{"id":27908,"date":"2015-02-21T04:22:19","date_gmt":"2015-02-21T09:22:19","guid":{"rendered":"http:\/\/prefblog.com\/?p=27908"},"modified":"2015-02-21T04:22:19","modified_gmt":"2015-02-21T09:22:19","slug":"february-20-2015","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=27908","title":{"rendered":"February 20, 2015"},"content":{"rendered":"

Nothing happened today.<\/p>\n

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 7bp, FixedResets off 31bp and DeemedRetractibles gaining 3bp. The Performance Highlights table is its usual lengthy self, with Enbridge FixedResets prominent on the downside and Floaters, of all things, prominent winners. Volume was below average, but Enbridge issues were again prominent.<\/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_150220\"<\/a>
Click for Big<\/i><\/div>\n

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.52 to be $0.91 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is bid at 16.68 to be $0.66 cheap.<\/p>\n

\"impVol_MFC_150220\"<\/a>
Click for Big<\/i><\/div>\n

Another excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum, although it declined substantially today. 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.N, resetting at +230 on 2020-3-19, bid at 24.30 to be $0.35 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 26.15 to be $0.52 cheap.<\/p>\n

\"impVol_BAM_150220\"<\/a>
Click for Big<\/i><\/div>\n

The fit on this series is actually quite reasonable \u2013 it\u2019s 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 17.84 to be $0.54 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 24.80 and appears to be $1.15 rich.<\/p>\n

\"impVol_FTS_150220\"<\/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 $0.98 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.62 and is $1.05 rich.<\/p>\n

