Nothing happened today, other than Canadian preferred share investors checking out the current value of their portfolios:
Click for Big
It was another superb day for the Canadian preferred share market (boy, when things snap back, they snap back in a hurry, don’t they?) with PerpetualDiscounts up 57bp, FixedResets winning a whopping 239bp and DeemedRetractibles gaining 38bp. It will be most interesting to see in the coming weeks whether these gains continue or vanish like fairy gold! The Performance Highlights table is, of course, enormous, with no less than eight issues (all FixedResets) up more than the 5% that usually indicates a ridiculous situation with bad quotes. Volume was, again, extremely high.
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
Implied Volatility eased off again today but remains above what I consider reasonable.
TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.56 to be $0.85 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.73 cheap at its bid price of 12.60.
Click for Big
The MFC series has now renormalized and the fit has returned to its usual excellence.
Most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 14.75 to be 0.27 rich, while MFC.PR.J resetting at +261bp on 2018-3-19, is bid at 19.85 to be 0.31 cheap.
Click for Big
The fit on the BAM issues continues to be poor.
The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.00 to be $0.90 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 20.75 and appears to be $0.81 rich.
Click for Big
Implied Volatility declined again today but remains high.
FTS.PR.M, with a spread of +248bp, and bid at 19.90, looks $0.31 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.16 and is $0.67 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 (although I had to change the scale again!). The distribution is slightly bimodal, with bank NVCC non-compliant pairs averaging -1.08% and other issues averaging -0.56%. There is one junk outlier above 0.00% and one below -2.00%.
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 | 2.5608 % | 1,679.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 2.5608 % | 2,935.7 |
| Floater | 4.42 % | 4.49 % | 63,191 | 16.45 | 3 | 2.5608 % | 1,784.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2185 % | 2,757.3 |
| SplitShare | 4.35 % | 5.37 % | 77,837 | 2.97 | 5 | -0.2185 % | 3,231.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2185 % | 2,521.3 |
| Perpetual-Premium | 5.90 % | 5.86 % | 68,582 | 14.01 | 5 | 0.4197 % | 2,468.7 |
| Perpetual-Discount | 5.70 % | 5.79 % | 80,134 | 14.21 | 33 | 0.5740 % | 2,499.0 |
| FixedReset | 5.10 % | 4.59 % | 202,460 | 15.59 | 76 | 2.3903 % | 2,001.3 |
| Deemed-Retractible | 5.24 % | 5.18 % | 104,713 | 5.45 | 33 | 0.3775 % | 2,541.8 |
| FloatingReset | 2.55 % | 4.21 % | 69,231 | 5.82 | 9 | 1.8364 % | 2,112.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| W.PR.H | Perpetual-Discount | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 22.55 Evaluated at bid price : 22.81 Bid-YTW : 6.07 % |
| PWF.PR.S | Perpetual-Discount | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 5.64 % |
| GWO.PR.S | Deemed-Retractible | -1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 6.19 % |
| TRP.PR.A | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 4.82 % |
| GWO.PR.G | Deemed-Retractible | 1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.95 Bid-YTW : 6.47 % |
| BNS.PR.Z | FixedReset | 1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.25 Bid-YTW : 6.87 % |
| IFC.PR.A | FixedReset | 1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.26 Bid-YTW : 9.60 % |
| GWO.PR.I | Deemed-Retractible | 1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.82 Bid-YTW : 7.06 % |
| RY.PR.O | Perpetual-Discount | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 22.25 Evaluated at bid price : 22.62 Bid-YTW : 5.52 % |
| IGM.PR.B | Perpetual-Premium | 1.17 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.88 % |
| SLF.PR.E | Deemed-Retractible | 1.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 7.28 % |
| RY.PR.L | FixedReset | 1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 4.28 % |
| RY.PR.M | FixedReset | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 4.54 % |
| SLF.PR.A | Deemed-Retractible | 1.41 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.55 Bid-YTW : 6.86 % |
| POW.PR.A | Perpetual-Discount | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 24.05 Evaluated at bid price : 24.30 Bid-YTW : 5.79 % |
| BMO.PR.M | FixedReset | 1.47 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 3.58 % |
| BIP.PR.A | FixedReset | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.39 % |
| FTS.PR.F | Perpetual-Discount | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 21.73 Evaluated at bid price : 21.98 Bid-YTW : 5.65 % |
| TD.PF.E | FixedReset | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.52 % |
| SLF.PR.D | Deemed-Retractible | 1.49 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.41 Bid-YTW : 7.28 % |
| GWO.PR.P | Deemed-Retractible | 1.50 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 6.20 % |
