August 25, 2015

August 26th, 2015

David Parkinson of the Globe offers up some threads of hope for the Canadian economy:

Statistics Canada reported that, month-over-month, retail sales rose 0.6 per cent in June, adding to May’s 0.9-per-cent rise. While the gain was entirely a result of price increases – on a volume basis, sales were flat in the month – the solid retail performance caps a run of impressive growth from several key components of the Canadian economy. Together, they add up to a rebound in gross domestic product in June, after the first-quarter GDP contraction of 0.6 per cent annualized was followed by further negative readings in April and May.

Forecasters are now pegging June’s month-over-month GDP growth in a range of 0.2 to 0.4 per cent, which would make it the first month of positive GDP since the end of 2014.

The impressive run of June growth indicators started with the merchandise trade report released early this month, which showed a stellar 6.3-per-cent surge in exports over May – a gain so big it wiped out all the declines from the first five months of the year. Since then, the prospects for a strong June GDP number were bolstered by last week’s report of a 1.2-per-cent month-over-month rise in manufacturing sales, and news this week that wholesale sales gained 1.3 per cent.

Equity markets were very nervous today:

Stock bulls looking for a respite from the worst declines since 2011 instead had to watch as a 442-point rally in the Dow Jones Industrial Average vanished in the final hour. The tumble, stretching to 4 percent from the day’s highest level, dashed hopes that China’s interest-rate cut would put a floor under U.S. equities.

Concern bubbled over as the day progressed that fresh stimulus in China wouldn’t be enough to prop up its stock market, where the Shanghai Composite Index has lost 22 percent in four days. Exchange-traded funds tracking China’s A-shares pared gains of as much as 5.2 percent in U.S. trading, halting a rally earlier in the day spurred by policy makers cutting interest rates for a fifth time since November.

At the same time, the rout is occurring at a time of deteriorating market sentiment and stagnant earnings. Owners of mutual and exchange-traded funds yanked $78.8 billion from U.S. shares in the first seven months of 2015, more than in any full year since at least 1993. Profits reported by S&P 500 companies in the second quarter fell 2 percent from a year ago and are projected to slip 5.5 percent in the current period.

Never mind US equity funds, look at how much has been taken off the table in China!

China’s margin debt has plunged by 1 trillion yuan ($156 billion) from its June peak as stock traders close out bets using borrowed money amid a $5 trillion rout.

Outstanding margin loans on the Shanghai and Shenzhen exchanges fell to about 1.25 trillion yuan on Monday from a record high of 2.27 trillion yuan on June 18. The Shanghai Composite Index has plunged 45 percent from its June peak amid concern that the highest valuations among major world markets are unjustified given the outlook for slowing economic growth.

Chinese authorities have taken a page from the western political response and are desperately seeking scapegoats:

Authorities announced a probe of allegations of market malpractice involving the stocks regulator on Tuesday, while the official Xinhua News Agency called for efforts to “purify” the capital markets. The news service also carried remarks by a central bank researcher attributing the global rout to an expected Federal Reserve rate increase.

The Shanghai Composite Index has plunged more than 40 percent from its peak, after concerns over the Chinese economy helped snap a months-long rally encouraged by state-run media. Authorities have repeatedly blamed market manipulators and foreign forces since the sell off began in June and led officials to launch an unprecedented stocks-support program.

Now, after suspending that program, the administration has embarked on a new round of allegations and fault-finding.

And all this is affecting speculation regarding the timing of ‘lift-off’:

Traders see a 28 percent probability that the Fed will raise its target next month, according to data compiled by Bloomberg. That probability rises to 34 percent by the end of October, and jumps to 51 percent by the December gathering.

Yellen holds press conferences after every other Federal Open Market Committee meeting.

Some traders see the lack of an October press conference as a dealbreaker. Yet Yellen has indicated that rate decisions wouldn’t depend on when press conferences are scheduled.

So the September probability, charted on August 19 continues to gyrate.

Liberty Street Economics, a vehicle of the New York Fed, has released a series of posts on market liquidity.

The first is titled Has U.S. Treasury Market Liquidity Deteriorated? which emphasizes that there are many ways to define and measure liquidity and that definitions matter:

As shown in the chart below, bid-ask spreads widened markedly during the crisis, but have been relatively narrow and stable since.

