Mohamed A. El-Erian commented on the Third Avenue fund closure:
The scale of the accident increases significantly if individual managers within the asset class have ventured to more exotic and less liquid securities in search of returns. I don’t mean to say that it isn’t worthwhile to pursue such investments, especially when underpinned by solid credit research. It is, but in the proper context and size. Such investments can be particularly dangerous to an open-fund structure during periods of market dislocations if a significant part of the investor base acts on the belief that daily liquidity for exit is available at a decent valuation.
…
Depending on how far the situation deteriorates, price overshoots can take valuations well beyond what is warranted by credit and economic fundamentals, as well as fuel contagion within the asset class. Then, investor outflows are likely to accelerate further, putting pressure on both liquid and illiquid names. And even though the turmoil can create attractive investment opportunities, fresh cash takes time to engage.The greater the dislocation of the asset class, the higher the risk of spillovers to other types of investments, starting with the asset classes that share the same characteristics of credit, default and liquidity risks.
Broker-dealers will be less willing and able to act as stabilizers by stepping up with their own balance sheets. Both regulatory and market forces have limited their appetite for this countercyclical role. In addition, their willingness to accumulate such inventory decreases as we get closer to the close of their fiscal year (which, for many, is December).
There’s one casualty already:
Third Avenue Management is parting ways with Chief Executive Officer David M. Barse after he announced plans last week to freeze redemptions in its troubled high-yield mutual fund, the Wall Street Journal reported, citing unidentified people familiar with the matter.
Barse was let go and isn’t allowed back in the building, the newspaper said, citing a security guard at the firm’s New York headquarters. Daniel Gagnier, a spokesman for Third Avenue, declined to comment when reached by Bloomberg. Barse didn’t respond to messages left at his home over the weekend.
A C.D.Howe paper by Craig Alexander and Paul Jacobson titled Mortgaged to the Hilt: Risks From The Distribution of Household Mortgage Debt has some interesting things to say:
The National Balance Sheet Accounts show the dramatic rise of household mortgage debt growth since 1999, jumping from $375 billion to $1.16 trillion in 2014. The increasing size of mortgages was clearly tied to rising demand and soaring cost for residential real estate. From 1999 to 2014, national average resale home prices soared by 158 percent, requiring larger mortgages for many buyers.
…
According to the national average data from the National Balance Sheet Accounts, mortgage debt as a share of disposable income climbed from 66 percent in 1999 to 99 percent in 2012 and reached 104 percent in 2014. But, these economy-wide averages understate the degree of financial risk for those that carried mortgages because they divide the value of mortgages across the income of households with and without mortgages.The SFS data show that primary mortgages have increased significantly. The primary mortgage debt-to-disposable income ratio has climbed from 144 percent of income in 1999 to 204 percent in 2012. However, this also understates the degree of financial risk for a significant minority of households. The share of exceptionally high mortgage-leverage households has increased. This can be seen in the ratio of primary residence mortgage debt to after-tax income across mortgaged households. In 1999, 12.6 percent of households had mortgages that exceeded 300 percent of disposable income (Figure 1). By 2012, the share had reached 27.4 percent. And, the share of households with mortgages at 500 percent or more of disposable income has climbed from 3.4 percent in 1999 to 10.8 percent in 2012. The underlying story is that as older, smaller mortgages were paid off, they were replaced by larger new mortgages reflecting the increase in home prices that has far outpaced household income growth.
And it looks like OSFI’s contemplating making mortgage applications even more of a paperwork nightmare than they are already:
Canada’s banking and insurance regulator highlighted fraudulent mortgage practices as a key threat to the country’s financial system, prompting consultations with lenders over how to ensure that the system can withstand a severe housing market downturn.
“It has come to light that institutions have been, I would say inadvertently, making mortgages to people whose income has been falsified,” said Jeremy Rudin, superintendent of financial institutions.
“One of things we’ve been doing is encouraging sound risk management. And as we set out in our guideline on mortgage underwriting, income verification – checking to make sure the borrower has the ability to carry the loan – is an important part of sound underwriting.”
As the Treasury Department ponders which American woman should be featured on the $10 bill, an abundance of ideas is delaying the decision until next year.
