{"id":30573,"date":"2015-09-18T19:09:03","date_gmt":"2015-09-19T00:09:03","guid":{"rendered":"http:\/\/prefblog.com\/?p=30573"},"modified":"2015-09-18T19:09:03","modified_gmt":"2015-09-19T00:09:03","slug":"september-18-2015","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=30573","title":{"rendered":"September 18, 2015"},"content":{"rendered":"

Nothing happened today, except that bonds had a good day<\/a>:<\/p>\n

The S&P 500 retreated 1.6 percent at 4 p.m. in New York, erasing its gain for the week. The gauge ended lower yesterday by 0.4 percent, erasing a gain of as much as 1.3 percent after Yellen indicated that global developments overshadowed signs of strength in America.
…<\/b>
U.S. two-year Treasuries extended their biggest one-day rally since 2009, while Pacific Investment Management Co. said policy makers may wait until next year before raising rates. JPMorgan Asset Management said the Fed\u2019s statement was good for bonds and they still like debt due between seven and 10 years.<\/p>\n

Bonds gained from Australia to Germany, while Treasuries added to an advance from Thursday. The yield on 10-year German bunds, the euro region\u2019s benchmark sovereign securities, dropped 12 basis points to 0.66 percent, set for its biggest decline since July 7, on prospects for further easing by the European Central Bank.<\/p>\n

Rates on similar-maturity Italian bonds fell 14 basis points to 1.76 percent, while those on Spain\u2019s declined 15 basis points to 1.94 percent. The yield on U.S. 10-year Treasuries fell six basis points to 2.13 percent on Friday, after sliding 10 basis points the previous day.<\/p><\/blockquote>\n

It was yet another negative day for the Canadian preferred share market, with PerpetualDiscounts gaining 5bp, FixedResets down 48bp and DeemedRetractibles off 6bp. The Performance Highlights table is comprised entirely of losers, mostly FixedResets. Volume was extremely 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_150918\"<\/a>
Click for Big<\/i><\/div>\n

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 20.06 to be $1.05 rich, while TRP.PR.C, resetting 2016-1-30 at +164, is $1.32 cheap at its bid price of 12.81.<\/p>\n

\"impVol_MFC_150918\"<\/a>
Click for Big<\/i><\/div>\n

Another good fit today for MFC, with Implied Volatility falling a bit today.<\/p>\n

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 24.41 to be 0.32 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 23.03 to be 0.30 cheap.<\/p>\n

\"impVol_BAM_150918\"<\/a>
Click for Big<\/i><\/div>\n

The fit on the BAM issues continues to be horrible.<\/p>\n

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.80 to be $1.42 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.54 and appears to be $1.17 rich.<\/p>\n

\"impVol_FTS_150918\"<\/a>
Click for Big<\/i><\/div>\n

FTS.PR.M, with a spread of +248bp, and bid at 22.20, looks $0.66 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.79 and is $0.43 cheap.<\/p>\n

\"pairs_FR_150918\"<\/a>
Click for Big<\/i><\/div>\n

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.87%, with no outliers. The distribution\u2019s bimodality has vanished. There are two junk outliers above 0.00%.<\/p>\n

