{"id":29353,"date":"2015-06-08T22:58:39","date_gmt":"2015-06-09T03:58:39","guid":{"rendered":"http:\/\/prefblog.com\/?p=29353"},"modified":"2015-06-08T22:58:39","modified_gmt":"2015-06-09T03:58:39","slug":"june-8-2015","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=29353","title":{"rendered":"June 8, 2015"},"content":{"rendered":"

Nothing happened today … well, equities got banged up<\/a>.<\/p>\n

It was a poor day for the Canadian preferred share market, with PerpetualDiscounts off 3bp, FixedResets losing 25bp and DeemedRetractibles down 11bp. The lengthy Performance Highlights table is dominated by losing FixedResets. 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_150608\"<\/a>
Click for Big<\/i><\/div>\n

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 23.50 to be $1.14 rich, while TRP.PR.B, which will reset June 30 at 2.152%<\/a> (+128), is $0.62 cheap at its bid price of 14.77<\/p>\n

\"impVol_MFC_150608\"<\/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). It is clear that the lowest spread issue, MFC.PR.F, is well off the relationship defined by the other issues, but this doesn\u2019t resolve the conundrum \u2013 it just makes it more conundrous.<\/p>\n

Most expensive is MFC.PR.L, resetting at +216 on 2019-6-19, bid at 23.75 to be $0.94 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 25.00 to be $0.70 cheap.<\/p>\n

\"impVol_BAM_150608\"<\/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 22.75 to be $0.40 cheap. BAM.PF.G, resetting at +284bp 2020-6-30 is bid at 24.77 and appears to be $0.50 rich.<\/p>\n

\"impVol_FTS_150608\"<\/a>
Click for Big<\/i><\/div>\n

FTS.PR.H, with a spread of +145bp, and bid at 16.05, looks $1.03 cheap and resets 2020-6-1. FTS.PR.K, with a spread of +205bp and resetting 2019-3-1, is bid at 21.81 and is $0.56 rich.<\/p>\n

\"pairs_FF_150608\"<\/a>
Click for Big<\/i><\/div>\n

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of about 0.45%, including FTS.PR.H \/ FTS.PR.I at 0.91%. On the junk side, five out of the six pairs are outside the range of the graph: FFH.PR.E \/ FFH.PR.F at -1.22%; AIM.PR.A \/ AIM.PR.B at -0.35%; BRF.PR.A \/ BRF.PR.B at -1.05%; DC.PR.B \/ DC.PR.D at -0.61%; and FFH.PR.C \/ FFH.PR.D at +1.24%.<\/p>\n

