{"id":29097,"date":"2015-05-15T22:30:12","date_gmt":"2015-05-16T03:30:12","guid":{"rendered":"http:\/\/prefblog.com\/?p=29097"},"modified":"2015-05-15T22:30:12","modified_gmt":"2015-05-16T03:30:12","slug":"may-15-2015","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=29097","title":{"rendered":"May 15, 2015"},"content":{"rendered":"

FFN.PR.A was confirmed at Pfd-4(high) by DBRS<\/a>:<\/p>\n

DBRS Limited (DBRS) has today confirmed the rating of the Preferred Shares issued by North American Financial 15 Split Corp. (the Company) at Pfd-4 (high).<\/p>\n

In October 2004, the Company issued 6.4 million Preferred Shares (at $10 each) and an equal number of Class A Shares (at $15 each). Although these shares were offered separately, together they form a Unit. The redemption date was originally December 1, 2014, but shareholders have approved an extension of the redemption date for both classes of shares to December 1, 2019.
…<\/b>
Since the last rating confirmation in May 2014, the NAV of the Company has been generally stable, with downside protection fluctuating from 37% to 41% over the past year. The Preferred Share dividend coverage ratio is below 1.0 times and the monthly Class A Share distribution is expected to result in an average grind on the portfolio of 5.3% annually for the remaining term until maturity. As a result, the rating of the Preferred Shares has been confirmed at Pfd-4 (high).<\/p><\/blockquote>\n

It was a poor day for the Canadian preferred share market, with PerpetualDiscounts down 19bp, FixedResets losing 20bp and DeemedRetractibles off 3bp. The Performance Highlights table is of more-or-less average length, dominated by FixedReset losers. Volume was 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_150515\"<\/a>
Click for Big<\/i><\/div>\n

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 24.05 to be $0.91 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $0.80 cheap at its bid price of 25.00.<\/p>\n

\"impVol_MFC_150515\"<\/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.N, resetting at +230 on 2020-3-19, bid at 23.92 to be $0.38 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 25.00 to be $0.55 cheap.<\/p>\n

\"impVol_BAM_150515\"<\/a>
Click for Big<\/i><\/div>\n

The cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 22.61 to be $0.81 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 24.87 and appears to be $0.48 rich.<\/p>\n

\"impVol_FTS_150515\"<\/a>
Click for Big<\/i><\/div>\n

FTS.PR.H, with a spread of +145bp, and bid at 16.10, looks $1.01 cheap and resets 2015-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 21.91 and is $0.61 rich.<\/p>\n

\"pairs_FR_150515\"<\/a>
Click for Big<\/i><\/div>\n

Investment-grade pairs predict an average over the next five-odd years of about 0.30%, including the TRP.PR.A \/ TRP.PR.F at -0.29% and the BNS.PR.Y \/ BNS.PR.D pair at +0.71. On the junk side, the FFH.PR.E \/ FFH.PR.F pair is at -0.99%, while BRF.PR.A \/ BRF.PR.B is at -0.81%.<\/p>\n

