{"id":27839,"date":"2015-02-13T20:57:12","date_gmt":"2015-02-14T01:57:12","guid":{"rendered":"http:\/\/prefblog.com\/?p=27839"},"modified":"2015-02-13T20:57:12","modified_gmt":"2015-02-14T01:57:12","slug":"february-13-2015","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=27839","title":{"rendered":"February 13, 2015"},"content":{"rendered":"

Nothing happened today.<\/p>\n

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 5bp, FixedResets off 1bp and DeemedRetractibles down 6bp. The Performance Highlights table is shorter than it has been of late, but still much lengthier than prior norms. Volume was very low.<\/p>\n

For as long as the FixedReset market is so violently unsettled, I\u2019ll keep publishing updates of the more interesting and meaningful series of FixedResets\u2019 Implied Volatilities. This doesn\u2019t 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.<\/p>\n

Remember that all rich \/cheap assessments are:
\n\u00bb based on Implied Volatility Theory only
\n\u00bb are relative only to other FixedResets from the same issuer
\n\u00bb assume constant GOC-5 yield
\n\u00bb assume constant Implied Volatility
\n\u00bb assume constant spread<\/p>\n

Here\u2019s TRP:<\/p>\n

\"impVol_TRP_150213\"<\/a>
Click for Big<\/i><\/div>\n

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.90 to be $1.13 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is bid at 16.77 to be $0.75 cheap.<\/p>\n

\"impVol_MFC_150213\"<\/a>
Click for Big<\/i><\/div>\n

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).<\/p>\n

Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 24.55 to be $0.49 rich, while MFC.PR.H, resetting at +313 on 2017-3-19 is bid at 26.16 to be $0.36 cheap.<\/p>\n

\"impVol_BAM_150213\"<\/a>
Click for Big<\/i><\/div>\n

The fit on this series is actually quite reasonable – it’s the scale that makes it look so weird.<\/p>\n

The cheapest issue relative to its peers is BAM.PR.X, resetting at +180bp on 2017-6-30, bid at 18.02 to be $0.64 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 24.76 and appears to be $0.87 rich.<\/p>\n

\"impVol_FTS_150213\"<\/a>
Click for Big<\/i><\/div>\n

This is just weird because the middle is expensive and the ends are cheap but anyway \u2026 FTS.PR.H, with a spread of +145bp, and bid at 16.70, looks $1.05 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.61 and is $1.08 rich.<\/p>\n

\"pairs_FR_150213\"<\/a>
Click for Big<\/i><\/div>\n

All the break-even rates are scattered around negative 10bp \u2013 the market has started believing the deflation story again!<\/p>\n

On the other hand, the market\u2019s distaste for product linked to Money Market rates does not extend to prime, as shown by the FixedFloater\/RatchetRate pairs:<\/p>\n