\"pairs_FFA_150608\"<\/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>\n0.5381 %<\/td>\n2,204.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.5381 %<\/td>\n3,853.8<\/td>\n<\/tr>\n
Floater<\/td>\n3.48 %<\/td>\n3.52 %<\/td>\n62,049<\/td>\n18.39<\/td>\n3<\/td>\n0.5381 %<\/td>\n2,343.1<\/td>\n<\/tr>\n
OpRet<\/td>\n4.45 %<\/td>\n-10.51 %<\/td>\n28,215<\/td>\n0.08<\/td>\n2<\/td>\n0.0198 %<\/td>\n2,780.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.59 %<\/td>\n4.71 %<\/td>\n70,391<\/td>\n3.31<\/td>\n3<\/td>\n0.2012 %<\/td>\n3,251.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0198 %<\/td>\n2,542.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.47 %<\/td>\n4.86 %<\/td>\n63,976<\/td>\n3.19<\/td>\n19<\/td>\n-0.2671 %<\/td>\n2,510.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.07 %<\/td>\n5.08 %<\/td>\n113,951<\/td>\n15.36<\/td>\n15<\/td>\n-0.0310 %<\/td>\n2,761.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.46 %<\/td>\n3.87 %<\/td>\n259,834<\/td>\n15.87<\/td>\n87<\/td>\n-0.2472 %<\/td>\n2,376.3<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.00 %<\/td>\n3.36 %<\/td>\n109,184<\/td>\n0.70<\/td>\n34<\/td>\n-0.1059 %<\/td>\n2,625.7<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.51 %<\/td>\n2.91 %<\/td>\n56,279<\/td>\n6.13<\/td>\n9<\/td>\n-0.1917 %<\/td>\n2,333.3<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset<\/td>\n-1.98 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 16.86
\nBid-YTW : 7.15 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset<\/td>\n-1.82 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.77
\nBid-YTW : 6.77 %<\/td>\n<\/tr>\n
POW.PR.G<\/td>\nPerpetual-Premium<\/td>\n-1.80 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2020-04-15
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.57
\nBid-YTW : 5.47 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n-1.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-06-08
\nMaturity Price : 16.26
\nEvaluated at bid price : 16.26
\nBid-YTW : 4.36 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset<\/td>\n-1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.75
\nBid-YTW : 5.66 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset<\/td>\n-1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-06-08
\nMaturity Price : 22.53
\nEvaluated at bid price : 23.40
\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nDeemed-Retractible<\/td>\n-1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.11
\nBid-YTW : 5.51 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset<\/td>\n-1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-06-08
\nMaturity Price : 22.57
\nEvaluated at bid price : 23.44
\nBid-YTW : 3.59 %<\/td>\n<\/tr>\n
TD.PF.C<\/td>\nFixedReset<\/td>\n-1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-06-08
\nMaturity Price : 22.41
\nEvaluated at bid price : 23.20
\nBid-YTW : 3.62 %<\/td>\n<\/tr>\n
BAM.PF.A<\/td>\nFixedReset<\/td>\n-1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-06-08
\nMaturity Price : 23.14
\nEvaluated at bid price : 24.49
\nBid-YTW : 4.08 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nFixedReset<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-06-08
\nMaturity Price : 22.46
\nEvaluated at bid price : 23.30
\nBid-YTW : 3.59 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.85
\nBid-YTW : 5.46 %<\/td>\n<\/tr>\n
BAM.PF.F<\/td>\nFixedReset<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-06-08
\nMaturity Price : 23.03
\nEvaluated at bid price : 24.50
\nBid-YTW : 4.06 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset<\/td>\n1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-06-08
\nMaturity Price : 18.55
\nEvaluated at bid price : 18.55
\nBid-YTW : 3.67 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 16.35
\nBid-YTW : 7.56 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n1.85 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-06-08
\nMaturity Price : 14.31
\nEvaluated at bid price : 14.31
\nBid-YTW : 3.52 %<\/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
BMO.PR.Y<\/td>\nFixedReset<\/td>\n187,430<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-06-08
\nMaturity Price : 23.02
\nEvaluated at bid price : 24.65
\nBid-YTW : 3.70 %<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nPerpetual-Discount<\/td>\n121,736<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-06-08
\nMaturity Price : 24.42
\nEvaluated at bid price : 24.80
\nBid-YTW : 4.95 %<\/td>\n<\/tr>\n
RY.PR.C<\/td>\nDeemed-Retractible<\/td>\n53,530<\/td>\nScotia crossed 33,500 at 25.25; TD crossed 20,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-11-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.25
\nBid-YTW : 2.82 %<\/td>\n<\/tr>\n
MFC.PR.A<\/td>\nOpRet<\/td>\n50,585<\/td>\nCalled for redemption effective June 19<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-07-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.99
\nBid-YTW : 3.38 %<\/td>\n<\/tr>\n
BAM.PF.G<\/td>\nFixedReset<\/td>\n36,202<\/td>\nRBC crossed 25,000 at 24.80.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-06-08
\nMaturity Price : 23.08
\nEvaluated at bid price : 24.77
\nBid-YTW : 4.01 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n31,960<\/td>\nScotia crossed 30,000 at 22.70.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-06-08
\nMaturity Price : 22.26
\nEvaluated at bid price : 22.60
\nBid-YTW : 4.99 %<\/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
POW.PR.G<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.57 – 26.31
\nSpot Rate : 0.7400
\nAverage : 0.5109<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2020-04-15
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.57
\nBid-YTW : 5.47 %<\/td>\n<\/tr>\n

GWO.PR.N<\/td>\nFixedReset<\/td>\nQuote: 16.86 – 17.57
\nSpot Rate : 0.7100
\nAverage : 0.5030<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 16.86
\nBid-YTW : 7.15 %<\/td>\n<\/tr>\n

IFC.PR.A<\/td>\nFixedReset<\/td>\nQuote: 20.75 – 21.26
\nSpot Rate : 0.5100
\nAverage : 0.3345<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.75
\nBid-YTW : 5.66 %<\/td>\n<\/tr>\n

ELF.PR.G<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.17 – 23.72
\nSpot Rate : 0.5500
\nAverage : 0.3884<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-06-08
\nMaturity Price : 22.87
\nEvaluated at bid price : 23.17
\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n

GWO.PR.R<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.40 – 24.89
\nSpot Rate : 0.4900
\nAverage : 0.3322<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.40
\nBid-YTW : 5.11 %<\/td>\n<\/tr>\n

GWO.PR.S<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.05 – 26.50
\nSpot Rate : 0.4500
\nAverage : 0.3033<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.05
\nBid-YTW : 4.69 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today … well, equities got banged up. It was a poor day for the Canadian preferred share market, with PerpetualDiscounts off 3bp, FixedResets losing 25bp and DeemedRetractibles down 11bp. The lengthy Performance Highlights …<\/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-29353","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/29353","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=29353"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/29353\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=29353"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=29353"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=29353"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}