The department is taking additional time to consider a range of options after receiving more suggestions than originally expected, the Treasury said Friday in an e-mailed statement. Secretary Jacob Lew is now expected to announce the choice in 2016.
I vote for Scarlett Johansson, nude.
But such happy thoughts are interrupted by warning stickers that might be put on preferred share buy confirmations soon:
Click for Big
It was an utterly appalling day for the Canadian preferred share market, with PerpetualDiscounts down 84bp, FixedResets losing 194bp and DeemedRetractibles off 44bp. What can I say about the Performance Highlights table. “It is long”? How does that sound? Volume was enormous again.
For those keeping score, TXPR is now down 9.00% on the month to date and is now 1.07% below the low of October 14.
Click for Big
TXPL is down about 11.70% on the month to date and is 2.50% below the low the October 14.
Click for Big
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 17.60 to be $1.26 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.08 cheap at its bid price of 11.10.
Click for Big
Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 20.85 to be 0.73 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 18.81 to be 0.68 cheap.
Click for Big
The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 14.12 to be $1.04 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 18.60 and appears to be $0.79 rich.
Click for Big
FTS.PR.K, with a spread of +205bp, and bid at 16.93, looks $0.82 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 15.75 and is $0.79 cheap.
Click for Big
Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.09%, with no outliers. There is one junk outlier below -1.00% and one above +1.00%. Note the vertical axis of this graph has been changed.
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 | 5.13 % | 6.24 % | 33,251 | 16.36 | 1 | -0.3759 % | 1,512.4 |
| FixedFloater | 7.44 % | 6.59 % | 33,611 | 15.52 | 1 | -0.6226 % | 2,623.3 |
| Floater | 4.49 % | 4.61 % | 85,427 | 16.24 | 4 | -0.9656 % | 1,700.2 |
| OpRet | 4.87 % | 4.25 % | 28,516 | 0.70 | 1 | 0.0000 % | 2,734.3 |
| SplitShare | 4.88 % | 5.85 % | 84,172 | 1.88 | 6 | -0.5928 % | 3,167.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5928 % | 2,471.3 |
| Perpetual-Premium | 5.88 % | 5.95 % | 91,987 | 13.85 | 7 | -0.0750 % | 2,462.6 |
| Perpetual-Discount | 5.88 % | 5.96 % | 102,618 | 13.90 | 33 | -0.8390 % | 2,435.7 |
| FixedReset | 5.63 % | 5.06 % | 254,121 | 14.65 | 78 | -1.9400 % | 1,833.9 |
| Deemed-Retractible | 5.32 % | 5.88 % | 135,492 | 7.03 | 33 | -0.4371 % | 2,520.7 |
| FloatingReset | 2.88 % | 4.62 % | 64,478 | 5.67 | 11 | -1.0367 % | 2,048.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.N | FixedReset | -7.26 % | A little bit real, but not quite as bad as it looks. The issue traded 32,758 shares in a range of 12.87-77 before closing at 12.52-75, 2×3 … so while the bid is reasonable compared to the offer, the offer is below the low for the day, which is less reasonable. The last trade of the day was at 13.04, timestamped 3:58, for 100 shares. VWAP was 13.23. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.52 Bid-YTW : 10.80 % |
| HSE.PR.A | FixedReset | -6.68 % | Quite real enough! The issue traded 19,609 shares today in a range of 10.61-40 before closing at 10.61-02, 2×4. There were six trades totalling 900 shares timestamped 3:59 done at 10.61. VWAP was 10.99. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 10.61 Evaluated at bid price : 10.61 Bid-YTW : 5.88 % |
| W.PR.J | Perpetual-Discount | -6.54 % | Not real. The issue traded 1,100 shares today in a range of 23.10-26 before closing at 22.16-08, 6×6. The last trade of the day was for 100 shares at 23.10, timestamped 3:47. VWAP was 23.22. 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 : 2045-12-14 Maturity Price : 21.92 Evaluated at bid price : 22.16 Bid-YTW : 6.43 % |
| W.PR.H | Perpetual-Discount | -6.46 % | Not real, as the issue traded 1,335 shares in a range of 22.92-50 before closing at 22.56-80, 12×10. It will be noted that here I am reporting a 22.56 closing bid and using a 22.00 bid for calculation purposes. Well, all I can say is that the 22.00 is what I have bought from the Toronto Exchange at great expense, and the 22.56 is what they report on their website. I suppose the National Best Bid was on another exchange. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.36 % |