\"pairs_FF_150515\"<\/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>\n1.0576 %<\/td>\n2,329.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.0576 %<\/td>\n4,073.6<\/td>\n<\/tr>\n
Floater<\/td>\n3.12 %<\/td>\n3.25 %<\/td>\n53,558<\/td>\n19.07<\/td>\n4<\/td>\n1.0576 %<\/td>\n2,476.8<\/td>\n<\/tr>\n
OpRet<\/td>\n4.46 %<\/td>\n-4.81 %<\/td>\n37,076<\/td>\n0.13<\/td>\n2<\/td>\n-0.0271 %<\/td>\n2,774.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.58 %<\/td>\n4.31 %<\/td>\n60,926<\/td>\n3.38<\/td>\n3<\/td>\n1.0633 %<\/td>\n3,257.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0271 %<\/td>\n2,536.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.46 %<\/td>\n1.34 %<\/td>\n62,909<\/td>\n0.08<\/td>\n18<\/td>\n-0.0022 %<\/td>\n2,520.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.06 %<\/td>\n5.05 %<\/td>\n121,054<\/td>\n15.35<\/td>\n15<\/td>\n-0.1896 %<\/td>\n2,781.7<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.40 %<\/td>\n3.71 %<\/td>\n269,085<\/td>\n16.38<\/td>\n86<\/td>\n-0.2027 %<\/td>\n2,420.2<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.92 %<\/td>\n3.39 %<\/td>\n111,416<\/td>\n0.77<\/td>\n35<\/td>\n-0.0272 %<\/td>\n2,643.2<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.59 %<\/td>\n2.92 %<\/td>\n61,930<\/td>\n6.18<\/td>\n7<\/td>\n-0.0243 %<\/td>\n2,333.2<\/td>\n<\/tr>\n<\/table>\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
SLF.PR.G<\/td>\nFixedReset<\/td>\n-3.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.53
\nBid-YTW : 6.73 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n-2.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 17.62
\nEvaluated at bid price : 17.62
\nBid-YTW : 3.72 %<\/td>\n<\/tr>\n
ENB.PR.J<\/td>\nFixedReset<\/td>\n-2.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 21.30
\nEvaluated at bid price : 21.30
\nBid-YTW : 4.40 %<\/td>\n<\/tr>\n
MFC.PR.M<\/td>\nFixedReset<\/td>\n-2.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.00
\nBid-YTW : 4.11 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset<\/td>\n-2.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.37
\nBid-YTW : 4.24 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\n-1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 23.61
\nEvaluated at bid price : 24.00
\nBid-YTW : 4.94 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n-1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 16.10
\nEvaluated at bid price : 16.10
\nBid-YTW : 3.84 %<\/td>\n<\/tr>\n
ENB.PF.G<\/td>\nFixedReset<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 21.66
\nEvaluated at bid price : 22.05
\nBid-YTW : 4.38 %<\/td>\n<\/tr>\n
RY.PR.Z<\/td>\nFixedReset<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 23.10
\nEvaluated at bid price : 24.59
\nBid-YTW : 3.31 %<\/td>\n<\/tr>\n
PVS.PR.D<\/td>\nSplitShare<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2021-10-08
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.52
\nBid-YTW : 4.83 %<\/td>\n<\/tr>\n
PVS.PR.C<\/td>\nSplitShare<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.26
\nBid-YTW : 4.31 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 15.35
\nEvaluated at bid price : 15.35
\nBid-YTW : 3.28 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 15.46
\nEvaluated at bid price : 15.46
\nBid-YTW : 3.25 %<\/td>\n<\/tr>\n
BAM.PR.C<\/td>\nFloater<\/td>\n1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 15.30
\nEvaluated at bid price : 15.30
\nBid-YTW : 3.29 %<\/td>\n<\/tr>\n
CIU.PR.C<\/td>\nFixedReset<\/td>\n1.85 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 16.50
\nEvaluated at bid price : 16.50
\nBid-YTW : 3.69 %<\/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.A<\/td>\nOpRet<\/td>\n421,300<\/td>\nCalled for redemption 2015-6-19<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-06-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.97
\nBid-YTW : 1.26 %<\/td>\n<\/tr>\n
CM.PR.Q<\/td>\nFixedReset<\/td>\n135,310<\/td>\nRBC sold 35,000 to anonymous at 25.00. Desjardins crossed 60,900 at the same price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 23.11
\nEvaluated at bid price : 24.89
\nBid-YTW : 3.69 %<\/td>\n<\/tr>\n
TD.PF.D<\/td>\nFixedReset<\/td>\n119,839<\/td>\nTD crossed 100,000 at 24.95.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 23.09
\nEvaluated at bid price : 24.84
\nBid-YTW : 3.70 %<\/td>\n<\/tr>\n
RY.PR.K<\/td>\nFloatingReset<\/td>\n46,000<\/td>\nNesbitt crossed 45,000 at 24.21.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.25
\nBid-YTW : 3.00 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset<\/td>\n40,100<\/td>\nTD crossed 39,500 at 25.20.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 23.32
\nEvaluated at bid price : 25.11
\nBid-YTW : 3.40 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n36,853<\/td>\nTD crossed 25,000 at 15.80.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 15.77
\nEvaluated at bid price : 15.77
\nBid-YTW : 3.68 %<\/td>\n<\/tr>\n
There were 22 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
MFC.PR.M<\/td>\nFixedReset<\/td>\nQuote: 24.00 – 24.60
\nSpot Rate : 0.6000
\nAverage : 0.4240<\/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 : 4.11 %<\/td>\n<\/tr>\n

ENB.PF.G<\/td>\nFixedReset<\/td>\nQuote: 22.05 – 22.39
\nSpot Rate : 0.3400
\nAverage : 0.2162<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 21.66
\nEvaluated at bid price : 22.05
\nBid-YTW : 4.38 %<\/td>\n<\/tr>\n

FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.00 – 24.42
\nSpot Rate : 0.4200
\nAverage : 0.3188<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 23.61
\nEvaluated at bid price : 24.00
\nBid-YTW : 4.94 %<\/td>\n<\/tr>\n

HSE.PR.A<\/td>\nFixedReset<\/td>\nQuote: 17.36 – 17.65
\nSpot Rate : 0.2900
\nAverage : 0.1957<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 17.36
\nEvaluated at bid price : 17.36
\nBid-YTW : 4.10 %<\/td>\n<\/tr>\n

FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.25 – 24.55
\nSpot Rate : 0.3000
\nAverage : 0.2166<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-05-15
\nMaturity Price : 23.99
\nEvaluated at bid price : 24.25
\nBid-YTW : 5.05 %<\/td>\n<\/tr>\n

GWO.PR.R<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.95 – 25.20
\nSpot Rate : 0.2500
\nAverage : 0.1785<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.95
\nBid-YTW : 4.93 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

FFN.PR.A was confirmed at Pfd-4(high) by DBRS: DBRS Limited (DBRS) has today confirmed the rating of the Preferred Shares issued by North American Financial 15 Split Corp. (the Company) at Pfd-4 (high). In October 2004, …<\/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-29097","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/29097","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=29097"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/29097\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=29097"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=29097"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=29097"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}