July 27, 2015

Nothing happened today.

It was a horrid day for the Canadian preferred share market, with PerpetualDiscounts down 56bp, FixedResets losing 71bp and DeemedRetractibles off 27bp. A very lengthy Performance Highlights table is dominated by losers. Volume was average.

For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t 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.

Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread

Here’s TRP:

impVol_TRP_150727
Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 21.70 to be $0.67 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.93 cheap at its bid price of 15.40.

impVol_MFC_150727
Click for Big

Another good fit today!

Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 22.06 to be $0.40 rich, while MFC.PR.M, resetting at +236bp on 2019-12-19, is bid at 22.12 to be $0.60 cheap.

impVol_BAM_150727
Click for Big

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 18.30 to be $0.86 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 22.20 and appears to be $1.42 rich.

impVol_FTS_150727
Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 21.37, looks $0.76 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 20.44 and is $0.68 cheap.

pairs_FR_150727
Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.11%, with one outlier below -1.00% (and even then, only with the help of a dummy bid!). There are no junk outliers.

pairs_FF_150727
Click for Big

Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0979 % 2,115.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0979 % 3,699.6
Floater 3.47 % 3.47 % 59,232 18.59 3 0.0979 % 2,249.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0669 % 2,778.1
SplitShare 4.58 % 4.87 % 62,717 3.17 3 0.0669 % 3,255.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0669 % 2,540.3
Perpetual-Premium 5.54 % 5.04 % 70,203 4.13 13 -0.0917 % 2,504.7
Perpetual-Discount 5.34 % 5.33 % 89,167 14.84 23 -0.5602 % 2,662.6
FixedReset 4.66 % 3.72 % 216,014 16.27 88 -0.7114 % 2,258.1
Deemed-Retractible 5.06 % 4.98 % 106,723 5.50 34 -0.2719 % 2,604.5
FloatingReset 2.40 % 3.09 % 43,352 6.05 10 -0.8626 % 2,261.9
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -5.29 % Not real; the issue traded 10,456 shares today in a range of 16.98-10 and the Toronto Stock Exchange reports “No Bid” on their closing quotations (so I have input a dummy bid $1.00 below the ask). I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 3.63 %
IFC.PR.C FixedReset -4.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.26
Bid-YTW : 5.50 %
BAM.PR.X FixedReset -3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.01 %
MFC.PR.M FixedReset -3.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.12
Bid-YTW : 5.06 %
TRP.PR.G FixedReset -3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 22.36
Evaluated at bid price : 23.18
Bid-YTW : 3.92 %
IAG.PR.A Deemed-Retractible -2.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 6.13 %
ENB.PF.A FixedReset -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.86 %
IFC.PR.A FixedReset -2.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.02
Bid-YTW : 7.11 %
BAM.PR.C Floater -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 3.60 %
NA.PR.S FixedReset -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 22.36
Evaluated at bid price : 23.00
Bid-YTW : 3.44 %
ENB.PF.E FixedReset -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 4.89 %
ENB.PR.J FixedReset -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 4.80 %
CU.PR.G Perpetual-Discount -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 21.59
Evaluated at bid price : 21.89
Bid-YTW : 5.20 %
BIP.PR.A FixedReset -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 21.75
Evaluated at bid price : 22.15
Bid-YTW : 4.84 %
RY.PR.H FixedReset -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 21.79
Evaluated at bid price : 22.15
Bid-YTW : 3.44 %
TD.PF.E FixedReset -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 22.97
Evaluated at bid price : 24.51
Bid-YTW : 3.51 %
CU.PR.F Perpetual-Discount -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 21.55
Evaluated at bid price : 21.83
Bid-YTW : 5.22 %
ENB.PR.N FixedReset -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.91 %
MFC.PR.F FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.80
Bid-YTW : 7.14 %
TD.PF.C FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 21.45
Evaluated at bid price : 21.72
Bid-YTW : 3.51 %
BNS.PR.D FloatingReset -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 3.95 %
BAM.PF.C Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 5.76 %
ENB.PF.G FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.89 %
BMO.PR.W FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 21.55
Evaluated at bid price : 21.84
Bid-YTW : 3.51 %
BAM.PR.T FixedReset -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 4.18 %
POW.PR.D Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 5.39 %
ENB.PR.P FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 4.80 %
SLF.PR.I FixedReset -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 4.62 %
RY.PR.Z FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 21.87
Evaluated at bid price : 22.25
Bid-YTW : 3.38 %
ENB.PR.T FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.80 %
BAM.PF.A FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 22.04
Evaluated at bid price : 22.42
Bid-YTW : 4.11 %
TD.PF.A FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 21.73
Evaluated at bid price : 22.08
Bid-YTW : 3.46 %
SLF.PR.E Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.18
Bid-YTW : 6.16 %
PWF.PR.S Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 22.75
Evaluated at bid price : 23.05
Bid-YTW : 5.22 %
RY.PR.O Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 23.86
Evaluated at bid price : 24.20
Bid-YTW : 5.08 %
BAM.PR.R FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.18 %
SLF.PR.C Deemed-Retractible -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 6.21 %
BMO.PR.Q FixedReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.02
Bid-YTW : 3.62 %
BMO.PR.M FixedReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 2.99 %
TRP.PR.C FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.60 %
HSE.PR.G FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 22.42
Evaluated at bid price : 23.26
Bid-YTW : 4.58 %
SLF.PR.H FixedReset -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 6.07 %
FTS.PR.K FixedReset 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 3.44 %
BAM.PR.K Floater 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 13.71
Evaluated at bid price : 13.71
Bid-YTW : 3.47 %
Volume Highlights
Issue Index Shares
Traded
Notes
FTS.PR.H FixedReset 120,914 TD crossed 110,000 at 16.50.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 3.35 %
TRP.PR.B FixedReset 100,361 TD crossed 92,400 at 15.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 14.91
Evaluated at bid price : 14.91
Bid-YTW : 3.31 %
PWF.PR.T FixedReset 99,242 RBC crossed 70,000 at 24.65; TD crossed 24,400 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 23.18
Evaluated at bid price : 24.65
Bid-YTW : 3.12 %
TRP.PR.D FixedReset 47,545 RBC crossed 25,000 at 21.15.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 3.79 %
BAM.PR.Z FixedReset 36,803 TD crossed 25,000 at 23.20.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 22.54
Evaluated at bid price : 23.05
Bid-YTW : 4.06 %
TD.PF.E FixedReset 34,679 RBC crossed 24,900 at 24.80.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 22.97
Evaluated at bid price : 24.51
Bid-YTW : 3.51 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Quote: 21.26 – 22.39
Spot Rate : 1.1300
Average : 0.6807

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.26
Bid-YTW : 5.50 %

TRP.PR.F FloatingReset Quote: 16.11 – 17.11
Spot Rate : 1.0000
Average : 0.6391

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 3.63 %

MFC.PR.M FixedReset Quote: 22.12 – 22.88
Spot Rate : 0.7600
Average : 0.4740

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.12
Bid-YTW : 5.06 %

IAG.PR.A Deemed-Retractible Quote: 22.41 – 23.01
Spot Rate : 0.6000
Average : 0.4209

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 6.13 %

BAM.PR.X FixedReset Quote: 16.55 – 17.00
Spot Rate : 0.4500
Average : 0.2913

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.01 %

BAM.PF.F FixedReset Quote: 22.94 – 23.49
Spot Rate : 0.5500
Average : 0.3915

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-27
Maturity Price : 22.29
Evaluated at bid price : 22.94
Bid-YTW : 4.02 %

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