| TRP.PR.C | FixedReset | -6.01 % | It looks like this issue was targeted by the seller who took the market down late in the day, as the last twenty-four trades all list “anonymous” as the seller. These trades started at 3:51 at a price of 11.13 and lasted until 3:59 at 11.12 – most of the trades were executed above these levels. These trades totalled 3,000 shares, vs. 28,104 on the day. The day’s VWAP was 11.53. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 11.10 Evaluated at bid price : 11.10 Bid-YTW : 5.24 % |
| BIP.PR.B | FixedReset | -4.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 21.91 Evaluated at bid price : 22.40 Bid-YTW : 6.17 % |
| PWF.PR.P | FixedReset | -4.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 12.90 Evaluated at bid price : 12.90 Bid-YTW : 4.62 % |
| TRP.PR.D | FixedReset | -4.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.54 Evaluated at bid price : 16.54 Bid-YTW : 5.06 % |
| CIU.PR.C | FixedReset | -4.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 4.14 % |
| BMO.PR.S | FixedReset | -4.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.77 Evaluated at bid price : 16.77 Bid-YTW : 4.90 % |
| BNS.PR.Z | FixedReset | -4.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.20 Bid-YTW : 7.99 % |
| HSE.PR.C | FixedReset | -4.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.32 Evaluated at bid price : 16.32 Bid-YTW : 6.20 % |
| PWF.PR.T | FixedReset | -3.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 3.96 % |
| TRP.PR.A | FixedReset | -3.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 14.59 Evaluated at bid price : 14.59 Bid-YTW : 4.81 % |
| MFC.PR.F | FixedReset | -3.69 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.58 Bid-YTW : 10.04 % |
| IFC.PR.A | FixedReset | -3.57 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.32 Bid-YTW : 10.28 % |
| MFC.PR.I | FixedReset | -3.43 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.17 Bid-YTW : 7.36 % |
| TRP.PR.B | FixedReset | -3.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 4.92 % |
| BNS.PR.R | FixedReset | -3.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.53 Bid-YTW : 5.30 % |
| MFC.PR.G | FixedReset | -3.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.81 Bid-YTW : 7.57 % |
| BAM.PR.R | FixedReset | -2.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 14.12 Evaluated at bid price : 14.12 Bid-YTW : 5.50 % |
| BNS.PR.Y | FixedReset | -2.65 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.70 Bid-YTW : 6.98 % |
| BMO.PR.Y | FixedReset | -2.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 18.56 Evaluated at bid price : 18.56 Bid-YTW : 4.82 % |
| PVS.PR.D | SplitShare | -2.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 21.85 Bid-YTW : 7.25 % |
| BMO.PR.T | FixedReset | -2.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.67 Evaluated at bid price : 16.67 Bid-YTW : 4.80 % |
| BMO.PR.W | FixedReset | -2.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.52 Evaluated at bid price : 16.52 Bid-YTW : 4.81 % |
| CU.PR.C | FixedReset | -2.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.36 Evaluated at bid price : 17.36 Bid-YTW : 4.67 % |
| CM.PR.P | FixedReset | -2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.44 Evaluated at bid price : 16.44 Bid-YTW : 4.90 % |
| RY.PR.I | FixedReset | -2.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 5.11 % |
| FTS.PR.H | FixedReset | -2.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 12.77 Evaluated at bid price : 12.77 Bid-YTW : 4.48 % |
| CM.PR.Q | FixedReset | -2.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.81 Evaluated at bid price : 17.81 Bid-YTW : 5.06 % |
| CU.PR.I | FixedReset | -2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 22.89 Evaluated at bid price : 24.25 Bid-YTW : 4.59 % |
| BMO.PR.M | FixedReset | -2.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 4.81 % |
| NA.PR.W | FixedReset | -2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 5.01 % |
| TRP.PR.E | FixedReset | -2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 4.82 % |
| PWF.PR.A | Floater | -2.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 4.05 % |
| RY.PR.L | FixedReset | -2.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 4.82 % |