The chart below plots order book depth, measured as the average quantity of securities available for sale or purchase at the best bid and offer prices. Depth rebounded healthily after the crisis, but declined markedly during the 2013 taper tantrum and around the October 15, 2014 flash rally. It is not unusually low at present by recent historical standards.

treasuryDepth
Click for Big

The next chart plots the estimated price impact per $100 million net order flow as calculated weekly over five-minute intervals; higher impacts suggest reduced liquidity. Price impact rose sharply during the crisis, declined markedly after, and then increased some during the taper tantrum and in the week including October 15, 2014. The measure remained somewhat elevated after October 15, but is not now especially high by recent historical standards.

treasuryPriceImpact
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The decline in trade size compared with the precrisis period may merely reflect the increasing prevalence of high frequency trading in the interdealer market, so may be a less reliable indicator of reduced liquidity than the preceding measures.

treasurySize
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While the high-frequency liquidity measures provide a mixed message regarding the state of Treasury liquidity, the daily measures we consider next are more consistent. We first look at the dispersion of yields around a smoothed yield curve as estimated by the average absolute difference between actual yields and predicted yields (Hu, Pan, and Wang [2013] construct a similar measure).

treasuryCurveFitting
Click for Big

If average liquidity is generally good by historical standards, then why all the liquidity concerns? One possibility is that the unease is not so much about on-the-run Treasury securities, but about less liquid Treasury securities or other fixed-income securities such as corporate debt securities, which we have not examined here (and for which there is less detailed data to assess liquidity).

Or perhaps the concerns are not so much about average liquidity levels, as we examined, but about liquidity risk. Indeed the events of October 15 and similar episodes of sharp, seemingly unexplained price changes in the dollar-euro and German Bund markets have heightened worry about tail events in which liquidity suddenly evaporates. Liquidity risk, or really illiquidity risk, is harder to measure than liquidity itself, but we attempt to do so in a future post.

Finally, it might be that liquidity concerns reflect anxiety about future liquidity conditions, with a possible imbalance between liquidity supply and demand. On the demand side, the share of Treasuries owned by mutual funds, which may demand daily liquidity, has increased. On the supply side, the primary dealers have pared their financing activities sharply since the crisis and shown no growth in their gross positions despite the sharp increase in Treasury debt outstanding. Market commentators point to these factors and the current environment of low volatility and worry about what will happen when monetary policy is normalized and volatility rises.

The second post, titled Liquidity during Flash Events, concludes:

In particular, all three events exhibited strained liquidity conditions during periods of extreme price volatility but the Treasury market event arguably exhibited a greater degree of price continuity, consistent with descriptions of the flash rally as “slow-moving.”

The third post, High-Frequency Cross-Market Trading in U.S. Treasury Markets, states:

The cash market platform (in Secaucus, New Jersey) and the futures market exchange (in Aurora, Illinois) exhibit very pronounced cross-market trading activity at an offset of +/-5 milliseconds, strikingly consistent with the time it takes to transmit information between the two trading venues using current microwave tower technology. Spikes occur at both negative and positive offsets, suggesting that sometimes Treasury futures lead cash Treasuries (+5 millisecond offset) and other times the cash market leads futures (-5 millisecond offset), a remarkable fact since it indicates that price discovery takes place in both markets as they can both lead each other.

Cross-market trading by now accounts for a significant portion of trading in Treasury instruments in both the cash and futures markets. This reflects improvements in trading technology that allow for high-frequency trading within and across platforms. In particular, nearly simultaneous trading between the cash and futures platforms now accounts for up to 20 percent of cash market activity on many days.

Market participants often presume that price discovery happens in Treasury futures. However, our findings show that this is not always the case: Although futures usually lead cash, the reverse is also often true. Therefore, from a price discovery point of view, the two markets can effectively be seen as one.

The fourth post is a highly technical piece titled The Evolution of Workups in the U.S. Treasury Securities Market. It’s really only comprehensible if you read the associated staff report on Workups, Order Flow Segmentation and the Role of Dark Pool Trading in the Price Discovery of U.S. Treasury Securities.

The last post, What’s Driving Dealer Balance Sheet Stagnation? investigates the issue of the reason for relatively small dealer balance sheets:

The growing role of electronic trading has likely narrowed bid-ask spreads and reduced dealers’ profits from intermediating customer order flow, causing dealers to step back from making markets and reducing their need for large balance sheets. The changing competitive landscape of market making, as manifested by the entry of nondealer firms since the early 2000s, may therefore also play a role in the post-crisis dealer balance sheet dynamics.

The picture that emerges is that post-crisis dealer asset growth represents the confluence of several issues. Our findings suggest that business-cycle factors (the hangover from the housing boom and bust and subsequent risk aversion) and secular trends (electronification and competitive entry) should be considered alongside tighter regulation in explaining stagnating dealer balance sheets.

Meanwhile, it was a positive day for the Canadian preferred share market with PerpetualDiscounts winning 92bp (due largely to a reversal of yesterday‘s nonsense with ELF.PR.G), FixedResets up 16bp and DeemedRetractibles gaining 10bp. The Performance Highlights table is enormous; there is a huge pool of losers (25 issues) balancing a slightly larger pool of winners (33 issues). 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_150825
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Implied volatility dropped sharply to more normal, but still elevated, levels aided by a more rational quotation for TRP.PR.G (see discussion in the Performance Highlights table).

