{"id":28586,"date":"2015-04-08T18:34:49","date_gmt":"2015-04-08T23:34:49","guid":{"rendered":"http:\/\/prefblog.com\/?p=28586"},"modified":"2015-04-08T18:34:49","modified_gmt":"2015-04-08T23:34:49","slug":"april-8-2015","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=28586","title":{"rendered":"April 8, 2015"},"content":{"rendered":"

Another day in which nothing happened, including me getting caught up on my responses to comments.<\/p>\n

But I did get a call from a novice investor. His discount brokerage gave him my number and told him that I was the guy who could tell him about the dividend specifications for IGM.PR.B. I’m sure I’ll get my commission cheque shortly.<\/p>\n

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts off 37bp, FixedResets up 4bp and DeemedRetractibles gaining 2bp. The Performance Highlights table is quite lengthy, considering the modest nature of the overall movement. Volume was high.<\/p>\n

PerpetualDiscounts now yield 5.02%, equivalent to 6.53% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield about 3.6% (maybe a little over) so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 290bp, unchanged from the April 1<\/a> report.<\/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_150408\"<\/a>
Click for Big<\/i><\/div>\n

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 23.25 to be $1.00 rich, while TRP.PR.C, resetting 2016-01-30 at +154, is $0.92 cheap at its bid price of 15.67.<\/p>\n

\"impVol_MFC_150408\"<\/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.L, resetting at +216 on 2019-6-19, bid at 23.72 to be $0.64 rich, while MFC.PR.H, resetting at +313bp on 2017-3-19, is bid at 25.15 to be $0.91 cheap.<\/p>\n

\"impVol_BAM_150408\"<\/a>
Click for Big<\/i><\/div>\n

The fit on this series has suddenly become atrocious. It will be most interesting to see how long it takes for things to readjust.<\/p>\n

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 19.12 to be $1.32 cheap. BAM.PF.E, resetting at +255bp 2020-3-31 is bid at 23.70 and appears to be $1.59 rich.<\/p>\n

\"impVol_FTS_150408\"<\/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 15.40, looks $1.73 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 23.78 and is $0.97 rich.<\/p>\n

\"pairs_FR_150408\"<\/a>
Click for Big<\/i><\/div>\n

Investment-grade pairs other than TRP.PR.A \/ TRP.PR.F now predict an average over the next five years of about 0.35%, holding the increase of last week. TRP.PR.A \/ TRP.PR.F is an outlier, predicting 1.08%. 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 -2.12%.<\/p>\n