| NA.PR.Q | FixedReset | -2.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.60 Bid-YTW : 4.52 % |
| SLF.PR.H | FixedReset | -2.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.53 Bid-YTW : 9.25 % |
| TD.PF.E | FixedReset | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.86 % |
| RY.PR.M | FixedReset | -1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.76 Evaluated at bid price : 17.76 Bid-YTW : 4.88 % |
| BNS.PR.Q | FixedReset | -1.93 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.33 Bid-YTW : 5.19 % |
| RY.PR.J | FixedReset | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 4.94 % |
| BMO.PR.Z | Perpetual-Discount | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 22.09 Evaluated at bid price : 22.41 Bid-YTW : 5.62 % |
| TD.PR.Z | FloatingReset | -1.87 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.48 Bid-YTW : 4.78 % |
| MFC.PR.N | FixedReset | -1.87 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.31 Bid-YTW : 8.37 % |
| MFC.PR.J | FixedReset | -1.86 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.50 Bid-YTW : 7.57 % |
| CM.PR.O | FixedReset | -1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.85 % |
| RY.PR.A | Deemed-Retractible | -1.75 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.21 Bid-YTW : 5.13 % |
| TRP.PR.F | FloatingReset | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 12.78 Evaluated at bid price : 12.78 Bid-YTW : 4.62 % |
| HSE.PR.G | FixedReset | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 6.26 % |
| BAM.PR.Z | FixedReset | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.65 Evaluated at bid price : 17.65 Bid-YTW : 5.45 % |
| BIP.PR.A | FixedReset | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 5.95 % |
| FTS.PR.G | FixedReset | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 4.85 % |
| IAG.PR.G | FixedReset | -1.55 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 7.40 % |
| SLF.PR.J | FloatingReset | -1.55 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.72 Bid-YTW : 10.26 % |
| TRP.PR.H | FloatingReset | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 9.68 Evaluated at bid price : 9.68 Bid-YTW : 4.44 % |
| TD.PF.B | FixedReset | -1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 4.75 % |
| TD.PF.C | FixedReset | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.73 Evaluated at bid price : 16.73 Bid-YTW : 4.80 % |
| ELF.PR.H | Perpetual-Discount | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 22.37 Evaluated at bid price : 22.66 Bid-YTW : 6.17 % |
| GWO.PR.F | Deemed-Retractible | -1.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 6.02 % |
| BAM.PR.X | FixedReset | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 12.78 Evaluated at bid price : 12.78 Bid-YTW : 5.34 % |
| PVS.PR.C | SplitShare | -1.37 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 24.41 Bid-YTW : 6.21 % |
| NA.PR.S | FixedReset | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 5.03 % |
| BNS.PR.P | FixedReset | -1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.18 Bid-YTW : 4.49 % |
| FTS.PR.I | FloatingReset | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 11.40 Evaluated at bid price : 11.40 Bid-YTW : 4.17 % |
| CIU.PR.A | Perpetual-Discount | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 5.78 % |
| RY.PR.O | Perpetual-Discount | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 21.50 Evaluated at bid price : 21.80 Bid-YTW : 5.66 % |
| TD.PR.Y | FixedReset | -1.25 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 4.60 % |
| GWO.PR.G | Deemed-Retractible | -1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 6.81 % |
| TD.PF.F | Perpetual-Discount | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 21.60 Evaluated at bid price : 21.93 Bid-YTW : 5.65 % |
| BAM.PF.H | FixedReset | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 23.04 Evaluated at bid price : 24.65 Bid-YTW : 4.99 % |
| MFC.PR.M | FixedReset | -1.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.38 Bid-YTW : 8.39 % |
| BNS.PR.D | FloatingReset | -1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.86 Bid-YTW : 7.30 % |
| TD.PF.A | FixedReset | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 4.70 % |
| BMO.PR.R | FloatingReset | -1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.70 Bid-YTW : 4.56 % |
