Nothing happened today.
The last day of tax-loss selling season was mixed for the Canadian preferred share market, with PerpetualDiscounts off 5bp, FixedResets gaining 22bp and DeemedRetractibles down 11bp. A lot of churn is still revealed by the Performance Highlights table. Volume was, somewhat surprisingly, above average even though the trading day was foreshortened due to the desire of the most highly paid professionals on earth to get away early.
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 18.50 to be $0.97 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.03 cheap at its bid price of 12.20.
Click for Big
Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 19.50 to be 0.47 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 21.63 to be 0.52 cheap.
Click for Big
The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.00 to be $1.54 cheap. BAM.PF.F, resetting at +286bp on 2019-9-30 is bid at 21.72 and appears to be $1.04 rich.
Click for Big
FTS.PR.K, with a spread of +205bp, and bid at 18.11, looks $0.50 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.20 and is $0.86 cheap.
Click for Big
Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.45%, with one outlier above -0.50%. There are two junk outliers above -0.50% and one below -2.50%.
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 | 4.89 % | 5.95 % | 33,564 | 16.69 | 1 | -0.7143 % | 1,586.6 |
| FixedFloater | 7.18 % | 6.37 % | 41,170 | 15.78 | 1 | 0.2273 % | 2,717.8 |
| Floater | 4.40 % | 4.61 % | 83,713 | 16.21 | 4 | -0.8776 % | 1,735.4 |
| OpRet | 4.86 % | 4.18 % | 26,414 | 0.67 | 1 | 0.0000 % | 2,738.6 |
| SplitShare | 4.84 % | 5.94 % | 84,686 | 1.86 | 6 | -0.2694 % | 3,192.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2694 % | 2,491.1 |
| Perpetual-Premium | 5.83 % | 5.80 % | 94,481 | 13.90 | 7 | -0.1713 % | 2,496.8 |
| Perpetual-Discount | 5.74 % | 5.79 % | 106,793 | 14.18 | 33 | -0.0537 % | 2,499.8 |
| FixedReset | 5.13 % | 4.48 % | 274,689 | 14.73 | 81 | 0.2177 % | 2,016.3 |
| Deemed-Retractible | 5.21 % | 4.81 % | 135,489 | 5.29 | 33 | -0.1081 % | 2,572.2 |
| FloatingReset | 2.81 % | 4.18 % | 69,695 | 5.65 | 11 | -0.5551 % | 2,111.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.D | FixedReset | -3.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 4.71 % |
| BNS.PR.B | FloatingReset | -3.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.70 Bid-YTW : 4.65 % |
| HSE.PR.G | FixedReset | -2.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 5.98 % |
| RY.PR.M | FixedReset | -2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 19.17 Evaluated at bid price : 19.17 Bid-YTW : 4.49 % |
| BAM.PR.B | Floater | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 10.20 Evaluated at bid price : 10.20 Bid-YTW : 4.64 % |
| BNS.PR.D | FloatingReset | -2.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.57 Bid-YTW : 6.65 % |
| PWF.PR.T | FixedReset | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 21.97 Evaluated at bid price : 22.31 Bid-YTW : 3.68 % |
| TD.PR.Y | FixedReset | -2.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.26 Bid-YTW : 3.62 % |
| TD.PR.S | FixedReset | -1.98 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 3.48 % |
| CM.PR.O | FixedReset | -1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.36 % |
| TRP.PR.G | FixedReset | -1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 4.76 % |
| BMO.PR.Y | FixedReset | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 4.38 % |
| FTS.PR.G | FixedReset | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 4.40 % |
| PVS.PR.D | SplitShare | -1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 6.74 % |
| NA.PR.S | FixedReset | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 4.53 % |
| BAM.PF.A | FixedReset | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 4.59 % |
| MFC.PR.M | FixedReset | -1.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 6.46 % |
| BAM.PR.K | Floater | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 10.17 Evaluated at bid price : 10.17 Bid-YTW : 4.65 % |
| GWO.PR.M | Deemed-Retractible | -1.26 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 5.74 % |
| TRP.PR.E | FixedReset | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.55 % |
| MFC.PR.N | FixedReset | -1.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.62 Bid-YTW : 6.65 % |
| FTS.PR.K | FixedReset | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 4.14 % |
| GWO.PR.I | Deemed-Retractible | -1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.47 Bid-YTW : 7.28 % |
| TD.PR.Z | FloatingReset | -1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 4.18 % |
