronger dollar and concern about a slowdown in China. During a stretch of about 15 minutes in Asian trading hours Monday, gold prices plunged by the most in two years.
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Investors pulled about $530 million from exchange-traded funds tracking commodities last week, or almost 1 percent of the funds’ market value. Citigroup Inc. analyst Aakash Doshi estimates that $2.3 billion was pulled from investments linked to commodity indexes in the week ended July 14, bringing total withdrawals since June 30 to $2.8 billion.
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The Standard & Poor’s/TSX Composite Index fell 217.29 points, or 1.5 per cent, to 14,425.55 in Toronto. The benchmark equity gauge has declined 2.1 per cent in two days, after rallying 3.2 per cent in the previous five sessions.
Gold miners bore the brunt of selling Monday, as the metal sank to as low as $1,080 an ounce, the lowest since 2010. Barrick sank 16 per cent to close at a 25-year low, while Goldcorp tumbled 12 per cent to its worst close since 2005.
An index of gold miners retreated 12 per cent to end at the lowest since April 2001, with Yamana Gold Inc. sliding 12 percent and Kinross Gold Corp. plunging 13 per cent.
Raw-materials producers retreated 6.3 per cent for a fourth day of losses that now total 10 percent.
Aston Hill, which was reported on PrefBlog as being for sale on April 16 and losing a portfolio manager on July 3, has now lost its CFO and CEO:
Aston Hill Financial Inc. has been hit by a new wave of executive departures that will see both its CEO and CFO leave.
Eric Tremblay, who co-founded the asset management firm in 2007, is stepping down as chief executive officer effective Aug. 31 to “pursue personal endeavours” the firm said in a release. He is also resigning as chairman of the board but will remain with the firm as a director.
On Aug. 1 Peter Anderson takes over as interim CEO. Mr. Anderson, who earlier in his career worked at CI Financial Corp. for 15 years as chief investment officer and head of institutional sales until 2012, joined Aston Hill as a board member in November, 2014.
Chief financial officer Larry Titley is leaving the firm effective July 31. He had been with Aston Hill for the past 8 years. Derek Slemko, senior VP of finance will take over as CFO in an interim basis.
Aston Hill is also closing down its Calgary office.
In January 2011, Aston Hill renamed its subsidiary, Catapult Financial Management Inc. to Aston Hill Investments Inc.
Catapult was mentioned on PrefBlog in February 2009 as offering a closed-end actively managed preferred share fund, Preferred Share Investment Trust. This fund now has $68.1-million under management and is still managed by Aston Hill Investments Inc. Performance has been disappointing.
It was a reasonably good day for the Canadian preferred share market, with PerpetualDiscounts up 50bp, FixedResets gaining 4bp and DeemedRetractibles off 3bp. The Performance Highlights table is lengthy, with BAM issues doing well. Volume was well below 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:
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TRP.PR.E, which resets 2019-10-30 at +128, is bid at 22.66 to be $0.88 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.82 cheap at its bid price of 15.40.
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Another good fit today!
Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 22.40 to be $0.42 rich, while MFC.PR.J, resetting at +261bp on 2018-3-19, is bid at 23.69 to be $0.34 cheap.
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The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-06-30, bid at 18.47 to be $0.97 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 21.90 and appears to be $0.84 rich.
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FTS.PR.K, with a spread of +205bp, and bid at 21.53, looks $0.77 expensive and resets 2019-3-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 23.00 and is $0.30 cheap.
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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of 0.12%, with two outliers slightly above 1.00%. There are also two junk pairs below -1.00%.
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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 | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.9646 % | 2,072.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.9646 % | 3,623.6 |
| Floater | 3.54 % | 3.56 % | 63,009 | 18.38 | 3 | -0.9646 % | 2,203.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.7746 % | 2,759.9 |
| SplitShare | 4.61 % | 5.00 % | 67,739 | 3.19 | 3 | -0.7746 % | 3,234.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.7746 % | 2,523.7 |
| Perpetual-Premium | 5.51 % | 2.03 % | 74,616 | 0.08 | 13 | -0.0396 % | 2,513.3 |
| Perpetual-Discount | 5.36 % | 5.33 % | 87,449 | 14.89 | 21 | 0.4981 % | 2,675.0 |
| FixedReset | 4.60 % | 3.68 % | 211,101 | 16.20 | 88 | 0.0448 % | 2,287.1 |
| Deemed-Retractible | 5.02 % | 4.64 % | 112,934 | 0.82 | 34 | -0.0299 % | 2,618.5 |
| FloatingReset | 2.35 % | 3.02 % | 46,780 | 6.07 | 10 | 0.2925 % | 2,284.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.K | Floater | -2.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 13.34 Evaluated at bid price : 13.34 Bid-YTW : 3.56 % |
| ENB.PR.B | FixedReset | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 16.66 Evaluated at bid price : 16.66 Bid-YTW : 4.87 % |