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.26 to be $0.84 rich, while TRP.PR.C, resetting 2016-1-30 at +164, is $0.79 cheap at its bid price of 12.77.

impVol_MFC_150825
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Another good fit today, while the series maintains its high level of Implied Volatility.

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 23.40 to be 0.91 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, bid at 21.30 to be 0.67 cheap.

impVol_BAM_150825
Click for Big

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.10 to be $1.72 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 20.55 and appears to be $1.21 rich.

impVol_FTS_150825
Click for Big

Implied Volatility dropped today, but remains unreasonably high.

FTS.PR.K, with a spread of +205bp, and bid at 18.25, looks $0.47 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.00 and is $0.21 cheap.

pairs_FR_150825
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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.45%, with one outlier above +0.80%. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.91% and the unregulated issues averaging +0.18%. There are three junk outliers below -1.20%.

pairs_FF_150825
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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 2.2874 % 1,643.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.2874 % 2,873.4
Floater 4.46 % 4.53 % 57,332 16.29 3 2.2874 % 1,747.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.9906 % 2,758.0
SplitShare 4.67 % 5.27 % 55,947 3.13 3 0.9906 % 3,232.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.9906 % 2,521.9
Perpetual-Premium 5.75 % 5.67 % 64,403 14.08 9 0.5796 % 2,474.4
Perpetual-Discount 5.54 % 5.58 % 78,687 14.54 29 0.9179 % 2,551.1
FixedReset 5.05 % 4.24 % 200,589 15.44 87 0.1568 % 2,090.6
Deemed-Retractible 5.21 % 5.35 % 97,635 5.57 34 0.1031 % 2,540.3
FloatingReset 2.37 % 3.59 % 48,243 5.97 9 0.2358 % 2,189.4
Performance Highlights
Issue Index Change Notes
FTS.PR.H FixedReset -4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 3.81 %
CM.PR.Q FixedReset -3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 21.66
Evaluated at bid price : 22.02
Bid-YTW : 3.93 %
BAM.PR.X FixedReset -3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 4.55 %
PWF.PR.P FixedReset -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 15.56
Evaluated at bid price : 15.56
Bid-YTW : 3.63 %
SLF.PR.B Deemed-Retractible -2.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.02
Bid-YTW : 7.12 %
GWO.PR.N FixedReset -2.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.17
Bid-YTW : 8.18 %
BAM.PF.G FixedReset -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 21.72
Evaluated at bid price : 22.11
Bid-YTW : 4.23 %
ENB.PR.Y FixedReset -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 5.51 %
ENB.PF.C FixedReset -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.58 %
MFC.PR.G FixedReset -1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 5.68 %
W.PR.J Perpetual-Discount -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 23.27
Evaluated at bid price : 23.57
Bid-YTW : 6.02 %
ENB.PR.A Perpetual-Discount -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 23.82
Evaluated at bid price : 24.07
Bid-YTW : 5.73 %
BMO.PR.T FixedReset -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 3.65 %
MFC.PR.N FixedReset -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.86
Bid-YTW : 6.30 %
BAM.PF.F FixedReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 21.68
Evaluated at bid price : 22.00
Bid-YTW : 4.23 %
MFC.PR.L FixedReset -1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 6.29 %
ENB.PF.G FixedReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.50 %
MFC.PR.M FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.85
Bid-YTW : 6.38 %
NA.PR.S FixedReset -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 3.87 %
RY.PR.M FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 21.42
Evaluated at bid price : 21.71
Bid-YTW : 3.82 %
ENB.PR.F FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 14.63
Evaluated at bid price : 14.63
Bid-YTW : 5.61 %
MFC.PR.K FixedReset -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.62
Bid-YTW : 6.23 %
PWF.PR.L Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 23.27
Evaluated at bid price : 23.53
Bid-YTW : 5.46 %
RY.PR.H FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 3.67 %
TD.PF.C FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 3.75 %
RY.PR.O Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 23.68
Evaluated at bid price : 24.01
Bid-YTW : 5.15 %
FTS.PR.G FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.07 %
PWF.PR.R Perpetual-Premium 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 24.19
Evaluated at bid price : 24.68
Bid-YTW : 5.61 %
FTS.PR.J Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 21.69
Evaluated at bid price : 22.00
Bid-YTW : 5.41 %
RY.PR.N Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 24.09
Evaluated at bid price : 24.45
Bid-YTW : 5.09 %
BAM.PF.E FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 4.29 %
ENB.PR.B FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 13.81
Evaluated at bid price : 13.81
Bid-YTW : 5.66 %
SLF.PR.E Deemed-Retractible 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.53
Bid-YTW : 7.11 %
POW.PR.D Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 22.32
Evaluated at bid price : 22.59
Bid-YTW : 5.60 %
CU.PR.C FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 3.68 %
PVS.PR.C SplitShare 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.27 %
RY.PR.I FixedReset 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.24 %
PWF.PR.F Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.51 %
BAM.PR.K Floater 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 4.56 %
HSE.PR.A FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 4.67 %
ELF.PR.F Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 22.24
Evaluated at bid price : 22.51
Bid-YTW : 5.96 %
RY.PR.W Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 23.97
Evaluated at bid price : 24.22
Bid-YTW : 5.07 %
BAM.PR.N Perpetual-Discount 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.96 %
POW.PR.B Perpetual-Discount 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.70 %
BMO.PR.S FixedReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 3.67 %
POW.PR.G Perpetual-Premium 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 24.45
Evaluated at bid price : 24.95
Bid-YTW : 5.67 %
HSE.PR.C FixedReset 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.78 %
BAM.PR.C Floater 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 10.55
Evaluated at bid price : 10.55
Bid-YTW : 4.53 %
MFC.PR.J FixedReset 2.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.95
Bid-YTW : 5.69 %
ENB.PR.T FixedReset 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.50 %
BAM.PR.B Floater 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 4.47 %
BAM.PR.R FixedReset 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.78 %
BAM.PF.B FixedReset 4.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 4.36 %
TRP.PR.B FixedReset 4.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 3.95 %
HSE.PR.E FixedReset 4.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 21.66
Evaluated at bid price : 22.00
Bid-YTW : 4.90 %
TRP.PR.C FixedReset 5.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 12.77
Evaluated at bid price : 12.77
Bid-YTW : 4.32 %
TRP.PR.G FixedReset 12.17 % Simply a correction of yesterday‘s nonsensical quote.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.32 %
ELF.PR.G Perpetual-Discount 17.97 % Simply a correction of yesterday‘s nonsensical quote.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.63 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSB.PR.D Deemed-Retractible 115,500 RBC crossed 112,400 at 24.99.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.28 %
BNS.PR.Q FixedReset 71,649 Nesbitt crossed 25,000 at 25.00; TD sold 13,000 to anonymous at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.10 %
BMO.PR.T FixedReset 55,912 Scotia crossed 24,500 at 21.20.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 3.65 %
RY.PR.F Deemed-Retractible 52,083 Nesbitt crossed 50,000 at 24.98.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 4.50 %
TD.PF.C FixedReset 46,503 TD crossed 25,000 at 20.78.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 3.75 %
ENB.PR.T FixedReset 40,812 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.50 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.C FixedReset Quote: 20.51 – 22.00
Spot Rate : 1.4900
Average : 0.8454

