Nothing happened today.
The Canadian preferred share market took another whacking to close the month, with PerpetualDiscounts losing 58bp, FixedResets down 56bp and DeemedRetractibles off 23bp. The Performance Highlights table is suitably horrible. Volume was very low.
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.B, which resets 2020-6-30 at +128, is bid at 24.56 to be $0.76 rich, while TRP.PR.D, resetting 2019-4-30 at +238, is $0.84 cheap at its bid price of 20.00.
Click for Big
Another good fit today!
Most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 16.95 to be 0.62 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 20.80 to be $0.79 cheap.
Click for Big
The fit on the BAM issues was particularly horrible today.
The cheapest issue relative to its peers is BAM.PR.Z, resetting at +296bp on 2017-12-31, bid at 21.37 to be $1.49 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 23.45 and appears to be $1.30 rich.
Click for Big
FTS.PR.K, with a spread of +205bp, and bid at 21.40, looks $0.81 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 20.25 and is $0.84 cheap.
Click for Big
Investment-grade pairs predict an average three-month bill yield over the next five-odd years of +0.02%, with one outlier above 1.00%. There are no junk outliers.
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 | -0.7937 % | 2,005.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.7937 % | 3,506.9 |
| Floater | 3.66 % | 3.69 % | 56,377 | 18.08 | 3 | -0.7937 % | 2,132.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1603 % | 2,776.6 |
| SplitShare | 4.58 % | 4.95 % | 62,897 | 3.16 | 3 | -0.1603 % | 3,254.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1603 % | 2,539.0 |
| Perpetual-Premium | 5.57 % | 5.17 % | 71,550 | 14.44 | 13 | 0.5753 % | 2,491.9 |
| Perpetual-Discount | 5.43 % | 5.46 % | 84,676 | 14.71 | 24 | -0.5762 % | 2,611.5 |
| FixedReset | 4.72 % | 3.83 % | 207,733 | 16.03 | 88 | -0.5645 % | 2,233.8 |
| Deemed-Retractible | 5.11 % | 5.12 % | 105,251 | 5.48 | 34 | -0.2309 % | 2,581.5 |
| FloatingReset | 2.40 % | 3.23 % | 46,521 | 6.05 | 10 | -0.1139 % | 2,266.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| FTS.PR.J | Perpetual-Discount | -7.29 % | Not even close to having any resemblance to reality. Perhaps the market maker was overwhelmed by the enormous volume of 1,450 shares, which traded in a range of 23.60-66. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 21.60 Evaluated at bid price : 21.88 Bid-YTW : 5.51 % |
| TRP.PR.D | FixedReset | -4.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 4.01 % |
| MFC.PR.L | FixedReset | -3.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.65 Bid-YTW : 5.78 % |
| BAM.PR.Z | FixedReset | -3.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 21.37 Evaluated at bid price : 21.37 Bid-YTW : 4.44 % |
| MFC.PR.K | FixedReset | -3.75 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.80 Bid-YTW : 5.58 % |
| PWF.PR.T | FixedReset | -3.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 22.79 Evaluated at bid price : 23.75 Bid-YTW : 3.29 % |
| IAG.PR.A | Deemed-Retractible | -3.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.72 Bid-YTW : 6.57 % |
| TRP.PR.E | FixedReset | -2.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 3.87 % |
| ENB.PR.D | FixedReset | -2.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 4.95 % |
| TRP.PR.F | FloatingReset | -2.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 17.08 Evaluated at bid price : 17.08 Bid-YTW : 3.42 % |
| IFC.PR.C | FixedReset | -1.96 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 5.07 % |
| BAM.PR.C | Floater | -1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 12.75 Evaluated at bid price : 12.75 Bid-YTW : 3.73 % |
| ENB.PR.T | FixedReset | -1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.95 % |
| BAM.PR.B | Floater | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 13.09 Evaluated at bid price : 13.09 Bid-YTW : 3.64 % |
| ENB.PR.B | FixedReset | -1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.97 % |
| ELF.PR.G | Perpetual-Discount | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 21.60 Evaluated at bid price : 21.85 Bid-YTW : 5.47 % |
| SLF.PR.I | FixedReset | -1.79 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.03 Bid-YTW : 4.62 % |
| BAM.PR.T | FixedReset | -1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 18.17 Evaluated at bid price : 18.17 Bid-YTW : 4.29 % |
| POW.PR.D | Perpetual-Discount | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 22.33 Evaluated at bid price : 22.60 Bid-YTW : 5.57 % |
| ENB.PR.N | FixedReset | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 4.98 % |
| ENB.PR.Y | FixedReset | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 17.02 Evaluated at bid price : 17.02 Bid-YTW : 4.82 % |