| RY.PR.I | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 3.66 % |
| BNS.PR.C | FloatingReset | -1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 4.60 % |
| BMO.PR.Z | Perpetual-Discount | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 22.74 Evaluated at bid price : 23.11 Bid-YTW : 5.45 % |
| GWO.PR.R | Deemed-Retractible | -1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.26 Bid-YTW : 7.08 % |
| TRP.PR.H | FloatingReset | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 9.90 Evaluated at bid price : 9.90 Bid-YTW : 4.37 % |
| BNS.PR.A | FloatingReset | 1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.92 Bid-YTW : 4.04 % |
| BAM.PR.R | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.81 % |
| CU.PR.I | FixedReset | 1.17 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 3.69 % |
| IFC.PR.C | FixedReset | 1.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.36 Bid-YTW : 6.83 % |
| TD.PF.D | FixedReset | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 20.27 Evaluated at bid price : 20.27 Bid-YTW : 4.42 % |
| SLF.PR.J | FloatingReset | 1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.02 Bid-YTW : 10.01 % |
| VNR.PR.A | FixedReset | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 4.82 % |
| MFC.PR.F | FixedReset | 1.37 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.80 Bid-YTW : 8.89 % |
| BIP.PR.A | FixedReset | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 5.48 % |
| SLF.PR.G | FixedReset | 1.62 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.05 Bid-YTW : 8.63 % |
| TD.PF.E | FixedReset | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 21.36 Evaluated at bid price : 21.65 Bid-YTW : 4.21 % |
| MFC.PR.H | FixedReset | 1.90 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.07 Bid-YTW : 5.06 % |
| BAM.PR.Z | FixedReset | 1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 20.99 Evaluated at bid price : 20.99 Bid-YTW : 4.54 % |
| MFC.PR.K | FixedReset | 1.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.36 Bid-YTW : 6.61 % |
| CU.PR.C | FixedReset | 2.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.12 % |
| SLF.PR.H | FixedReset | 2.37 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.71 Bid-YTW : 7.46 % |
| MFC.PR.L | FixedReset | 2.47 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 6.61 % |
| BAM.PF.F | FixedReset | 3.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 21.40 Evaluated at bid price : 21.72 Bid-YTW : 4.32 % |
| BNS.PR.Z | FixedReset | 3.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.72 Bid-YTW : 5.62 % |
| HSE.PR.A | FixedReset | 3.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 5.14 % |
| GWO.PR.N | FixedReset | 3.60 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.80 Bid-YTW : 9.51 % |
| SLF.PR.I | FixedReset | 5.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.85 Bid-YTW : 5.94 % |
| IAG.PR.G | FixedReset | 5.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.15 Bid-YTW : 5.93 % |
| BAM.PR.X | FixedReset | 6.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 4.34 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.G | FixedReset | 64,200 | RBC crossed 50,000 at 21.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.63 Bid-YTW : 5.66 % |
| TRP.PR.C | FixedReset | 34,558 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 12.20 Evaluated at bid price : 12.20 Bid-YTW : 4.71 % |
| TRP.PR.D | FixedReset | 29,210 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 4.71 % |
| RY.PR.Q | FixedReset | 26,664 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.82 Bid-YTW : 4.86 % |
| TD.PF.B | FixedReset | 25,565 | Scotia crossed 10,000 at 18.72. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 18.61 Evaluated at bid price : 18.61 Bid-YTW : 4.29 % |
| RY.PR.H | FixedReset | 25,197 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-12-24 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 4.25 % |
| There were 37 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.F | FixedReset | Quote: 21.72 – 23.00 Spot Rate : 1.2800 Average : 0.7552 YTW SCENARIO |
| NA.PR.Q | FixedReset | Quote: 25.02 – 25.93 Spot Rate : 0.9100 Average : 0.5755 YTW SCENARIO |
| VNR.PR.A | FixedReset | Quote: 19.10 – 20.00 Spot Rate : 0.9000 Average : 0.5849 YTW SCENARIO |
| BAM.PF.A | FixedReset | Quote: 20.52 – 21.23 Spot Rate : 0.7100 Average : 0.4419 YTW SCENARIO |
| TD.PF.E | FixedReset | Quote: 21.65 – 22.40 Spot Rate : 0.7500 Average : 0.4968 YTW SCENARIO |
| W.PR.K | FixedReset | Quote: 24.40 – 24.95 Spot Rate : 0.5500 Average : 0.3051 YTW SCENARIO |