| BAM.PF.A | FixedReset | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 5.36 % |
| GWO.PR.I | Deemed-Retractible | -1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.96 Bid-YTW : 7.61 % |
| FTS.PR.J | Perpetual-Discount | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 5.69 % |
| RY.PR.F | Deemed-Retractible | -1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.30 Bid-YTW : 5.06 % |
| IFC.PR.C | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.50 Bid-YTW : 8.22 % |
| RY.PR.P | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 24.04 Evaluated at bid price : 24.40 Bid-YTW : 5.47 % |
| MFC.PR.K | FixedReset | 1.79 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.10 Bid-YTW : 8.30 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.Z | FixedReset | 94,695 | GMP bought blocks of 18,400 and 16,900 from National at 17.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 4.65 % |
| TRP.PR.A | FixedReset | 69,180 | RBC crossed 50,400 at 15.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 14.59 Evaluated at bid price : 14.59 Bid-YTW : 4.81 % |
| TRP.PR.F | FloatingReset | 59,315 | RBC crossed 53,000 at 12.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 12.78 Evaluated at bid price : 12.78 Bid-YTW : 4.62 % |
| TRP.PR.D | FixedReset | 56,782 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.54 Evaluated at bid price : 16.54 Bid-YTW : 5.06 % |
| BAM.PF.H | FixedReset | 54,415 | Nesbitt crossed 25,000 at 24.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 23.04 Evaluated at bid price : 24.65 Bid-YTW : 4.99 % |
| NA.PR.S | FixedReset | 53,016 | Nesbitt crossed 29,000 at 16.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-14 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 5.03 % |
| There were 82 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BIP.PR.B | FixedReset | Quote: 22.40 – 23.40 Spot Rate : 1.0000 Average : 0.5767 YTW SCENARIO |
| W.PR.J | Perpetual-Discount | Quote: 22.16 – 23.08 Spot Rate : 0.9200 Average : 0.5539 YTW SCENARIO |
| W.PR.H | Perpetual-Discount | Quote: 22.00 – 22.80 Spot Rate : 0.8000 Average : 0.4906 YTW SCENARIO |
| BMO.PR.S | FixedReset | Quote: 16.77 – 17.30 Spot Rate : 0.5300 Average : 0.3183 YTW SCENARIO |
| CIU.PR.C | FixedReset | Quote: 13.00 – 13.79 Spot Rate : 0.7900 Average : 0.5804 YTW SCENARIO |
| CM.PR.Q | FixedReset | Quote: 17.81 – 18.46 Spot Rate : 0.6500 Average : 0.4432 YTW SCENARIO |
So, what’s with the latest reset dive? I would figure those resetting in 3-5 years from now would be valued higher, not lower, since the Fed seems intent on raising rates slowly.
I’m intrigued to read a reply to the last post here too !
thanks in advance.
Combination of the slide in CGB 5 year yields, tax-loss selling, and credit spreads widening in my view.
there is no need for an explanation. irrational markets behave irrationally at times. view it as an opportunity.
So, what’s with the latest reset dive?
I don’t have a really good answer for that, even after being too busy to respond for a few days!
I will note that the market is up smartly [maybe a little under 5%] from the December 14 low.
All I can really say is that we have selling pressure from tax-loss sellers and those who have had it up to HERE with holding an investment that’s been steadily going down for a year now, periodically offset by sharp buying pressure [mid-October, mid-December] when a big player decides they have become so cheap that they have to pull the trigger.
Combination of the slide in CGB 5 year yields, tax-loss selling, and credit spreads widening
A reasonable enough guess! If I am right in my identification of who is buying and who is selling, then I suggest bond yields and credit spreads are affecting the buyers [delaying their purchases, lowering their target buy price] while tax-loss selling is motivating the sellers [who may have been hanging on for a month or so, hoping for a rally to sell into that never comes].
there is no need for an explanation. irrational markets behave irrationally at times. view it as an opportunity.
I’ll go with that. Trying to determine why a market is behaving as it is is a market-timer’s game; what’s important is setting buy-hold-sell targets at levels that make sense according to your own fundamental analysis and portfolio requirements.