| CM.PR.O | FixedReset | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.67 Evaluated at bid price : 18.67 Bid-YTW : 4.45 % |
| BAM.PR.K | Floater | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 10.61 Evaluated at bid price : 10.61 Bid-YTW : 4.49 % |
| BAM.PF.F | FixedReset | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 4.78 % |
| BMO.PR.Z | Perpetual-Discount | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 22.65 Evaluated at bid price : 23.00 Bid-YTW : 5.54 % |
| CU.PR.E | Perpetual-Discount | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 21.31 Evaluated at bid price : 21.59 Bid-YTW : 5.75 % |
| FTS.PR.H | FixedReset | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 4.15 % |
| MFC.PR.F | FixedReset | 1.58 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.75 Bid-YTW : 9.10 % |
| MFC.PR.B | Deemed-Retractible | 1.64 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.11 Bid-YTW : 7.06 % |
| BMO.PR.Y | FixedReset | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.42 % |
| CM.PR.P | FixedReset | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 4.44 % |
| BNS.PR.P | FixedReset | 1.70 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.97 Bid-YTW : 3.82 % |
| BMO.PR.T | FixedReset | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.31 Evaluated at bid price : 18.31 Bid-YTW : 4.50 % |
| TRP.PR.D | FixedReset | 1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 4.68 % |
| FTS.PR.M | FixedReset | 1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 4.44 % |
| CU.PR.G | Perpetual-Discount | 1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 5.67 % |
| TD.PF.D | FixedReset | 2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 4.48 % |
| BAM.PF.A | FixedReset | 2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 4.80 % |
| RY.PR.H | FixedReset | 2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.43 Evaluated at bid price : 18.43 Bid-YTW : 4.49 % |
| BNS.PR.D | FloatingReset | 2.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.40 Bid-YTW : 6.51 % |
| CU.PR.F | Perpetual-Discount | 2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.21 Evaluated at bid price : 20.21 Bid-YTW : 5.66 % |
| MFC.PR.I | FixedReset | 2.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.19 Bid-YTW : 6.11 % |
| BNS.PR.Y | FixedReset | 2.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.40 Bid-YTW : 6.18 % |
| NA.PR.S | FixedReset | 2.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.58 % |
| BAM.PR.X | FixedReset | 2.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 14.37 Evaluated at bid price : 14.37 Bid-YTW : 4.94 % |
| TD.PR.T | FloatingReset | 2.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.94 Bid-YTW : 4.13 % |
| FTS.PR.K | FixedReset | 2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 17.54 Evaluated at bid price : 17.54 Bid-YTW : 4.46 % |
| TD.PR.Y | FixedReset | 2.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.76 Bid-YTW : 3.94 % |
| FTS.PR.J | Perpetual-Discount | 2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.61 % |
| CM.PR.Q | FixedReset | 2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 21.04 Evaluated at bid price : 21.04 Bid-YTW : 4.31 % |
| TD.PF.A | FixedReset | 2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.40 % |
| NA.PR.W | FixedReset | 2.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.45 % |
| MFC.PR.J | FixedReset | 2.53 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.85 Bid-YTW : 6.70 % |
| MFC.PR.G | FixedReset | 2.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.38 Bid-YTW : 5.95 % |
| BNS.PR.B | FloatingReset | 2.57 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 4.23 % |
| SLF.PR.J | FloatingReset | 2.61 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.75 Bid-YTW : 9.08 % |
| BAM.PR.C | Floater | 2.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 10.51 Evaluated at bid price : 10.51 Bid-YTW : 4.53 % |
| TD.PR.S | FixedReset | 2.67 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.87 Bid-YTW : 3.67 % |
| VNR.PR.A | FixedReset | 2.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.42 Evaluated at bid price : 20.42 Bid-YTW : 4.57 % |
| BAM.PF.G | FixedReset | 2.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 4.72 % |
| FTS.PR.G | FixedReset | 2.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 17.16 Evaluated at bid price : 17.16 Bid-YTW : 4.59 % |
| BNS.PR.C | FloatingReset | 2.77 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 3.91 % |
| IAG.PR.G | FixedReset | 2.82 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.77 Bid-YTW : 6.30 % |
| BMO.PR.W | FixedReset | 2.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 4.52 % |
| HSE.PR.G | FixedReset | 2.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 22.51 Evaluated at bid price : 23.40 Bid-YTW : 4.70 % |
| BNS.PR.R | FixedReset | 2.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.45 Bid-YTW : 3.71 % |
| TRP.PR.F | FloatingReset | 3.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 13.75 Evaluated at bid price : 13.75 Bid-YTW : 4.19 % |
| BAM.PR.Z | FixedReset | 3.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 4.83 % |
| BMO.PR.Q | FixedReset | 3.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.05 Bid-YTW : 6.23 % |
