{"id":28424,"date":"2015-03-28T01:32:32","date_gmt":"2015-03-28T06:32:32","guid":{"rendered":"http:\/\/prefblog.com\/?p=28424"},"modified":"2015-03-28T01:32:32","modified_gmt":"2015-03-28T06:32:32","slug":"march-27-2015","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=28424","title":{"rendered":"March 27, 2015"},"content":{"rendered":"

The new issue of LBS \/ LBS.PR.A was priced today at 19.60<\/a>, compared to its March 26 NAVPU of 18.74<\/a>. Nice work if you can get it! I have updated the post announcing the offering<\/a>.<\/p>\n

Brookfield Renewable Power Preferred Equity Inc., proud issuer of BRF.PR.A, BRF.PR.C, BRF.PR.E and BRF.PR.F, was confirmed at Pfd-3(high) by DBRS<\/a>:<\/p>\n

DBRS Limited (DBRS) has confirmed the Issuer Rating and the rating on the Senior Unsecured Debentures and Notes of Brookfield Renewable Energy Partners L.P. (BREP or the Company) at BBB (high), and the Class A Preference Shares at Pfd-3 (high), all with Stable trends. The rating actions reflect DBRS\u2019s expectation that BREP will continue to prudently finance its growth initiatives to maintain its deconsolidated key credit metrics in line with the current rating. BREP\u2019s ratings reflect its geographic and resource diversification, and highly contracted portfolio with investment-grade counterparties, while also factoring in the inherent renewable resource risk.<\/p><\/blockquote>\n

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 5bp, FixedResets down 23bp and DeemedRetractibles gaining 6bp. The Performance Highlights table was of normal (for the past four months) size and comprised entirely of FixedResets. Volume was average.<\/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_150327\"<\/a>
Click for Big<\/i><\/div>\n

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.41 to be $1.16 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.17 cheap at its bid price of 24.93.<\/p>\n

\"impVol_MFC_150327\"<\/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 24.64 to be $0.53 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.87 to be $0.64 cheap.<\/p>\n

\"impVol_BAM_150327\"<\/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.R, resetting at +230bp on 2016-6-30, bid at 20.95 to be $0.62 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 23.74 and appears to be $0.49 rich.<\/p>\n

\"impVol_FTS_150327\"<\/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 16.30, looks $1.59 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.71 and is $1.08 rich.<\/p>\n

\"pairs_FR_150327\"<\/a>
Click for Big<\/i><\/div>\n

Investment-grade pairs predict an average over the next five years of about 0.20% after a big increase today.TRP.PR.A \/ TRP.PR.F remains an outlier at -0.16%. The DC.PR.B \/ DC.PR.D pair is still off the charts and now predicts an average bill rate over the next 4 3\/4 years of -2.06%.<\/p>\n