\"pairs_FF_150408\"<\/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>\n-1.4889 %<\/td>\n2,186.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-1.4889 %<\/td>\n3,822.8<\/td>\n<\/tr>\n
Floater<\/td>\n3.31 %<\/td>\n3.51 %<\/td>\n58,924<\/td>\n18.53<\/td>\n4<\/td>\n-1.4889 %<\/td>\n2,324.3<\/td>\n<\/tr>\n
OpRet<\/td>\n4.42 %<\/td>\n-3.96 %<\/td>\n30,739<\/td>\n0.15<\/td>\n2<\/td>\n-0.0982 %<\/td>\n2,765.9<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.57 %<\/td>\n4.80 %<\/td>\n59,087<\/td>\n3.44<\/td>\n3<\/td>\n-0.3856 %<\/td>\n3,224.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0982 %<\/td>\n2,529.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.31 %<\/td>\n0.91 %<\/td>\n60,750<\/td>\n0.09<\/td>\n25<\/td>\n-0.0821 %<\/td>\n2,523.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.08 %<\/td>\n5.02 %<\/td>\n142,858<\/td>\n15.12<\/td>\n9<\/td>\n-0.3733 %<\/td>\n2,808.4<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.50 %<\/td>\n3.64 %<\/td>\n268,816<\/td>\n16.46<\/td>\n85<\/td>\n0.0355 %<\/td>\n2,371.3<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.91 %<\/td>\n2.51 %<\/td>\n110,819<\/td>\n0.14<\/td>\n37<\/td>\n0.0224 %<\/td>\n2,657.5<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.48 %<\/td>\n2.88 %<\/td>\n77,338<\/td>\n6.28<\/td>\n8<\/td>\n0.0426 %<\/td>\n2,357.0<\/td>\n<\/tr>\n<\/table>\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
BAM.PR.B<\/td>\nFloater<\/td>\n-3.69 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 14.10
\nEvaluated at bid price : 14.10
\nBid-YTW : 3.56 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n-2.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 16.80
\nBid-YTW : 6.84 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset<\/td>\n-1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.80
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n
BAM.PR.C<\/td>\nFloater<\/td>\n-1.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 14.29
\nEvaluated at bid price : 14.29
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n-1.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 19.56
\nEvaluated at bid price : 19.56
\nBid-YTW : 3.60 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n-1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 15.40
\nEvaluated at bid price : 15.40
\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset<\/td>\n-1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 22.28
\nEvaluated at bid price : 22.82
\nBid-YTW : 3.32 %<\/td>\n<\/tr>\n
VNR.PR.A<\/td>\nFixedReset<\/td>\n-1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 23.08
\nEvaluated at bid price : 24.05
\nBid-YTW : 3.74 %<\/td>\n<\/tr>\n
BAM.PR.Z<\/td>\nFixedReset<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 23.10
\nEvaluated at bid price : 24.18
\nBid-YTW : 3.93 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 23.27
\nEvaluated at bid price : 25.00
\nBid-YTW : 3.18 %<\/td>\n<\/tr>\n
MFC.PR.N<\/td>\nFixedReset<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.99
\nBid-YTW : 4.00 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 16.97
\nEvaluated at bid price : 16.97
\nBid-YTW : 4.12 %<\/td>\n<\/tr>\n
TRP.PR.E<\/td>\nFixedReset<\/td>\n1.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 22.44
\nEvaluated at bid price : 23.25
\nBid-YTW : 3.54 %<\/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
CM.PR.Q<\/td>\nFixedReset<\/td>\n248,320<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 23.12
\nEvaluated at bid price : 24.95
\nBid-YTW : 3.45 %<\/td>\n<\/tr>\n
BNS.PR.Y<\/td>\nFixedReset<\/td>\n122,238<\/td>\nRBC crossed 56,900 at 22.20.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.20
\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset<\/td>\n104,600<\/td>\nNesbitt crossed 95,700 at 24.75.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 23.06
\nEvaluated at bid price : 24.68
\nBid-YTW : 3.15 %<\/td>\n<\/tr>\n
ENB.PR.F<\/td>\nFixedReset<\/td>\n99,548<\/td>\nDesjardins bought 71,800 from anonymouse at 19.25.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 19.16
\nEvaluated at bid price : 19.16
\nBid-YTW : 4.47 %<\/td>\n<\/tr>\n
HSE.PR.E<\/td>\nFixedReset<\/td>\n86,554<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 23.23
\nEvaluated at bid price : 25.20
\nBid-YTW : 4.24 %<\/td>\n<\/tr>\n
RY.PR.J<\/td>\nFixedReset<\/td>\n76,000<\/td>\nScotia crossed 66,000 at 25.10.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 23.19
\nEvaluated at bid price : 25.10
\nBid-YTW : 3.40 %<\/td>\n<\/tr>\n
There were 48 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
IFC.PR.A<\/td>\nFixedReset<\/td>\nQuote: 19.80 – 20.70
\nSpot Rate : 0.9000
\nAverage : 0.6274<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.80
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n

FTS.PR.K<\/td>\nFixedReset<\/td>\nQuote: 22.78 – 23.63
\nSpot Rate : 0.8500
\nAverage : 0.6344<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 22.22
\nEvaluated at bid price : 22.78
\nBid-YTW : 3.30 %<\/td>\n<\/tr>\n

BAM.PR.B<\/td>\nFloater<\/td>\nQuote: 14.10 – 14.50
\nSpot Rate : 0.4000
\nAverage : 0.2251<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 14.10
\nEvaluated at bid price : 14.10
\nBid-YTW : 3.56 %<\/td>\n<\/tr>\n

BAM.PF.G<\/td>\nFixedReset<\/td>\nQuote: 24.28 – 24.70
\nSpot Rate : 0.4200
\nAverage : 0.2767<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 22.88
\nEvaluated at bid price : 24.28
\nBid-YTW : 3.86 %<\/td>\n<\/tr>\n

ENB.PR.N<\/td>\nFixedReset<\/td>\nQuote: 19.65 – 20.00
\nSpot Rate : 0.3500
\nAverage : 0.2206<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 19.65
\nEvaluated at bid price : 19.65
\nBid-YTW : 4.53 %<\/td>\n<\/tr>\n

TRP.PR.A<\/td>\nFixedReset<\/td>\nQuote: 19.56 – 19.80
\nSpot Rate : 0.2400
\nAverage : 0.1455<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-04-08
\nMaturity Price : 19.56
\nEvaluated at bid price : 19.56
\nBid-YTW : 3.60 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Another day in which nothing happened, including me getting caught up on my responses to comments. But I did get a call from a novice investor. His discount brokerage gave him my number and told …<\/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-28586","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/28586","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=28586"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/28586\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=28586"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=28586"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=28586"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}