| RY.PR.Z | FixedReset | 3.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 4.39 % |
| HSE.PR.C | FixedReset | 3.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 21.82 Evaluated at bid price : 22.20 Bid-YTW : 4.62 % |
| TRP.PR.G | FixedReset | 3.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 4.70 % |
| TRP.PR.E | FixedReset | 3.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.56 Evaluated at bid price : 18.56 Bid-YTW : 4.61 % |
| BMO.PR.S | FixedReset | 3.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.40 % |
| TD.PF.B | FixedReset | 3.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 4.40 % |
| BAM.PR.B | Floater | 3.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 10.92 Evaluated at bid price : 10.92 Bid-YTW : 4.36 % |
| RY.PR.J | FixedReset | 3.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 4.55 % |
| BAM.PR.T | FixedReset | 3.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 17.17 Evaluated at bid price : 17.17 Bid-YTW : 4.80 % |
| BAM.PF.B | FixedReset | 4.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 4.87 % |
| BAM.PF.E | FixedReset | 4.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 4.89 % |
| BNS.PR.Q | FixedReset | 4.60 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.12 Bid-YTW : 3.70 % |
| CU.PR.C | FixedReset | 4.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 4.16 % |
| MFC.PR.N | FixedReset | 4.72 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.85 Bid-YTW : 7.26 % |
| BAM.PR.R | FixedReset | 4.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.06 % |
| IFC.PR.C | FixedReset | 5.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 6.87 % |
| SLF.PR.H | FixedReset | 5.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.74 Bid-YTW : 7.57 % |
| MFC.PR.K | FixedReset | 5.35 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.30 Bid-YTW : 7.46 % |
| TRP.PR.C | FixedReset | 5.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 12.60 Evaluated at bid price : 12.60 Bid-YTW : 4.73 % |
| SLF.PR.G | FixedReset | 5.44 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 8.24 % |
| MFC.PR.M | FixedReset | 5.52 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.30 Bid-YTW : 7.01 % |
| MFC.PR.L | FixedReset | 5.56 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.04 Bid-YTW : 7.75 % |
| TRP.PR.B | FixedReset | 6.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 12.20 Evaluated at bid price : 12.20 Bid-YTW : 4.38 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.A | FixedReset | 83,070 | Scotia crossed 14,200 at 15.05 and bought blocks of 23,500 and 24,200 from RBC at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 4.82 % |
| PWF.PR.P | FixedReset | 80,000 | Scotia crossed blocks of 33,900 and 39,500, both at 14.94. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 14.51 Evaluated at bid price : 14.51 Bid-YTW : 4.21 % |
| GWO.PR.S | Deemed-Retractible | 65,532 | TD crossed 16,900 at 23.75. RBC sold blocks of 23,200 and 11,500 to anonymous, both at 23.50. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 6.19 % |
| TD.PF.C | FixedReset | 61,850 | RBC crossed 12,800 at 18.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 4.49 % |
| NA.PR.S | FixedReset | 60,119 | RBC crossed 10,000 at 18.30, then bought 29,600 from GMP at 18.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.58 % |
| CM.PR.O | FixedReset | 58,988 | RBC crossed 10,000 at 18.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-10-20 Maturity Price : 18.67 Evaluated at bid price : 18.67 Bid-YTW : 4.45 % |
| There were 62 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.J | FixedReset | Quote: 19.85 – 20.44 Spot Rate : 0.5900 Average : 0.3395 YTW SCENARIO |
| W.PR.H | Perpetual-Discount | Quote: 22.81 – 23.51 Spot Rate : 0.7000 Average : 0.5091 YTW SCENARIO |
| FTS.PR.F | Perpetual-Discount | Quote: 21.98 – 22.50 Spot Rate : 0.5200 Average : 0.3400 YTW SCENARIO |
| BIP.PR.A | FixedReset | Quote: 20.70 – 21.15 Spot Rate : 0.4500 Average : 0.3003 YTW SCENARIO |
| GWO.PR.L | Deemed-Retractible | Quote: 24.45 – 24.90 Spot Rate : 0.4500 Average : 0.3194 YTW SCENARIO |
| TD.PF.E | FixedReset | Quote: 20.55 – 21.20 Spot Rate : 0.6500 Average : 0.5248 YTW SCENARIO |
Is the junk pair implying -2%, the DC.PR.B and DC.PR.D? I find the DC.PR.C confusing too as it seems to have a yield to retraction of 13% which seems high to me. Is there real concern here on credit or do you think it’s just misinformed investors selling down the low current yield? Any thoughts appreciated!
Is the junk pair implying -2%, the DC.PR.B and DC.PR.D?
No, the DC.PR.B / DC.PR.D pair has a breakeven T-Bill yield of -1.98. The outlier is FFH.PR.C / FFH.PR.D at -2.91%.
I find the DC.PR.C confusing too as it seems to have a yield to retraction of 13% which seems high to me. Is there real concern here on credit or do you think it’s just misinformed investors selling down the low current yield?
Dundee’s been having some tough times recently and the “difficult time in the oil and commodities-related markets” doesn’t look like it will be ending any time soon; I suspect that it’s a bit of both.