Nothing happened today. But January’s finished with – that’s enough good news for one day!
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 9bp, FixedResets up 41bp and DeemedRetractibles off 16bp. The Performance Highlights table is published (I’ve run out of things to say over the past year!). 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 17.06 to be $0.87 rich, while TRP.PR.C, resetting 2021-1-30 at +154, is $0.80 cheap at its bid price of 11.15.
Click for Big
Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 17.79 to be 1.01 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.80 to be 1.18 cheap.
Click for Big
The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.56 to be $1.76 cheap. BAM.PF.F, resetting at +286bp on 2019-9-30 is bid at 19.09 and appears to be $0.87 rich.
Click for Big
FTS.PR.M, with a spread of +248bp, and bid at 18.26, looks $0.36 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 15.75 and is $0.68 cheap.
Click for Big
Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.24%, with one outlier below -2.00%. 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 | 5.30 % | 6.43 % | 18,358 | 16.16 | 1 | -0.0781 % | 1,473.5 |
| FixedFloater | 7.54 % | 6.59 % | 27,452 | 15.71 | 1 | 0.0794 % | 2,636.9 |
| Floater | 4.65 % | 4.77 % | 70,336 | 15.89 | 4 | -0.1229 % | 1,647.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1252 % | 2,700.6 |
| SplitShare | 4.89 % | 6.38 % | 80,844 | 2.71 | 6 | 0.1252 % | 3,160.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1252 % | 2,465.7 |
| Perpetual-Premium | 5.87 % | 5.87 % | 81,661 | 14.00 | 6 | 0.0334 % | 2,514.1 |
| Perpetual-Discount | 5.79 % | 5.85 % | 100,080 | 14.09 | 33 | 0.0877 % | 2,488.2 |
| FixedReset | 5.49 % | 4.93 % | 233,222 | 14.35 | 83 | 0.4073 % | 1,849.1 |
| Deemed-Retractible | 5.26 % | 5.61 % | 132,652 | 5.23 | 34 | -0.1624 % | 2,566.9 |
| FloatingReset | 3.12 % | 4.69 % | 57,344 | 5.57 | 15 | -1.1631 % | 1,992.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.A | FixedReset | -2.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 8.70 Evaluated at bid price : 8.70 Bid-YTW : 7.04 % |
| GWO.PR.O | FloatingReset | -2.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.01 Bid-YTW : 12.22 % |
| BAM.PR.R | FixedReset | -2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 13.56 Evaluated at bid price : 13.56 Bid-YTW : 5.65 % |
| FTS.PR.I | FloatingReset | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 10.49 Evaluated at bid price : 10.49 Bid-YTW : 4.59 % |
| TD.PF.E | FixedReset | -1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 19.39 Evaluated at bid price : 19.39 Bid-YTW : 4.65 % |
| FTS.PR.G | FixedReset | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 4.79 % |
| TRP.PR.D | FixedReset | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 4.99 % |
| TRP.PR.E | FixedReset | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 17.06 Evaluated at bid price : 17.06 Bid-YTW : 4.84 % |
| BAM.PF.E | FixedReset | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 17.46 Evaluated at bid price : 17.46 Bid-YTW : 5.08 % |
| SLF.PR.E | Deemed-Retractible | -1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.60 Bid-YTW : 7.30 % |
| TRP.PR.F | FloatingReset | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 11.57 Evaluated at bid price : 11.57 Bid-YTW : 5.18 % |
| HSE.PR.E | FixedReset | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 15.12 Evaluated at bid price : 15.12 Bid-YTW : 7.26 % |
| BAM.PF.D | Perpetual-Discount | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 19.53 Evaluated at bid price : 19.53 Bid-YTW : 6.36 % |
| SLF.PR.C | Deemed-Retractible | -1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.58 Bid-YTW : 7.26 % |
| CIU.PR.C | FixedReset | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 10.68 Evaluated at bid price : 10.68 Bid-YTW : 4.93 % |
| MFC.PR.I | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.45 Bid-YTW : 7.98 % |
| MFC.PR.M | FixedReset | 1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.00 Bid-YTW : 8.00 % |
| BMO.PR.M | FixedReset | 1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.77 Bid-YTW : 3.69 % |
