Nothing happened today.
Wait, I’m wrong. China is drafting a Tobin Tax:
China’s central bank has drafted rules for a tax on foreign-exchange transactions that would help curb currency speculation, according to people with knowledge of the matter.
The initial rate of the so-called Tobin tax may be kept at zero to allow authorities time to refine the rules, said the people, who asked not to be identified as the discussions are private. The tax is not designed to disrupt hedging and other foreign-exchange transactions undertaken by companies, they said.
Imposing a levy on foreign-exchange trading would be the most extreme step yet by policy makers to prevent speculative bets against the Chinese currency, after state-run banks repeatedly intervened to support the yuan and the government intensified a crackdown on capital outflows. A Tobin tax would complicate plans by China to create an international reserve currency and could undermine the leadership’s pledge to increase the role of market forces in the world’s second-largest economy.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts down 11bp, FixedResets gaining 10bp and DeemedRetractibles off 7bp. The Performance Highlights table shows highlights of performance. Volume was well below average.
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 17.55 to be $1.38 rich, while TRP.PR.C, resetting 2021-1-30 at +296, is $0.88 cheap at its bid price of 11.22.
Click for Big
Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 16.75 to be 0.82 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.73 to be 1.25 cheap.
Click for Big
The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 14.90 to be $1.72 cheap. BAM.PF.E, resetting at +255 on 2020-3-31 is bid at 17.40 and appears to be $1.12 rich.
Click for Big
FTS.PR.K, with a spread of +205bp, and bid at 15.45 looks $0.64 expensive and resets 2019-3-1. FTS.PR.H, with a spread of +145bp and resetting 2020-6-1, is bid at 11.20 and is $0.49 cheap.
Click for Big
Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.89%, with one outlier below -2.00%. There are three junk outliers 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 | 5.20 % | 6.34 % | 11,989 | 16.26 | 1 | -1.8868 % | 1,505.5 |
| FixedFloater | 7.09 % | 6.23 % | 24,465 | 16.06 | 1 | 0.0000 % | 2,804.3 |
| Floater | 4.61 % | 4.76 % | 68,643 | 15.97 | 4 | -0.1946 % | 1,680.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0352 % | 2,760.4 |
| SplitShare | 4.82 % | 5.67 % | 72,309 | 1.65 | 7 | 0.0352 % | 3,230.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0352 % | 2,520.3 |
| Perpetual-Premium | 5.81 % | 3.93 % | 82,451 | 0.08 | 6 | -0.0198 % | 2,538.9 |
| Perpetual-Discount | 5.71 % | 5.79 % | 96,248 | 14.14 | 33 | -0.1149 % | 2,538.8 |
| FixedReset | 5.53 % | 5.23 % | 197,117 | 14.18 | 87 | 0.0956 % | 1,844.8 |
| Deemed-Retractible | 5.31 % | 5.52 % | 114,690 | 5.11 | 34 | -0.0687 % | 2,562.8 |
| FloatingReset | 3.14 % | 5.14 % | 39,169 | 5.43 | 16 | -0.2248 % | 1,983.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.B | FixedReset | -10.89 % | Nonsensical, as the issue traded a whopping 325 shares today in a range of 16.96-97 before closing at 14.90-16.98 (way to go on the $2 spreads, guys!) 5×1. BAM.PF.B was also ludicrous on March 10, so these guys are doing really well! 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 : 2046-03-14 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 6.02 % |
| TRP.PR.I | FloatingReset | -8.26 % | Even a blind squirrel can sometimes find a nut, and sometimes even quotes from the TSX will bear resemblance to reality! The issue traded 200 shares, all at 10.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 5.09 % |
| MFC.PR.F | FixedReset | -2.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.25 Bid-YTW : 11.60 % |
| BAM.PR.E | Ratchet | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 25.00 Evaluated at bid price : 13.00 Bid-YTW : 6.34 % |
| VNR.PR.A | FixedReset | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 5.55 % |
| BAM.PF.A | FixedReset | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 17.74 Evaluated at bid price : 17.74 Bid-YTW : 5.40 % |
| BNS.PR.F | FloatingReset | -1.67 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.71 Bid-YTW : 8.23 % |
| BNS.PR.D | FloatingReset | -1.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.21 Bid-YTW : 8.27 % |
| GWO.PR.N | FixedReset | -1.52 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.00 Bid-YTW : 10.64 % |
| CIU.PR.C | FixedReset | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 10.59 Evaluated at bid price : 10.59 Bid-YTW : 5.15 % |
| CU.PR.F | Perpetual-Discount | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 5.72 % |