\"pairs_FF_150213\"<\/a>
Click for Big<\/i><\/div>\n

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.7079 %<\/td>\n2,210.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.36 %<\/td>\n3.52 %<\/td>\n20,442<\/td>\n18.38<\/td>\n1<\/td>\n-0.5936 %<\/td>\n4,050.3<\/td>\n<\/tr>\n
Floater<\/td>\n3.26 %<\/td>\n3.47 %<\/td>\n64,713<\/td>\n18.54<\/td>\n4<\/td>\n0.7079 %<\/td>\n2,349.9<\/td>\n<\/tr>\n
OpRet<\/td>\n4.04 %<\/td>\n1.90 %<\/td>\n97,536<\/td>\n0.34<\/td>\n1<\/td>\n-0.1182 %<\/td>\n2,754.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.26 %<\/td>\n4.06 %<\/td>\n28,941<\/td>\n3.55<\/td>\n5<\/td>\n-0.0158 %<\/td>\n3,204.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1182 %<\/td>\n2,518.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.32 %<\/td>\n-6.28 %<\/td>\n56,673<\/td>\n0.08<\/td>\n24<\/td>\n0.0424 %<\/td>\n2,518.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.95 %<\/td>\n4.81 %<\/td>\n123,845<\/td>\n15.27<\/td>\n10<\/td>\n0.0543 %<\/td>\n2,795.2<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.37 %<\/td>\n3.35 %<\/td>\n199,563<\/td>\n17.12<\/td>\n79<\/td>\n-0.0135 %<\/td>\n2,448.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.91 %<\/td>\n-0.48 %<\/td>\n108,374<\/td>\n0.13<\/td>\n39<\/td>\n-0.0635 %<\/td>\n2,649.4<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.45 %<\/td>\n2.87 %<\/td>\n82,658<\/td>\n6.42<\/td>\n7<\/td>\n0.2663 %<\/td>\n2,316.7<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n-1.93 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.75
\nBid-YTW : 6.23 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n-1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-13
\nMaturity Price : 14.85
\nEvaluated at bid price : 14.85
\nBid-YTW : 3.47 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n-1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-13
\nMaturity Price : 16.77
\nEvaluated at bid price : 16.77
\nBid-YTW : 3.53 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset<\/td>\n-1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.25
\nBid-YTW : 4.98 %<\/td>\n<\/tr>\n
ENB.PR.F<\/td>\nFixedReset<\/td>\n-1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-13
\nMaturity Price : 20.50
\nEvaluated at bid price : 20.50
\nBid-YTW : 4.12 %<\/td>\n<\/tr>\n
FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-12-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.19
\nBid-YTW : 3.65 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 5.17 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-13
\nMaturity Price : 21.55
\nEvaluated at bid price : 21.92
\nBid-YTW : 3.65 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.80
\nBid-YTW : 3.65 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-13
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 2.77 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset<\/td>\n80,250<\/td>\nTD crossed 50,000 at 24.85. National bought 10,000 from Desjardins at 24.89.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-13
\nMaturity Price : 23.11
\nEvaluated at bid price : 24.85
\nBid-YTW : 3.08 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n78,673<\/td>\nTD crossed 40,000 at 17.82.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.75
\nBid-YTW : 6.23 %<\/td>\n<\/tr>\n
RY.PR.C<\/td>\nDeemed-Retractible<\/td>\n69,642<\/td>\nDesjardins crossed two blocks of 34,500 each, both at 25.45.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-03-15
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.45
\nBid-YTW : -6.61 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset<\/td>\n49,550<\/td>\nRBC crossed 46,700 at 24.83.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.80
\nBid-YTW : 3.65 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset<\/td>\n38,140<\/td>\nTD crossed 10,400 at 20.50.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.25
\nBid-YTW : 4.98 %<\/td>\n<\/tr>\n
CM.PR.O<\/td>\nFixedReset<\/td>\n37,460<\/td>\nTD crossed 20,000 at 24.90.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-13
\nMaturity Price : 23.17
\nEvaluated at bid price : 24.91
\nBid-YTW : 3.12 %<\/td>\n<\/tr>\n
There were 19 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\nQuote: 18.00 – 18.99
\nSpot Rate : 0.9900
\nAverage : 0.6168<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-13
\nMaturity Price : 18.00
\nEvaluated at bid price : 18.00
\nBid-YTW : 2.77 %<\/td>\n<\/tr>\n

PVS.PR.C<\/td>\nSplitShare<\/td>\nQuote: 25.76 – 26.50
\nSpot Rate : 0.7400
\nAverage : 0.5096<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.76
\nBid-YTW : 4.06 %<\/td>\n<\/tr>\n

GWO.PR.P<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.45 – 26.90
\nSpot Rate : 0.4500
\nAverage : 0.2725<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-03-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.45
\nBid-YTW : 4.46 %<\/td>\n<\/tr>\n

MFC.PR.I<\/td>\nFixedReset<\/td>\nQuote: 25.86 – 26.25
\nSpot Rate : 0.3900
\nAverage : 0.2692<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-09-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.86
\nBid-YTW : 3.30 %<\/td>\n<\/tr>\n

MFC.PR.K<\/td>\nFixedReset<\/td>\nQuote: 24.00 – 24.40
\nSpot Rate : 0.4000
\nAverage : 0.2901<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.00
\nBid-YTW : 3.85 %<\/td>\n<\/tr>\n

MFC.PR.F<\/td>\nFixedReset<\/td>\nQuote: 20.25 – 20.55
\nSpot Rate : 0.3000
\nAverage : 0.2083<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.25
\nBid-YTW : 4.98 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today. It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 5bp, FixedResets off 1bp and DeemedRetractibles down 6bp. The Performance Highlights table is shorter than it has been …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-27839","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/27839","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=27839"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/27839\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=27839"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=27839"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=27839"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}