| CU.PR.C | FixedReset | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 23.44 Evaluated at bid price : 23.80 Bid-YTW : 3.28 % |
| MFC.PR.M | FixedReset | -1.52 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.01 Bid-YTW : 5.13 % |
| GWO.PR.L | Deemed-Retractible | -1.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 5.77 % |
| BMO.PR.Y | FixedReset | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 22.82 Evaluated at bid price : 24.10 Bid-YTW : 3.52 % |
| SLF.PR.C | Deemed-Retractible | -1.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.40 Bid-YTW : 6.60 % |
| GWO.PR.H | Deemed-Retractible | -1.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.01 Bid-YTW : 6.06 % |
| PWF.PR.S | Perpetual-Discount | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 22.20 Evaluated at bid price : 22.55 Bid-YTW : 5.33 % |
| SLF.PR.G | FixedReset | -1.26 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.49 Bid-YTW : 7.23 % |
| FTS.PR.F | Perpetual-Discount | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 23.12 Evaluated at bid price : 23.40 Bid-YTW : 5.31 % |
| ENB.PR.P | FixedReset | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.94 % |
| BAM.PF.A | FixedReset | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 21.70 Evaluated at bid price : 21.95 Bid-YTW : 4.22 % |
| ENB.PF.E | FixedReset | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 18.29 Evaluated at bid price : 18.29 Bid-YTW : 4.98 % |
| ENB.PF.A | FixedReset | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.92 % |
| RY.PR.H | FixedReset | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 21.77 Evaluated at bid price : 22.12 Bid-YTW : 3.45 % |
| ENB.PR.J | FixedReset | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 17.61 Evaluated at bid price : 17.61 Bid-YTW : 4.96 % |
| NA.PR.S | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 22.15 Evaluated at bid price : 22.66 Bid-YTW : 3.51 % |
| SLF.PR.H | FixedReset | -1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.25 Bid-YTW : 6.25 % |
| BAM.PF.E | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 21.34 Evaluated at bid price : 21.63 Bid-YTW : 4.03 % |
| SLF.PR.E | Deemed-Retractible | -1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.65 Bid-YTW : 6.50 % |
| MFC.PR.G | FixedReset | 1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.51 Bid-YTW : 3.98 % |
| TD.PR.S | FixedReset | 1.26 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.93 Bid-YTW : 2.83 % |
| CIU.PR.C | FixedReset | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 16.34 Evaluated at bid price : 16.34 Bid-YTW : 3.18 % |
| HSE.PR.G | FixedReset | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 22.10 Evaluated at bid price : 22.70 Bid-YTW : 4.72 % |
| BAM.PR.K | Floater | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 12.91 Evaluated at bid price : 12.91 Bid-YTW : 3.69 % |
| BAM.PR.X | FixedReset | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 16.19 Evaluated at bid price : 16.19 Bid-YTW : 4.11 % |
| PWF.PR.O | Perpetual-Premium | 7.38 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2015-10-31 Maturity Price : 25.75 Evaluated at bid price : 25.90 Bid-YTW : 3.31 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.Z | Perpetual-Discount | 62,792 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 23.53 Evaluated at bid price : 23.85 Bid-YTW : 5.26 % |
| RY.PR.O | Perpetual-Discount | 34,405 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 23.36 Evaluated at bid price : 23.66 Bid-YTW : 5.20 % |
| ENB.PR.B | FixedReset | 33,687 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.97 % |
| CU.PR.C | FixedReset | 30,775 | RBC crossed 24,800 at 24.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-31 Maturity Price : 23.44 Evaluated at bid price : 23.80 Bid-YTW : 3.28 % |
| SLF.PR.H | FixedReset | 27,240 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.25 Bid-YTW : 6.25 % |
| HSB.PR.D | Deemed-Retractible | 26,865 | RBC bought 18,800 from anonymous at 25.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 5.12 % |
| There were 18 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| FTS.PR.J | Perpetual-Discount | Quote: 21.88 – 23.42 Spot Rate : 1.5400 Average : 0.9873 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 21.72 – 22.70 Spot Rate : 0.9800 Average : 0.7410 YTW SCENARIO |
| TRP.PR.D | FixedReset | Quote: 20.00 – 20.64 Spot Rate : 0.6400 Average : 0.4307 YTW SCENARIO |
| BAM.PF.E | FixedReset | Quote: 21.63 – 22.20 Spot Rate : 0.5700 Average : 0.3903 YTW SCENARIO |
| RY.PR.J | FixedReset | Quote: 23.70 – 24.15 Spot Rate : 0.4500 Average : 0.2830 YTW SCENARIO |
| TRP.PR.F | FloatingReset | Quote: 17.08 – 17.70 Spot Rate : 0.6200 Average : 0.4645 YTW SCENARIO |