Nothing happened today, except that bonds had a good day:
The S&P 500 retreated 1.6 percent at 4 p.m. in New York, erasing its gain for the week. The gauge ended lower yesterday by 0.4 percent, erasing a gain of as much as 1.3 percent after Yellen indicated that global developments overshadowed signs of strength in America.
…
U.S. two-year Treasuries extended their biggest one-day rally since 2009, while Pacific Investment Management Co. said policy makers may wait until next year before raising rates. JPMorgan Asset Management said the Fed’s statement was good for bonds and they still like debt due between seven and 10 years.Bonds gained from Australia to Germany, while Treasuries added to an advance from Thursday. The yield on 10-year German bunds, the euro region’s benchmark sovereign securities, dropped 12 basis points to 0.66 percent, set for its biggest decline since July 7, on prospects for further easing by the European Central Bank.
Rates on similar-maturity Italian bonds fell 14 basis points to 1.76 percent, while those on Spain’s declined 15 basis points to 1.94 percent. The yield on U.S. 10-year Treasuries fell six basis points to 2.13 percent on Friday, after sliding 10 basis points the previous day.
It was yet another negative day for the Canadian preferred share market, with PerpetualDiscounts gaining 5bp, FixedResets down 48bp and DeemedRetractibles off 6bp. The Performance Highlights table is comprised entirely of losers, mostly FixedResets. Volume was extremely 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.E, which resets 2019-10-30 at +235, is bid at 20.06 to be $1.05 rich, while TRP.PR.C, resetting 2016-1-30 at +164, is $1.32 cheap at its bid price of 12.81.
Click for Big
Another good fit today for MFC, with Implied Volatility falling a bit today.
Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 24.41 to be 0.32 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 23.03 to be 0.30 cheap.
Click for Big
The fit on the BAM issues continues to be horrible.
The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.80 to be $1.42 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.54 and appears to be $1.17 rich.
Click for Big
FTS.PR.M, with a spread of +248bp, and bid at 22.20, looks $0.66 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.79 and is $0.43 cheap.
Click for Big
Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.87%, with no outliers. The distribution’s bimodality has vanished. There are two junk outliers above 0.00%.
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 | -1.1003 % | 1,648.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.1003 % | 2,882.5 |
| Floater | 4.51 % | 4.54 % | 58,288 | 16.37 | 3 | -1.1003 % | 1,752.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0812 % | 2,777.2 |
| SplitShare | 4.63 % | 4.95 % | 61,117 | 3.06 | 3 | 0.0812 % | 3,254.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0812 % | 2,539.4 |
| Perpetual-Premium | 5.71 % | 2.95 % | 53,691 | 0.08 | 8 | 0.1138 % | 2,494.1 |
| Perpetual-Discount | 5.45 % | 5.52 % | 66,304 | 14.59 | 30 | 0.0476 % | 2,602.0 |
| FixedReset | 4.75 % | 4.21 % | 178,672 | 15.99 | 74 | -0.4801 % | 2,141.4 |
| Deemed-Retractible | 5.15 % | 4.75 % | 91,336 | 5.50 | 33 | -0.0580 % | 2,580.4 |
| FloatingReset | 2.49 % | 3.96 % | 49,480 | 5.90 | 9 | -0.5021 % | 2,144.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.C | FixedReset | -4.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-18 Maturity Price : 12.81 Evaluated at bid price : 12.81 Bid-YTW : 4.62 % |
| HSE.PR.A | FixedReset | -2.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-18 Maturity Price : 13.80 Evaluated at bid price : 13.80 Bid-YTW : 4.65 % |
| TRP.PR.A | FixedReset | -2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-18 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.22 % |
| SLF.PR.J | FloatingReset | -2.40 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.03 Bid-YTW : 9.65 % |
| TRP.PR.F | FloatingReset | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-18 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 3.96 % |
| SLF.PR.H | FixedReset | -1.96 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.50 Bid-YTW : 7.59 % |
| MFC.PR.F | FixedReset | -1.96 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 8.27 % |
| BAM.PR.K | Floater | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-18 Maturity Price : 10.42 Evaluated at bid price : 10.42 Bid-YTW : 4.54 % |
| SLF.PR.G | FixedReset | -1.73 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.35 Bid-YTW : 8.23 % |
| TD.PR.S | FixedReset | -1.56 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.97 Bid-YTW : 3.66 % |
| VNR.PR.A | FixedReset | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-18 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 4.68 % |
| BAM.PR.Z | FixedReset | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-18 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.62 % |
| TRP.PR.B | FixedReset | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-18 Maturity Price : 12.52 Evaluated at bid price : 12.52 Bid-YTW : 4.14 % |
| BMO.PR.T | FixedReset | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-18 Maturity Price : 20.94 Evaluated at bid price : 20.94 Bid-YTW : 3.82 % |
| PWF.PR.T | FixedReset | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-18 Maturity Price : 22.21 Evaluated at bid price : 22.70 Bid-YTW : 3.65 % |
| IFC.PR.C | FixedReset | -1.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 6.39 % |
| IAG.PR.G | FixedReset | -1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 5.11 % |
| FTS.PR.K | FixedReset | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-18 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.11 % |
| GWO.PR.N | FixedReset | -1.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.05 Bid-YTW : 8.35 % |
| BAM.PR.R | FixedReset | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-18 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.70 % |
| HSE.PR.G | FixedReset | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-18 Maturity Price : 21.89 Evaluated at bid price : 22.35 Bid-YTW : 4.87 % |
| MFC.PR.I | FixedReset | -1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 4.96 % |
| FTS.PR.F | Perpetual-Discount | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-18 Maturity Price : 22.24 Evaluated at bid price : 22.51 Bid-YTW : 5.48 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.F | Perpetual-Discount | 65,100 | RBC crossed 48,200 at 24.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-18 Maturity Price : 24.03 Evaluated at bid price : 24.39 Bid-YTW : 5.09 % |
| NA.PR.S | FixedReset | 52,575 | TD crossed 46,700 at 21.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-09-18 Maturity Price : 21.31 Evaluated at bid price : 21.60 Bid-YTW : 3.87 % |
| MFC.PR.G | FixedReset | 36,160 | Nesbitt crossed 34,600 at 23.20. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.03 Bid-YTW : 4.84 % |
| GWO.PR.N | FixedReset | 32,586 | Nesbitt crossed 28,700 at 15.30. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.05 Bid-YTW : 8.35 % |
| BNS.PR.Q | FixedReset | 27,200 | RBC crossed 25,000 at 24.32. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.29 Bid-YTW : 3.65 % |
| SLF.PR.J | FloatingReset | 27,038 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.03 Bid-YTW : 9.65 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| RY.PR.J | FixedReset | Quote: 23.35 – 24.00 Spot Rate : 0.6500 Average : 0.4263 YTW SCENARIO |
| TRP.PR.F | FloatingReset | Quote: 14.40 – 15.20 Spot Rate : 0.8000 Average : 0.5885 YTW SCENARIO |
| HSE.PR.G | FixedReset | Quote: 22.35 – 22.99 Spot Rate : 0.6400 Average : 0.4319 YTW SCENARIO |
| MFC.PR.N | FixedReset | Quote: 20.56 – 21.18 Spot Rate : 0.6200 Average : 0.4233 YTW SCENARIO |
| TD.PR.S | FixedReset | Quote: 23.97 – 24.55 Spot Rate : 0.5800 Average : 0.3843 YTW SCENARIO |
| TRP.PR.C | FixedReset | Quote: 12.81 – 13.30 Spot Rate : 0.4900 Average : 0.2972 YTW SCENARIO |