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 3.75 %

HSE.PR.G FixedReset Quote: 22.05 – 23.69
Spot Rate : 1.6400
Average : 1.0798

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 21.68
Evaluated at bid price : 22.05
Bid-YTW : 4.89 %

TRP.PR.A FixedReset Quote: 15.15 – 16.20
Spot Rate : 1.0500
Average : 0.6557

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 4.54 %

BAM.PF.F FixedReset Quote: 22.00 – 22.90
Spot Rate : 0.9000
Average : 0.5698

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 21.68
Evaluated at bid price : 22.00
Bid-YTW : 4.23 %

ENB.PR.A Perpetual-Discount Quote: 24.07 – 24.80
Spot Rate : 0.7300
Average : 0.4483

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 23.82
Evaluated at bid price : 24.07
Bid-YTW : 5.73 %

CM.PR.Q FixedReset Quote: 22.02 – 22.95
Spot Rate : 0.9300
Average : 0.6495

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-25
Maturity Price : 21.66
Evaluated at bid price : 22.02
Bid-YTW : 3.93 %

August 24, 2015

August 25th, 2015

It was a day and a half for the equities markets:

The Standard & Poor’s 500 Index fell into a correction for the first time since 2011 in one of the most volatile trading days ever, as a rout in global equity markets deepened.

It was a day of wild swings as equities plunged at the open before staging a sharp rebound, with the Nasdaq 100 Index by midday nearly erasing a 9.8 percent drop. The Dow Jones Industrial Average dropped 1,000 points in the opening minutes of trading, while the S&P 500 tumbled 5.3 percent and then pared declines before an afternoon wave of renewed selling.

The S&P 500 dropped 3.9 percent to 1,893.21 at 4 p.m. in New York, and closed 11 percent below its May record. The Dow lost 588.40 points, or 3.6 percent, to 15,871.35, after sliding as much as 6.6 percent. The Nasdaq Composite Index retreated 3.8 percent to its lowest level since Oct. 27, trimming an early 8.8 percent skid.