| BNS.PR.Z | FixedReset | -1.43 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.66 Bid-YTW : 7.57 % |
| CU.PR.E | Perpetual-Discount | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.75 % |
| TD.PR.T | FloatingReset | -1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.08 Bid-YTW : 5.18 % |
| BAM.PR.T | FixedReset | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 5.51 % |
| BAM.PF.F | FixedReset | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 18.22 Evaluated at bid price : 18.22 Bid-YTW : 5.27 % |
| CU.PR.G | Perpetual-Discount | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 5.72 % |
| CU.PR.D | Perpetual-Discount | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 21.33 Evaluated at bid price : 21.60 Bid-YTW : 5.71 % |
| TD.PR.S | FixedReset | -1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.27 Bid-YTW : 4.25 % |
| BNS.PR.P | FixedReset | 1.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.14 Bid-YTW : 3.79 % |
| CM.PR.Q | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 18.76 Evaluated at bid price : 18.76 Bid-YTW : 4.85 % |
| TRP.PR.C | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 11.22 Evaluated at bid price : 11.22 Bid-YTW : 5.24 % |
| BNS.PR.C | FloatingReset | 1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.47 Bid-YTW : 5.14 % |
| BNS.PR.B | FloatingReset | 1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.15 Bid-YTW : 5.23 % |
| CM.PR.O | FixedReset | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.75 % |
| FTS.PR.K | FixedReset | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 15.45 Evaluated at bid price : 15.45 Bid-YTW : 4.96 % |
| CM.PR.P | FixedReset | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.69 % |
| TRP.PR.D | FixedReset | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 5.04 % |
| TRP.PR.E | FixedReset | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 4.87 % |
| BNS.PR.A | FloatingReset | 1.52 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.36 Bid-YTW : 3.74 % |
| BNS.PR.R | FixedReset | 1.66 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.28 Bid-YTW : 4.74 % |
| HSE.PR.A | FixedReset | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 9.39 Evaluated at bid price : 9.39 Bid-YTW : 6.78 % |
| NA.PR.W | FixedReset | 1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 4.99 % |
| TRP.PR.G | FixedReset | 1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 18.24 Evaluated at bid price : 18.24 Bid-YTW : 5.22 % |
| BAM.PR.Z | FixedReset | 1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 17.63 Evaluated at bid price : 17.63 Bid-YTW : 5.50 % |
| NA.PR.S | FixedReset | 2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.91 % |
| BNS.PR.Q | FixedReset | 2.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.98 Bid-YTW : 4.72 % |
| BAM.PR.X | FixedReset | 2.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 13.11 Evaluated at bid price : 13.11 Bid-YTW : 5.23 % |
| SLF.PR.J | FloatingReset | 2.52 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.20 Bid-YTW : 11.08 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.G | FixedReset | 955,584 | New issue settled today. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 5.31 % |
| PWF.PR.O | Perpetual-Premium | 101,800 | Nesbitt crossed 100,000 at 25.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 24.69 Evaluated at bid price : 25.00 Bid-YTW : 5.88 % |
| RY.PR.R | FixedReset | 86,663 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.38 Bid-YTW : 5.23 % |
| TRP.PR.C | FixedReset | 59,200 | TD crossed 49,800 at 11.35. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 11.22 Evaluated at bid price : 11.22 Bid-YTW : 5.24 % |
| PWF.PR.H | Perpetual-Premium | 53,300 | Scotia crossed 50,000 at 25.12. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-14 Maturity Price : 24.84 Evaluated at bid price : 25.07 Bid-YTW : 5.81 % |
| MFC.PR.G | FixedReset | 48,575 | Scotia crossed 35,000 at 17.78. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.73 Bid-YTW : 8.53 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.B | FixedReset | Quote: 14.90 – 16.98 Spot Rate : 2.0800 Average : 1.3764 YTW SCENARIO |
| TRP.PR.I | FloatingReset | Quote: 10.00 – 11.65 Spot Rate : 1.6500 Average : 1.2932 YTW SCENARIO |
| GWO.PR.O | FloatingReset | Quote: 11.51 – 12.95 Spot Rate : 1.4400 Average : 1.1309 YTW SCENARIO |
| BAM.PR.E | Ratchet | Quote: 13.00 – 14.33 Spot Rate : 1.3300 Average : 1.0242 YTW SCENARIO |
| CM.PR.O | FixedReset | Quote: 17.50 – 18.18 Spot Rate : 0.6800 Average : 0.4539 YTW SCENARIO |
| VNR.PR.A | FixedReset | Quote: 16.90 – 17.50 Spot Rate : 0.6000 Average : 0.4105 YTW SCENARIO |