| BAM.PF.F | FixedReset | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.36 Evaluated at bid price : 23.05 Bid-YTW : 4.06 % |
| PVS.PR.B | SplitShare | -1.59 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 4.85 % |
| TRP.PR.C | FixedReset | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 15.44 Evaluated at bid price : 15.44 Bid-YTW : 3.70 % |
| RY.PR.Z | FixedReset | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.37 Evaluated at bid price : 23.02 Bid-YTW : 3.37 % |
| MFC.PR.J | FixedReset | -1.37 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.69 Bid-YTW : 4.25 % |
| CIU.PR.C | FixedReset | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 3.36 % |
| BAM.PR.R | FixedReset | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 18.47 Evaluated at bid price : 18.47 Bid-YTW : 4.24 % |
| MFC.PR.G | FixedReset | -1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 3.84 % |
| CM.PR.P | FixedReset | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 21.62 Evaluated at bid price : 21.95 Bid-YTW : 3.54 % |
| IGM.PR.B | Perpetual-Premium | -1.16 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-12-31 Maturity Price : 25.25 Evaluated at bid price : 25.60 Bid-YTW : 5.18 % |
| BMO.PR.S | FixedReset | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.39 Evaluated at bid price : 23.07 Bid-YTW : 3.47 % |
| ENB.PR.D | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 4.80 % |
| ENB.PR.Y | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 17.66 Evaluated at bid price : 17.66 Bid-YTW : 4.72 % |
| BAM.PR.T | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 4.09 % |
| BAM.PF.A | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.39 Evaluated at bid price : 22.95 Bid-YTW : 4.07 % |
| BAM.PR.X | FixedReset | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 16.99 Evaluated at bid price : 16.99 Bid-YTW : 4.01 % |
| BAM.PF.G | FixedReset | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.50 Evaluated at bid price : 23.40 Bid-YTW : 4.00 % |
| TRP.PR.D | FixedReset | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 21.60 Evaluated at bid price : 21.87 Bid-YTW : 3.70 % |
| HSE.PR.C | FixedReset | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.07 Evaluated at bid price : 22.61 Bid-YTW : 4.42 % |
| BAM.PF.C | Perpetual-Discount | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.77 % |
| BAM.PF.E | FixedReset | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 21.58 Evaluated at bid price : 21.90 Bid-YTW : 4.04 % |
| MFC.PR.N | FixedReset | 1.42 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 4.63 % |
| IFC.PR.C | FixedReset | 1.44 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.88 Bid-YTW : 5.20 % |
| BAM.PR.N | Perpetual-Discount | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 5.73 % |
| BAM.PF.D | Perpetual-Discount | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 21.31 Evaluated at bid price : 21.61 Bid-YTW : 5.71 % |
| BAM.PR.M | Perpetual-Discount | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 20.98 Evaluated at bid price : 20.98 Bid-YTW : 5.72 % |
| VNR.PR.A | FixedReset | 1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 21.56 Evaluated at bid price : 21.95 Bid-YTW : 4.10 % |
| ENB.PR.T | FixedReset | 1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 18.14 Evaluated at bid price : 18.14 Bid-YTW : 4.71 % |
| HSE.PR.A | FixedReset | 2.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 3.93 % |
| TRP.PR.E | FixedReset | 3.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.12 Evaluated at bid price : 22.66 Bid-YTW : 3.60 % |
| BAM.PR.Z | FixedReset | 3.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.97 Evaluated at bid price : 23.81 Bid-YTW : 3.98 % |
| TRP.PR.H | FloatingReset | 4.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 14.85 Evaluated at bid price : 14.85 Bid-YTW : 2.81 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.G | FixedReset | 136,035 | Desjardins crossed 82,000 at 24.45; National sold 10,000 to anonymous and 12,400 to TD at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 22.94 Evaluated at bid price : 24.45 Bid-YTW : 3.71 % |
| RY.PR.D | Deemed-Retractible | 92,380 | RBC crossed blocks of 50,000 and 40,000, both at 25.29. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.27 Bid-YTW : 3.85 % |
| TD.PF.C | FixedReset | 43,908 | TD crossed 25,700 at 22.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 21.87 Evaluated at bid price : 22.30 Bid-YTW : 3.47 % |
| TD.PF.E | FixedReset | 23,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 23.11 Evaluated at bid price : 24.90 Bid-YTW : 3.49 % |
| ENB.PR.A | Perpetual-Discount | 20,120 | Nesbitt crossed 17,700 at 24.95. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-20 Maturity Price : 24.68 Evaluated at bid price : 24.95 Bid-YTW : 5.59 % |
| PVS.PR.D | SplitShare | 18,537 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 5.00 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.H | FloatingReset | Quote: 14.85 – 25.00 Spot Rate : 10.1500 Average : 5.4998 YTW SCENARIO |
| BAM.PF.F | FixedReset | Quote: 23.05 – 23.75 Spot Rate : 0.7000 Average : 0.4806 YTW SCENARIO |
| BAM.PR.C | Floater | Quote: 13.10 – 13.77 Spot Rate : 0.6700 Average : 0.4863 YTW SCENARIO |
| CM.PR.P | FixedReset | Quote: 21.95 – 22.50 Spot Rate : 0.5500 Average : 0.3910 YTW SCENARIO |
| TD.PF.B | FixedReset | Quote: 22.40 – 22.99 Spot Rate : 0.5900 Average : 0.4515 YTW SCENARIO |
| RY.PR.M | FixedReset | Quote: 23.88 – 24.50 Spot Rate : 0.6200 Average : 0.4927 YTW SCENARIO |