Oil got clobbered:

West Texas intermediate oil (WTI) on Monday crashed below $40 (U.S.) a barrel in its biggest one-day drop in almost two months, extending losses as concerns over the health of China’s economy triggered a broad selloff in everything from metals to health and finance.

On Monday, WTI oil posted another loss, tumbling more than 5 per cent to $38.24 a barrel. Brent, the global benchmark, fell 6.1 per cent to $42.69 a barrel.

So Canadian equities and the loonie got smacked:

The S&P/TSX index dropped more than 420.9 points or 3.12 per cent to 13,052.74, the worst in almost plunge in almost four years. All 10 main groups fell at least 1 per cent, with the energy sector off 4.3 per cent as WTI crude oil prices slumped near the $38 (U.S.) level. The benchmark Canadian equity gauge has fallen 9.8 per cent this month, headed for a fourth straight monthly decline, the longest such streak since September, 2011.

The Canadian dollar was down nearly half a cent at 75.40 cents (U.S.).

And the news was being talked about even by those with no interest in economics:

The Prime Minister’s Office announced that Stephen Harper spoke with Bank of Canada Governor Stephen Poloz Monday about the latest upheaval in financial markets.

The notice made no mention of Finance Minister Joe Oliver, who would normally be the government’s main point of contact with the Bank of Canada.

And so there was an unwelcome guest in the preferred share market today:

death
Click for Big

At press time, a Bloomberg story timestamped 2:21am reported:

U.S. and European equity-index futures advanced after Monday’s $2.7 trillion global equity wipeout, while the yen retreated with government bonds. Chinese shares headed for the biggest four-day drop in almost 19 years.

Futures on the Standard & Poor’s 500 Index rose 1.2 percent after the U.S. benchmark entered a correction for the first time since 2011. The Shanghai Composite Index took its loss since Wendnesday beyond 20 percent as investors question the government’s ability to stem losses. The dollar strengthened versus major peers as 10-year Treasury yields rose for the first time in five days. Oil climbed 1.4 percent in New York after falling to $38.24 a barrel.

It was a thoroughly appalling day for the Canadian preferred share market; there may have been worse ones during the depths of the Credit Crunch nearly seven years ago, but I can’t think of any offhand. PerpetualDiscounts were down 217bp, FixedResets lost 274bp and DeemedRetractibles were off 94bp. Huge losses in Floaters and SplitShares that would normally be worth special mention are today mere bagatelles. With all that, it may come as a surprise that there was one winner in today’s extraordinarily lengthy Performance Highlights table; but this table also contains fourteen issues losing more than 5%, a level that is usually indicative of a grievous error. Volume was very high, but block action was subdued.

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_150824
Click for Big

A big jump in Implied Volatility today, but whether it’s meaningful in the light of such poorly fitting data is another question!

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.20 to be $1.58 rich, while TRP.PR.G, resetting 2020-11-30 at +296, is $1.60 cheap at its nonsensical bid price of 18.81 (see discussion in the Performance Highlights table).

impVol_MFC_150824
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Another good fit today! There was another massive increase in Implied Volatility today. Two MFC issues had sufficiently poor bid/bid performances over the day to be discussed further in the Performance Highlights table, but those bids were deemed to be reasonable.

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 23.27 to be 0.63 rich, while MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 20.41 to be 0.81 cheap.

impVol_BAM_150824
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The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.62 to be $2.16 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.60 and appears to be $1.49 rich.

impVol_FTS_150824
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A big jump in Implied Volatility to an unreasonably high level today.

FTS.PR.K, with a spread of +205bp, and bid at 18.20, looks $0.35 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.80 and is $0.43 cheap.

pairs_FR_150824
Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.52%, with no outliers. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.87% and the unregulated issues averaging -0.02%. There is one junk outlier above +0.80% and three below -1.20%.