\"pairs_FF_150327\"<\/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>\n0.0644 %<\/td>\n2,363.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0644 %<\/td>\n4,131.5<\/td>\n<\/tr>\n
Floater<\/td>\n3.21 %<\/td>\n3.22 %<\/td>\n64,992<\/td>\n19.19<\/td>\n3<\/td>\n0.0644 %<\/td>\n2,512.0<\/td>\n<\/tr>\n
OpRet<\/td>\n4.07 %<\/td>\n1.01 %<\/td>\n110,149<\/td>\n0.23<\/td>\n1<\/td>\n0.1192 %<\/td>\n2,765.8<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.36 %<\/td>\n4.03 %<\/td>\n32,793<\/td>\n3.48<\/td>\n4<\/td>\n0.2102 %<\/td>\n3,213.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1192 %<\/td>\n2,529.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.31 %<\/td>\n2.61 %<\/td>\n58,333<\/td>\n0.09<\/td>\n25<\/td>\n0.0094 %<\/td>\n2,523.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.97 %<\/td>\n4.99 %<\/td>\n158,961<\/td>\n15.21<\/td>\n9<\/td>\n-0.0465 %<\/td>\n2,815.4<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.40 %<\/td>\n3.39 %<\/td>\n235,021<\/td>\n16.75<\/td>\n85<\/td>\n-0.2263 %<\/td>\n2,423.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.89 %<\/td>\n-1.13 %<\/td>\n110,808<\/td>\n0.14<\/td>\n37<\/td>\n0.0629 %<\/td>\n2,662.9<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.42 %<\/td>\n2.78 %<\/td>\n80,666<\/td>\n6.30<\/td>\n8<\/td>\n0.2229 %<\/td>\n2,356.7<\/td>\n<\/tr>\n<\/table>\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
BAM.PF.E<\/td>\nFixedReset<\/td>\n-2.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-03-27
\nMaturity Price : 22.66
\nEvaluated at bid price : 23.74
\nBid-YTW : 3.66 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n-2.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-03-27
\nMaturity Price : 16.64
\nEvaluated at bid price : 16.64
\nBid-YTW : 3.49 %<\/td>\n<\/tr>\n
ENB.PR.H<\/td>\nFixedReset<\/td>\n-1.89 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-03-27
\nMaturity Price : 18.20
\nEvaluated at bid price : 18.20
\nBid-YTW : 4.23 %<\/td>\n<\/tr>\n
ENB.PR.F<\/td>\nFixedReset<\/td>\n-1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-03-27
\nMaturity Price : 19.50
\nEvaluated at bid price : 19.50
\nBid-YTW : 4.35 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset<\/td>\n-1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.65
\nBid-YTW : 3.69 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-03-27
\nMaturity Price : 20.95
\nEvaluated at bid price : 20.95
\nBid-YTW : 3.79 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset<\/td>\n-1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-09-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.77
\nBid-YTW : 3.15 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-03-27
\nMaturity Price : 23.37
\nEvaluated at bid price : 24.56
\nBid-YTW : 3.19 %<\/td>\n<\/tr>\n
CIU.PR.C<\/td>\nFixedReset<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-03-27
\nMaturity Price : 17.70
\nEvaluated at bid price : 17.70
\nBid-YTW : 3.09 %<\/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
MFC.PR.N<\/td>\nFixedReset<\/td>\n93,275<\/td>\nDesjardins crossed 26,800 at 24.64. Scotia crossed 40,000 at the same price and bought 15,100 from RBC at 24.60.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.64
\nBid-YTW : 3.64 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset<\/td>\n76,905<\/td>\nNesbitt crossed 66,900 at 24.10.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-03-27
\nMaturity Price : 22.80
\nEvaluated at bid price : 23.90
\nBid-YTW : 3.33 %<\/td>\n<\/tr>\n
BNS.PR.Y<\/td>\nFixedReset<\/td>\n63,080<\/td>\nRBC crossed 40,300 at 22.16.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.17
\nBid-YTW : 3.66 %<\/td>\n<\/tr>\n
RY.PR.D<\/td>\nDeemed-Retractible<\/td>\n50,650<\/td>\nNesbitt crossed 50,000 at 25.59.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-04-26
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.53
\nBid-YTW : -4.35 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset<\/td>\n42,220<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-03-27
\nMaturity Price : 23.15
\nEvaluated at bid price : 25.01
\nBid-YTW : 3.39 %<\/td>\n<\/tr>\n
TRP.PR.E<\/td>\nFixedReset<\/td>\n40,392<\/td>\nDesjardins crossed 25,000 at 24.60.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-03-27
\nMaturity Price : 22.98
\nEvaluated at bid price : 24.41
\nBid-YTW : 3.28 %<\/td>\n<\/tr>\n
There were 31 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
TRP.PR.F<\/td>\nFloatingReset<\/td>\nQuote: 19.35 – 22.00
\nSpot Rate : 2.6500
\nAverage : 1.4486<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-03-27
\nMaturity Price : 19.35
\nEvaluated at bid price : 19.35
\nBid-YTW : 3.10 %<\/td>\n<\/tr>\n

BAM.PF.E<\/td>\nFixedReset<\/td>\nQuote: 23.74 – 24.35
\nSpot Rate : 0.6100
\nAverage : 0.3693<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-03-27
\nMaturity Price : 22.66
\nEvaluated at bid price : 23.74
\nBid-YTW : 3.66 %<\/td>\n<\/tr>\n

CGI.PR.D<\/td>\nSplitShare<\/td>\nQuote: 25.30 – 26.10
\nSpot Rate : 0.8000
\nAverage : 0.6403<\/p>\n

YTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2023-06-14
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.30
\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n

SLF.PR.I<\/td>\nFixedReset<\/td>\nQuote: 25.36 – 25.74
\nSpot Rate : 0.3800
\nAverage : 0.2607<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.36
\nBid-YTW : 3.38 %<\/td>\n<\/tr>\n

ENB.PR.F<\/td>\nFixedReset<\/td>\nQuote: 19.50 – 19.89
\nSpot Rate : 0.3900
\nAverage : 0.2729<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-03-27
\nMaturity Price : 19.50
\nEvaluated at bid price : 19.50
\nBid-YTW : 4.35 %<\/td>\n<\/tr>\n

RY.PR.K<\/td>\nFloatingReset<\/td>\nQuote: 24.17 – 24.45
\nSpot Rate : 0.2800
\nAverage : 0.1800<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.17
\nBid-YTW : 2.93 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

The new issue of LBS \/ LBS.PR.A was priced today at 19.60, compared to its March 26 NAVPU of 18.74. Nice work if you can get it! I have updated the post announcing the offering. …<\/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-28424","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/28424","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=28424"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/28424\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=28424"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=28424"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=28424"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}