\"pairs_FR_150220\"<\/a>
Click for Big<\/i><\/div>\n

Most of the investment grade break-even rates are scattered around negative 10bp, but the BNS.PR.P\/BNS.PR.A pair is an outlier at +36bp.<\/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_150220\"<\/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>\n3.4764 %<\/td>\n2,387.9<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.37 %<\/td>\n3.52 %<\/td>\n18,801<\/td>\n18.38<\/td>\n1<\/td>\n0.0000 %<\/td>\n4,046.5<\/td>\n<\/tr>\n
Floater<\/td>\n3.02 %<\/td>\n3.18 %<\/td>\n66,011<\/td>\n19.23<\/td>\n4<\/td>\n3.4764 %<\/td>\n2,538.5<\/td>\n<\/tr>\n
OpRet<\/td>\n4.04 %<\/td>\n1.40 %<\/td>\n105,616<\/td>\n0.32<\/td>\n1<\/td>\n0.2368 %<\/td>\n2,759.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.27 %<\/td>\n3.95 %<\/td>\n26,845<\/td>\n3.57<\/td>\n5<\/td>\n-0.1414 %<\/td>\n3,218.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2368 %<\/td>\n2,523.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.33 %<\/td>\n1.98 %<\/td>\n58,737<\/td>\n0.08<\/td>\n24<\/td>\n0.0131 %<\/td>\n2,513.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.95 %<\/td>\n4.81 %<\/td>\n115,417<\/td>\n15.24<\/td>\n10<\/td>\n0.0668 %<\/td>\n2,795.8<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.41 %<\/td>\n3.37 %<\/td>\n201,576<\/td>\n16.93<\/td>\n79<\/td>\n-0.3054 %<\/td>\n2,427.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.90 %<\/td>\n0.10 %<\/td>\n105,779<\/td>\n0.10<\/td>\n39<\/td>\n0.0262 %<\/td>\n2,651.2<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.44 %<\/td>\n2.88 %<\/td>\n86,516<\/td>\n6.40<\/td>\n7<\/td>\n0.3151 %<\/td>\n2,323.1<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\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
ENB.PR.F<\/td>\nFixedReset<\/td>\n-2.77 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 19.65
\nEvaluated at bid price : 19.65
\nBid-YTW : 4.30 %<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset<\/td>\n-2.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 22.73
\nEvaluated at bid price : 23.75
\nBid-YTW : 3.69 %<\/td>\n<\/tr>\n
ENB.PR.J<\/td>\nFixedReset<\/td>\n-2.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 21.53
\nEvaluated at bid price : 21.80
\nBid-YTW : 4.03 %<\/td>\n<\/tr>\n
ENB.PR.T<\/td>\nFixedReset<\/td>\n-2.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 20.51
\nEvaluated at bid price : 20.51
\nBid-YTW : 4.16 %<\/td>\n<\/tr>\n
ENB.PR.P<\/td>\nFixedReset<\/td>\n-2.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 20.69
\nEvaluated at bid price : 20.69
\nBid-YTW : 4.11 %<\/td>\n<\/tr>\n
ENB.PR.N<\/td>\nFixedReset<\/td>\n-2.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 21.16
\nEvaluated at bid price : 21.16
\nBid-YTW : 4.15 %<\/td>\n<\/tr>\n
ENB.PR.D<\/td>\nFixedReset<\/td>\n-1.92 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 18.86
\nEvaluated at bid price : 18.86
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n
ENB.PR.B<\/td>\nFixedReset<\/td>\n-1.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 18.80
\nEvaluated at bid price : 18.80
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n-1.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 23.12
\nEvaluated at bid price : 24.05
\nBid-YTW : 3.28 %<\/td>\n<\/tr>\n
ENB.PR.Y<\/td>\nFixedReset<\/td>\n-1.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 19.75
\nEvaluated at bid price : 19.75
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n
ENB.PR.H<\/td>\nFixedReset<\/td>\n-1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 18.22
\nEvaluated at bid price : 18.22
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n
PVS.PR.C<\/td>\nSplitShare<\/td>\n-1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.55
\nBid-YTW : 3.95 %<\/td>\n<\/tr>\n
BAM.PR.Z<\/td>\nFixedReset<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 23.54
\nEvaluated at bid price : 25.41
\nBid-YTW : 3.70 %<\/td>\n<\/tr>\n
BMO.PR.R<\/td>\nFloatingReset<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.80
\nBid-YTW : 2.85 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 14.75
\nEvaluated at bid price : 14.75
\nBid-YTW : 3.50 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n2.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 19.96
\nEvaluated at bid price : 19.96
\nBid-YTW : 3.54 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n4.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 15.50
\nEvaluated at bid price : 15.50
\nBid-YTW : 3.25 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n4.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 15.82
\nEvaluated at bid price : 15.82
\nBid-YTW : 3.18 %<\/td>\n<\/tr>\n
BAM.PR.C<\/td>\nFloater<\/td>\n5.69 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 15.80
\nEvaluated at bid price : 15.80
\nBid-YTW : 3.18 %<\/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
ENB.PR.D<\/td>\nFixedReset<\/td>\n253,441<\/td>\nRBC crossed 218,000 at 18.95.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 18.86
\nEvaluated at bid price : 18.86
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n
ENB.PR.B<\/td>\nFixedReset<\/td>\n198,930<\/td>\nRBC crossed 10,000 at 19.00, another 10,000 at 18.91 and finally 139,800 at 18.85.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 18.80
\nEvaluated at bid price : 18.80
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset<\/td>\n98,455<\/td>\nTD crossed 14,900 at 24.83 and 50,000 at 24.85.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 23.09
\nEvaluated at bid price : 24.78
\nBid-YTW : 3.10 %<\/td>\n<\/tr>\n
RY.PR.L<\/td>\nFixedReset<\/td>\n82,883<\/td>\nScotia crossed blocks of 31,400 and 50,000, both at 26.14.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.14
\nBid-YTW : 3.05 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset<\/td>\n82,001<\/td>\nRBC crossed 65,500 at 25.05.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 23.24
\nEvaluated at bid price : 25.06
\nBid-YTW : 3.00 %<\/td>\n<\/tr>\n
ENB.PR.H<\/td>\nFixedReset<\/td>\n52,770<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 18.22
\nEvaluated at bid price : 18.22
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n
There were 25 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
BAM.PR.K<\/td>\nFloater<\/td>\nQuote: 15.50 – 16.80
\nSpot Rate : 1.3000
\nAverage : 0.7751<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 15.50
\nEvaluated at bid price : 15.50
\nBid-YTW : 3.25 %<\/td>\n<\/tr>\n

ENB.PR.T<\/td>\nFixedReset<\/td>\nQuote: 20.51 – 21.05
\nSpot Rate : 0.5400
\nAverage : 0.3423<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 20.51
\nEvaluated at bid price : 20.51
\nBid-YTW : 4.16 %<\/td>\n<\/tr>\n

PWF.PR.T<\/td>\nFixedReset<\/td>\nQuote: 25.36 – 25.84
\nSpot Rate : 0.4800
\nAverage : 0.3208<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 23.37
\nEvaluated at bid price : 25.36
\nBid-YTW : 3.12 %<\/td>\n<\/tr>\n

BAM.PR.B<\/td>\nFloater<\/td>\nQuote: 15.82 – 16.20
\nSpot Rate : 0.3800
\nAverage : 0.2304<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-02-20
\nMaturity Price : 15.82
\nEvaluated at bid price : 15.82
\nBid-YTW : 3.18 %<\/td>\n<\/tr>\n

RY.PR.E<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.41 – 25.87
\nSpot Rate : 0.4600
\nAverage : 0.3382<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-03-26
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.41
\nBid-YTW : -2.84 %<\/td>\n<\/tr>\n

MFC.PR.K<\/td>\nFixedReset<\/td>\nQuote: 24.10 – 24.50
\nSpot Rate : 0.4000
\nAverage : 0.2851<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.10
\nBid-YTW : 3.81 %<\/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 up 7bp, FixedResets off 31bp and DeemedRetractibles gaining 3bp. The Performance Highlights table is its usual lengthy self, with …<\/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-27908","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/27908","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=27908"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/27908\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=27908"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=27908"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=27908"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}