Nothing happened today, either. BORING!
It was another rotten day for the Canadian preferred share market, with PerpetualDiscounts losing 28bp, FixedResets off 4bp and DeemedRetractibles down 19bp. The Performance Highlights table is predictably lengthy. Volume was below 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:
Click for Big
TRP.PR.E, which resets 2019-10-30 at +235, is bid at 21.67 to be $0.56 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.83 cheap at its bid price of 15.50.
Click for Big
Another good fit today!
Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 22.01 to be $0.37 rich, while MFC.PR.M, resetting at +236bp on 2019-12-19, is bid at 22.32 to be $0.35 cheap.
Click for Big
The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 18.41 to be $0.85 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 22.10 and appears to be $1.26 rich.
Click for Big
FTS.PR.K, with a spread of +205bp, and bid at 21.55, looks $0.90 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 20.36 and is $0.79 cheap.
Click for Big
Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.01%, with one outlier above 1.00%. There are no junk outliers.
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 |
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| 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 | 0.2446 % | 2,121.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2446 % | 3,708.7 |
| Floater | 3.46 % | 3.47 % | 57,220 | 18.59 | 3 | 0.2446 % | 2,254.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1070 % | 2,781.1 |
| SplitShare | 4.57 % | 4.91 % | 62,461 | 3.17 | 3 | 0.1070 % | 3,259.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1070 % | 2,543.0 |
| Perpetual-Premium | 5.55 % | 5.09 % | 70,069 | 2.25 | 13 | -0.1530 % | 2,500.8 |
| Perpetual-Discount | 5.35 % | 5.38 % | 85,562 | 14.82 | 23 | -0.2808 % | 2,655.2 |
| FixedReset | 4.66 % | 3.78 % | 213,402 | 16.20 | 88 | -0.0368 % | 2,257.3 |
| Deemed-Retractible | 5.07 % | 5.22 % | 105,889 | 5.48 | 34 | -0.1870 % | 2,599.6 |
| FloatingReset | 2.39 % | 3.17 % | 43,706 | 6.04 | 10 | 0.4564 % | 2,272.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.C | FixedReset | -2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 21.73 Evaluated at bid price : 22.10 Bid-YTW : 4.47 % |
| BAM.PR.Z | FixedReset | -2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 22.22 Evaluated at bid price : 22.57 Bid-YTW : 4.17 % |
| ENB.PR.P | FixedReset | -1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 4.90 % |
| NA.PR.W | FixedReset | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 21.44 Evaluated at bid price : 21.70 Bid-YTW : 3.55 % |
| PWF.PR.K | Perpetual-Discount | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 23.19 Evaluated at bid price : 23.49 Bid-YTW : 5.28 % |
| NA.PR.S | FixedReset | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 22.16 Evaluated at bid price : 22.67 Bid-YTW : 3.51 % |
| ENB.PR.N | FixedReset | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 4.98 % |
| IGM.PR.B | Perpetual-Premium | -1.41 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-12-31 Maturity Price : 25.25 Evaluated at bid price : 25.26 Bid-YTW : 5.83 % |
| ENB.PR.Y | FixedReset | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 17.36 Evaluated at bid price : 17.36 Bid-YTW : 4.72 % |
| BAM.PR.M | Perpetual-Discount | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 5.72 % |
| MFC.PR.C | Deemed-Retractible | -1.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.02 Bid-YTW : 6.28 % |
| SLF.PR.H | FixedReset | -1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.26 Bid-YTW : 6.24 % |
| ENB.PR.T | FixedReset | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.86 % |
| SLF.PR.B | Deemed-Retractible | -1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.14 Bid-YTW : 5.92 % |
| BMO.PR.S | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 22.05 Evaluated at bid price : 22.51 Bid-YTW : 3.51 % |
| HSB.PR.C | Deemed-Retractible | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.76 Bid-YTW : 5.38 % |
| SLF.PR.A | Deemed-Retractible | -1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 5.95 % |
| BMO.PR.M | FixedReset | -1.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 3.16 % |
| CU.PR.G | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 21.83 Evaluated at bid price : 22.11 Bid-YTW : 5.15 % |
| BAM.PR.X | FixedReset | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 3.97 % |
| HSE.PR.E | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 22.75 Evaluated at bid price : 23.90 Bid-YTW : 4.43 % |
| TRP.PR.G | FixedReset | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 22.50 Evaluated at bid price : 23.45 Bid-YTW : 3.86 % |
| BAM.PR.B | Floater | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 14.13 Evaluated at bid price : 14.13 Bid-YTW : 3.37 % |
| BAM.PF.F | FixedReset | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 22.47 Evaluated at bid price : 23.26 Bid-YTW : 3.95 % |
| ELF.PR.F | Perpetual-Discount | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 24.22 Evaluated at bid price : 24.51 Bid-YTW : 5.44 % |
| SLF.PR.I | FixedReset | 1.83 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.43 Bid-YTW : 4.39 % |
| TRP.PR.H | FloatingReset | 2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 2.77 % |
| IFC.PR.C | FixedReset | 2.78 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.85 Bid-YTW : 5.15 % |
| IAG.PR.A | Deemed-Retractible | 3.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.10 Bid-YTW : 5.73 % |
| TRP.PR.F | FloatingReset | 5.83 % | Reverses yesterday‘s nonsense. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 3.42 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.C | FixedReset | 253,521 | TD crossed blocks of 150,000 shares, 40,000 and 52,200, all at 15.45. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 3.56 % |
| TD.PF.E | FixedReset | 77,136 | RBC crossed 75,000 at 24.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 23.04 Evaluated at bid price : 24.70 Bid-YTW : 3.47 % |
| TRP.PR.H | FloatingReset | 67,350 | National bought 11,200 shares from anonymous at 15.50, then two blocks of 10,000 each and one of 25,700 from TD, all at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 2.77 % |
| HSE.PR.A | FixedReset | 33,237 | Desjardins crossed 27,100 at 15.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 15.51 Evaluated at bid price : 15.51 Bid-YTW : 3.97 % |
| HSE.PR.G | FixedReset | 31,537 | RBC bought 12,100 from TD at 23.21. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 22.39 Evaluated at bid price : 23.19 Bid-YTW : 4.60 % |
| RY.PR.Z | FixedReset | 20,156 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2045-07-28 Maturity Price : 21.91 Evaluated at bid price : 22.30 Bid-YTW : 3.37 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TD.PF.A | FixedReset | Quote: 22.05 – 22.78 Spot Rate : 0.7300 Average : 0.4805 YTW SCENARIO |
| CU.PR.D | Perpetual-Discount | Quote: 23.09 – 23.69 Spot Rate : 0.6000 Average : 0.3736 YTW SCENARIO |
| TD.PF.B | FixedReset | Quote: 21.95 – 22.45 Spot Rate : 0.5000 Average : 0.2987 YTW SCENARIO |
| BAM.PR.C | Floater | Quote: 13.12 – 13.92 Spot Rate : 0.8000 Average : 0.6261 YTW SCENARIO |
| RY.PR.M | FixedReset | Quote: 23.80 – 24.40 Spot Rate : 0.6000 Average : 0.4319 YTW SCENARIO |
| MFC.PR.K | FixedReset | Quote: 21.75 – 22.29 Spot Rate : 0.5400 Average : 0.4054 YTW SCENARIO |