pairs_FF_150824
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 -2.5738 % 1,606.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.5738 % 2,809.1
Floater 4.57 % 4.62 % 56,066 16.12 3 -2.5738 % 1,708.0
OpRet 0.00 % 0.00 % 0 0.00 0 -1.4508 % 2,731.0
SplitShare 4.71 % 5.47 % 56,283 3.13 3 -1.4508 % 3,200.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -1.4508 % 2,497.2
Perpetual-Premium 5.78 % 5.80 % 63,425 14.11 9 -0.9975 % 2,460.1
Perpetual-Discount 5.59 % 5.59 % 79,394 14.48 29 -2.1685 % 2,527.9
FixedReset 5.06 % 4.26 % 195,595 15.30 87 -2.7381 % 2,087.4
Deemed-Retractible 5.21 % 5.34 % 98,904 5.56 34 -0.9440 % 2,537.7
FloatingReset 2.38 % 3.63 % 48,654 5.96 9 -1.0250 % 2,184.2
Performance Highlights
Issue Index Change Notes
ELF.PR.G Perpetual-Discount -16.71 % This is ridiculous. The issue traded 4,000 shares today in a range of 21.50-74, making it one of the better behaved issues, and still the TMX quotes it with a nonsensical bid. 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 : 2045-08-24
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 6.65 %
TRP.PR.G FixedReset -8.91 % Another ridiculous misquotation from the Toronto Exchange. The issue traded 9,120 shares today in a range of 18.47-22.04, which sounds quite exciting, but the VWAP was 20.62 – only a nickel below yesterday’s closing price – and the closing price was 21.20; so on a close/close basis, the issue is actually a winner! 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 : 2045-08-24
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 4.85 %
FTS.PR.M FixedReset -8.46 % The issue traded 10,515 shares today in a range of 19.63-21.51 (!) before closing at a quote of 19.70-00. The VWAP was 20.02, so this quotations is actually quite reasonable. Hurray! Send a thank-you card to the Toronto Exchange and bake them a cake!
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 4.22 %
BAM.PR.T FixedReset -8.15 % The issue traded 15,481 shares today in a range of 16.50-17.91 before closing with a quote of 16.45-21. The VWAP was 17.20, but the last twenty-four trades of the day, commencing at 2:48pm, were all at 16.69 and below, so again we can rejoice that the Exchange has not made an obvious error this time.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.77 %
FTS.PR.K FixedReset -6.67 % The issue traded 11,870 shares today in a range of 18.08-75 before closing with a quote of 18.20-55. There were eight trades after 3pm, all executed at 18.32 and below, so we’ll give the Exchange a pass on this one as well.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.00 %
TD.PF.E FixedReset -6.65 % The issue traded 2,770 shares in a range of 23.97-57 before closing with a quote of 23.02-24.25. The VWAP was 24.17. 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 : 2045-08-24
Maturity Price : 22.28
Evaluated at bid price : 23.02
Bid-YTW : 3.81 %
MFC.PR.M FixedReset -6.19 % The issue traded 10,467 shares in a range of 19.58-21.46 before closing with a quote of 20.14-35. VWAP was 20.29. There were a lot of 100-lots traded after 3pm, some as low as 19.58 but most closer to 20.00, so we can call this a reasonable quote.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.14
Bid-YTW : 6.18 %
BAM.PF.B FixedReset -5.67 % The issue traded 18,965 shares today in an extraordinary range of 17.67-20.50 (I don’t think we’ve seen anything like that, at least for a non-special-situation company, since the Credit Crunch!) before closing with a quote of 19.15-20.16. The VWAP was 19.84. All twenty-five trades executed after 3:26pm were at or below the closing bid – some, like four trades totalling 600 shares at 17.67, well below! – so this is a decent bid. Given the day’s action, I’ll cut the market maker a little slack on the closing offer and consequent wide spread.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.56 %
ENB.PR.B FixedReset -5.54 % This issue traded 8,250 shares today in a range of 13.20-11, with a VWAP of 13.74, before closing with a quote of 13.64-89, which is quite reasonable.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 13.64
Evaluated at bid price : 13.64
Bid-YTW : 5.74 %
MFC.PR.N FixedReset -5.39 % The issue traded 5,925 shares today in a range of 19.80-21.40, with a VWAP of 20.47, before closing with a quote of 20.18-21.45. The last twelve trades of the day, commencing at 3:05pm, were al below 20.00, so the closing bid of 20.18 is reasonable; or, should I say, a reasonable reflection of market conditions!
YTW SCENARIO
Maturity Type : Hard Maturity1
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.18
Bid-YTW : 6.09 %
ENB.PF.A FixedReset -5.34 % The issue traded 8,491 shares today in a range of 15.34-16.97, with a VWAP of 16.23, before closing with a quote of 16.13-28 – a surprisingly tight quote! Additionally, each of the last 23 trades, commencing at 1:54pm, were inside the closing quote, so for this one we should actually give the market maker a pat on the back.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 16.13
Evaluated at bid price : 16.13
Bid-YTW : 5.53 %
HSE.PR.C FixedReset -5.34 % The issue traded 7,290 shares today in a range of 20.00-21.08, with a VWAP of 20.65, before closing with a quote of 20.40-80. The last trade for the day, 100 shares at 1:17pm, was executed at 20.27.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.90 %
FTS.PR.G FixedReset -5.32 % The issue traded 4,560 shares today in a range of 16.62-18.57, with a VWAP of 18.07, before closing with a quote of 17.80-50. The last fourteen trades of the day, commencing at 12:12pm, were all inside the closing quote. So it’s OK … kind of a wide spread, but that’s what happens when the devil comes to town!
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.11 %