| BNS.PR.Q | FixedReset | 1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 3.93 % |
| MFC.PR.K | FixedReset | 1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.54 Bid-YTW : 8.86 % |
| BMO.PR.Z | Perpetual-Discount | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 22.64 Evaluated at bid price : 23.00 Bid-YTW : 5.43 % |
| FTS.PR.M | FixedReset | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 4.68 % |
| BNS.PR.R | FixedReset | 1.48 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.95 Bid-YTW : 4.04 % |
| SLF.PR.I | FixedReset | 1.53 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.26 Bid-YTW : 8.61 % |
| BAM.PF.F | FixedReset | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 19.09 Evaluated at bid price : 19.09 Bid-YTW : 4.95 % |
| RY.PR.K | FloatingReset | 1.64 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.75 Bid-YTW : 4.82 % |
| BNS.PR.B | FloatingReset | 1.65 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.51 Bid-YTW : 4.79 % |
| TRP.PR.H | FloatingReset | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 9.20 Evaluated at bid price : 9.20 Bid-YTW : 4.75 % |
| BNS.PR.A | FloatingReset | 1.84 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.75 Bid-YTW : 4.13 % |
| IFC.PR.C | FixedReset | 1.84 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.60 Bid-YTW : 9.03 % |
| RY.PR.I | FixedReset | 1.91 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 3.81 % |
| GWO.PR.N | FixedReset | 1.91 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.25 Bid-YTW : 11.37 % |
| MFC.PR.L | FixedReset | 2.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.95 Bid-YTW : 8.64 % |
| IFC.PR.A | FixedReset | 2.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.51 Bid-YTW : 10.21 % |
| BIP.PR.B | FixedReset | 2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 22.57 Evaluated at bid price : 23.55 Bid-YTW : 5.89 % |
| IAG.PR.A | Deemed-Retractible | 2.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.90 Bid-YTW : 7.21 % |
| BNS.PR.P | FixedReset | 2.42 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 3.62 % |
| FTS.PR.H | FixedReset | 2.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 13.20 Evaluated at bid price : 13.20 Bid-YTW : 4.26 % |
| PWF.PR.S | Perpetual-Discount | 2.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.76 % |
| MFC.PR.J | FixedReset | 3.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.80 Bid-YTW : 8.19 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.B | FixedReset | 118,733 | Nesbitt crossed blocks of 40,000 and 70,000, both at 17.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 17.38 Evaluated at bid price : 17.38 Bid-YTW : 4.50 % |
| NA.PR.X | FixedReset | 98,953 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 23.13 Evaluated at bid price : 24.96 Bid-YTW : 5.55 % |
| RY.PR.Q | FixedReset | 65,296 | RBC crossed 25,000 at 25.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 23.34 Evaluated at bid price : 25.66 Bid-YTW : 5.10 % |
| BNS.PR.E | FixedReset | 48,206 | RBC crossed 25,000 at 25.70. Desjardins crossed 10,000 at 25.72. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 5.07 % |
| BMO.PR.W | FixedReset | 37,655 | Scotia crossed 25,300 at 16.86. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 16.91 Evaluated at bid price : 16.91 Bid-YTW : 4.56 % |
| BMO.PR.T | FixedReset | 30,823 | Desjardins crossed 20,000 at 17.16. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-01 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 4.56 % |
| There were 11 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.O | FloatingReset | Quote: 11.01 – 12.50 Spot Rate : 1.4900 Average : 1.1889 YTW SCENARIO |
| RY.PR.K | FloatingReset | Quote: 21.75 – 22.58 Spot Rate : 0.8300 Average : 0.5717 YTW SCENARIO |
| GWO.PR.N | FixedReset | Quote: 12.25 – 12.90 Spot Rate : 0.6500 Average : 0.4547 YTW SCENARIO |
| TD.PF.E | FixedReset | Quote: 19.39 – 19.99 Spot Rate : 0.6000 Average : 0.4256 YTW SCENARIO |
| FTS.PR.K | FixedReset | Quote: 16.15 – 16.59 Spot Rate : 0.4400 Average : 0.2784 YTW SCENARIO |
| MFC.PR.J | FixedReset | Quote: 17.80 – 18.31 Spot Rate : 0.5100 Average : 0.3650 YTW SCENARIO |