\"pairs_FR_150918\"<\/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-1.1003 %<\/td>\n1,648.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-1.1003 %<\/td>\n2,882.5<\/td>\n<\/tr>\n
Floater<\/td>\n4.51 %<\/td>\n4.54 %<\/td>\n58,288<\/td>\n16.37<\/td>\n3<\/td>\n-1.1003 %<\/td>\n1,752.6<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0812 %<\/td>\n2,777.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.63 %<\/td>\n4.95 %<\/td>\n61,117<\/td>\n3.06<\/td>\n3<\/td>\n0.0812 %<\/td>\n3,254.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0812 %<\/td>\n2,539.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.71 %<\/td>\n2.95 %<\/td>\n53,691<\/td>\n0.08<\/td>\n8<\/td>\n0.1138 %<\/td>\n2,494.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.45 %<\/td>\n5.52 %<\/td>\n66,304<\/td>\n14.59<\/td>\n30<\/td>\n0.0476 %<\/td>\n2,602.0<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.75 %<\/td>\n4.21 %<\/td>\n178,672<\/td>\n15.99<\/td>\n74<\/td>\n-0.4801 %<\/td>\n2,141.4<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.15 %<\/td>\n4.75 %<\/td>\n91,336<\/td>\n5.50<\/td>\n33<\/td>\n-0.0580 %<\/td>\n2,580.4<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.49 %<\/td>\n3.96 %<\/td>\n49,480<\/td>\n5.90<\/td>\n9<\/td>\n-0.5021 %<\/td>\n2,144.7<\/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\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n-4.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 12.81
\nEvaluated at bid price : 12.81
\nBid-YTW : 4.62 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n-2.68 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 13.80
\nEvaluated at bid price : 13.80
\nBid-YTW : 4.65 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n-2.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 16.75
\nEvaluated at bid price : 16.75
\nBid-YTW : 4.22 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n-2.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 13.03
\nBid-YTW : 9.65 %<\/td>\n<\/tr>\n
TRP.PR.F<\/td>\nFloatingReset<\/td>\n-2.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 14.40
\nEvaluated at bid price : 14.40
\nBid-YTW : 3.96 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n-1.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.50
\nBid-YTW : 7.59 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset<\/td>\n-1.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 15.50
\nBid-YTW : 8.27 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n-1.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 10.42
\nEvaluated at bid price : 10.42
\nBid-YTW : 4.54 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n-1.73 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 15.35
\nBid-YTW : 8.23 %<\/td>\n<\/tr>\n
TD.PR.S<\/td>\nFixedReset<\/td>\n-1.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.97
\nBid-YTW : 3.66 %<\/td>\n<\/tr>\n
VNR.PR.A<\/td>\nFixedReset<\/td>\n-1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 19.90
\nEvaluated at bid price : 19.90
\nBid-YTW : 4.68 %<\/td>\n<\/tr>\n
BAM.PR.Z<\/td>\nFixedReset<\/td>\n-1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 4.62 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n-1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 12.52
\nEvaluated at bid price : 12.52
\nBid-YTW : 4.14 %<\/td>\n<\/tr>\n
BMO.PR.T<\/td>\nFixedReset<\/td>\n-1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 20.94
\nEvaluated at bid price : 20.94
\nBid-YTW : 3.82 %<\/td>\n<\/tr>\n
PWF.PR.T<\/td>\nFixedReset<\/td>\n-1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 22.21
\nEvaluated at bid price : 22.70
\nBid-YTW : 3.65 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset<\/td>\n-1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 6.39 %<\/td>\n<\/tr>\n
IAG.PR.G<\/td>\nFixedReset<\/td>\n-1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.50
\nBid-YTW : 5.11 %<\/td>\n<\/tr>\n
FTS.PR.K<\/td>\nFixedReset<\/td>\n-1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 4.11 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset<\/td>\n-1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 15.05
\nBid-YTW : 8.35 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n-1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 16.75
\nEvaluated at bid price : 16.75
\nBid-YTW : 4.70 %<\/td>\n<\/tr>\n
HSE.PR.G<\/td>\nFixedReset<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 21.89
\nEvaluated at bid price : 22.35
\nBid-YTW : 4.87 %<\/td>\n<\/tr>\n
MFC.PR.I<\/td>\nFixedReset<\/td>\n-1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.90
\nBid-YTW : 4.96 %<\/td>\n<\/tr>\n
FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 22.24
\nEvaluated at bid price : 22.51
\nBid-YTW : 5.48 %<\/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
TD.PF.F<\/td>\nPerpetual-Discount<\/td>\n65,100<\/td>\nRBC crossed 48,200 at 24.35.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 24.03
\nEvaluated at bid price : 24.39
\nBid-YTW : 5.09 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset<\/td>\n52,575<\/td>\nTD crossed 46,700 at 21.75.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 21.31
\nEvaluated at bid price : 21.60
\nBid-YTW : 3.87 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset<\/td>\n36,160<\/td>\nNesbitt crossed 34,600 at 23.20.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.03
\nBid-YTW : 4.84 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset<\/td>\n32,586<\/td>\nNesbitt crossed 28,700 at 15.30.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 15.05
\nBid-YTW : 8.35 %<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n27,200<\/td>\nRBC crossed 25,000 at 24.32.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.29
\nBid-YTW : 3.65 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n27,038<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 13.03
\nBid-YTW : 9.65 %<\/td>\n<\/tr>\n
There were 12 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
RY.PR.J<\/td>\nFixedReset<\/td>\nQuote: 23.35 – 24.00
\nSpot Rate : 0.6500
\nAverage : 0.4263<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 22.49
\nEvaluated at bid price : 23.35
\nBid-YTW : 3.74 %<\/td>\n<\/tr>\n

TRP.PR.F<\/td>\nFloatingReset<\/td>\nQuote: 14.40 – 15.20
\nSpot Rate : 0.8000
\nAverage : 0.5885<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 14.40
\nEvaluated at bid price : 14.40
\nBid-YTW : 3.96 %<\/td>\n<\/tr>\n

HSE.PR.G<\/td>\nFixedReset<\/td>\nQuote: 22.35 – 22.99
\nSpot Rate : 0.6400
\nAverage : 0.4319<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 21.89
\nEvaluated at bid price : 22.35
\nBid-YTW : 4.87 %<\/td>\n<\/tr>\n

MFC.PR.N<\/td>\nFixedReset<\/td>\nQuote: 20.56 – 21.18
\nSpot Rate : 0.6200
\nAverage : 0.4233<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.56
\nBid-YTW : 5.98 %<\/td>\n<\/tr>\n

TD.PR.S<\/td>\nFixedReset<\/td>\nQuote: 23.97 – 24.55
\nSpot Rate : 0.5800
\nAverage : 0.3843<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.97
\nBid-YTW : 3.66 %<\/td>\n<\/tr>\n

TRP.PR.C<\/td>\nFixedReset<\/td>\nQuote: 12.81 – 13.30
\nSpot Rate : 0.4900
\nAverage : 0.2972<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2045-09-18
\nMaturity Price : 12.81
\nEvaluated at bid price : 12.81
\nBid-YTW : 4.62 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today, except that bonds had a good day: The S&P 500 retreated 1.6 percent at 4 p.m. in New York, erasing its gain for the week. The gauge ended lower yesterday by 0.4 …<\/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-30573","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/30573","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=30573"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/30573\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=30573"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=30573"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=30573"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}