TRP.PR.F FloatingReset -5.22 % The issue traded 4,750 shares today in a range of 12.01-14.28 (!), with a VWAP of 13.74, before closing with a quote of 14.33-50. So the closing bid was above the day high; I think we can call this, if anything, a rather sunny quote!
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 14.33
Evaluated at bid price : 14.33
Bid-YTW : 4.00 %
ENB.PR.T FixedReset -4.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 5.65 %
NA.PR.W FixedReset -4.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.85 %
BAM.PR.N Perpetual-Discount -4.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 6.06 %
TRP.PR.C FixedReset -4.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 12.16
Evaluated at bid price : 12.16
Bid-YTW : 4.54 %
RY.PR.M FixedReset -4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.63
Evaluated at bid price : 22.00
Bid-YTW : 3.77 %
MFC.PR.J FixedReset -4.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.41
Bid-YTW : 6.03 %
IFC.PR.A FixedReset -4.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.25
Bid-YTW : 8.56 %
RY.PR.J FixedReset -4.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.99
Evaluated at bid price : 22.50
Bid-YTW : 3.76 %
FTS.PR.H FixedReset -4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 3.65 %
BMO.PR.Q FixedReset -4.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.46
Bid-YTW : 4.68 %
HSE.PR.E FixedReset -4.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.16 %
BAM.PR.C Floater -4.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 10.28
Evaluated at bid price : 10.28
Bid-YTW : 4.65 %
BNS.PR.Z FixedReset -4.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.95
Bid-YTW : 5.19 %
ENB.PF.C FixedReset -4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 5.47 %
ELF.PR.F Perpetual-Discount -3.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.94
Evaluated at bid price : 22.18
Bid-YTW : 6.05 %
BNS.PR.Y FixedReset -3.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.87
Bid-YTW : 4.81 %
ENB.PR.N FixedReset -3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 15.12
Evaluated at bid price : 15.12
Bid-YTW : 5.66 %
GWO.PR.R Deemed-Retractible -3.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 6.79 %
NA.PR.S FixedReset -3.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.82 %
ENB.PR.F FixedReset -3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 5.53 %
MFC.PR.I FixedReset -3.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.81
Bid-YTW : 5.42 %
BAM.PR.R FixedReset -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 15.62
Evaluated at bid price : 15.62
Bid-YTW : 4.93 %
ENB.PF.E FixedReset -3.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 5.48 %
BMO.PR.S FixedReset -3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 3.74 %
PWF.PR.S Perpetual-Discount -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.65 %
BNS.PR.D FloatingReset -3.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.46
Bid-YTW : 4.62 %
BMO.PR.W FixedReset -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.73 %
MFC.PR.G FixedReset -3.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.69
Bid-YTW : 5.44 %
GWO.PR.H Deemed-Retractible -3.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 6.70 %
ENB.PF.G FixedReset -3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.41 %
BAM.PF.C Perpetual-Discount -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.10 %
ENB.PR.P FixedReset -2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 14.88
Evaluated at bid price : 14.88
Bid-YTW : 5.56 %
IFC.PR.C FixedReset -2.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.30
Bid-YTW : 6.15 %
FTS.PR.F Perpetual-Discount -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.86
Evaluated at bid price : 22.10
Bid-YTW : 5.56 %
BAM.PR.M Perpetual-Discount -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 6.01 %
SLF.PR.I FixedReset -2.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 5.00 %
ENB.PR.J FixedReset -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 5.36 %
BAM.PR.K Floater -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 4.62 %
W.PR.H Perpetual-Discount -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 23.42
Evaluated at bid price : 23.71
Bid-YTW : 5.87 %
BAM.PF.D Perpetual-Discount -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.07 %
SLF.PR.H FixedReset -2.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 6.23 %
SLF.PR.E Deemed-Retractible -2.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.27
Bid-YTW : 7.28 %
SLF.PR.D Deemed-Retractible -2.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.13
Bid-YTW : 7.32 %
POW.PR.B Perpetual-Discount -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 23.10
Evaluated at bid price : 23.36
Bid-YTW : 5.80 %
MFC.PR.L FixedReset -2.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 6.09 %
PWF.PR.R Perpetual-Premium -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 23.92
Evaluated at bid price : 24.40
Bid-YTW : 5.67 %
POW.PR.G Perpetual-Premium -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 23.92
Evaluated at bid price : 24.40
Bid-YTW : 5.80 %
TD.PF.B FixedReset -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 3.71 %
CM.PR.P FixedReset -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 3.76 %
TD.PF.D FixedReset -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 22.29
Evaluated at bid price : 23.01
Bid-YTW : 3.72 %
FTS.PR.J Perpetual-Discount -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.43
Evaluated at bid price : 21.75
Bid-YTW : 5.47 %
ENB.PR.H FixedReset -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 5.46 %
BAM.PF.E FixedReset -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.34 %
POW.PR.D Perpetual-Discount -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 5.67 %
SLF.PR.A Deemed-Retractible -2.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.32
Bid-YTW : 6.87 %
GWO.PR.L Deemed-Retractible -2.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.68
Bid-YTW : 5.99 %
BAM.PF.A FixedReset -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.36 %
BMO.PR.T FixedReset -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 3.58 %
TRP.PR.A FixedReset -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 15.13
Evaluated at bid price : 15.13
Bid-YTW : 4.55 %
MFC.PR.H FixedReset -2.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.27
Bid-YTW : 4.79 %
BIP.PR.A FixedReset -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.14 %
ENB.PR.Y FixedReset -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 15.03
Evaluated at bid price : 15.03
Bid-YTW : 5.39 %
GWO.PR.G Deemed-Retractible -2.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.26
Bid-YTW : 6.34 %
CM.PR.O FixedReset -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.61
Evaluated at bid price : 21.90
Bid-YTW : 3.57 %
MFC.PR.K FixedReset -1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.87
Bid-YTW : 6.06 %
GWO.PR.I Deemed-Retractible -1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 6.82 %
SLF.PR.B Deemed-Retractible -1.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.57
Bid-YTW : 6.76 %
PWF.PR.P FixedReset -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.53 %
SLF.PR.C Deemed-Retractible -1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 7.24 %
ENB.PR.D FixedReset -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 5.52 %
HSE.PR.G FixedReset -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.64
Evaluated at bid price : 22.00
Bid-YTW : 4.90 %
PWF.PR.F Perpetual-Discount -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 23.38
Evaluated at bid price : 23.67
Bid-YTW : 5.59 %
CM.PR.Q FixedReset -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 22.16
Evaluated at bid price : 22.79
Bid-YTW : 3.77 %
TD.PF.A FixedReset -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 3.70 %
PVS.PR.C SplitShare -1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 24.42
Bid-YTW : 5.89 %
POW.PR.A Perpetual-Premium -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 5.77 %
TD.PF.C FixedReset -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 20.74
Evaluated at bid price : 20.74
Bid-YTW : 3.71 %
GWO.PR.S Deemed-Retractible -1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 5.67 %
RY.PR.I FixedReset -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.46
Bid-YTW : 3.48 %
PWF.PR.K Perpetual-Discount -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.57 %
PVS.PR.B SplitShare -1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 4.96 %
RY.PR.W Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 23.59
Evaluated at bid price : 23.86
Bid-YTW : 5.15 %
RY.PR.N Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 23.82
Evaluated at bid price : 24.16
Bid-YTW : 5.16 %
PWF.PR.E Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 23.99
Evaluated at bid price : 24.24
Bid-YTW : 5.72 %
W.PR.J Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.90 %
GWO.PR.Q Deemed-Retractible -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.68
Bid-YTW : 6.04 %
BAM.PR.Z FixedReset -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 4.42 %
TRP.PR.B FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 4.13 %
GWO.PR.M Deemed-Retractible -1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 5.72 %
MFC.PR.C Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 7.15 %
RY.PR.L FixedReset -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.63 %
CU.PR.G Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 5.53 %
BMO.PR.Y FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 22.73
Evaluated at bid price : 23.89
Bid-YTW : 3.57 %
TD.PR.Z FloatingReset -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 3.63 %
RY.PR.H FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 3.63 %
CU.PR.F Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.52 %
IAG.PR.G FixedReset -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.08
Bid-YTW : 4.21 %
VNR.PR.A FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.52 %
PVS.PR.D SplitShare -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.47 %
GWO.PR.N FixedReset -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.55
Bid-YTW : 7.86 %
GWO.PR.P Deemed-Retractible -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.89 %
TRP.PR.D FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 4.23 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.E FixedReset 94,877 RBC bought two blocks of 25,000 each from Scotia, both at 19.20.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.26 %
BMO.PR.L Deemed-Retractible 37,430 Nesbitt crossed 21,500 at 25.56.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-09-23
Maturity Price : 25.50
Evaluated at bid price : 25.56
Bid-YTW : 2.64 %
CM.PR.O FixedReset 32,005 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.61
Evaluated at bid price : 21.90
Bid-YTW : 3.57 %
IGM.PR.B Perpetual-Premium 27,800 Nesbitt crossed 25,000 at 25.35.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 5.88 %
SLF.PR.A Deemed-Retractible 27,791 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.32
Bid-YTW : 6.87 %
RY.PR.Z FixedReset 27,499 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.61 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ELF.PR.G Perpetual-Discount Quote: 18.14 – 21.50
Spot Rate : 3.3600
Average : 1.9784

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 6.65 %

TRP.PR.G FixedReset Quote: 18.81 – 22.05
Spot Rate : 3.2400
Average : 1.9794

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 4.85 %

TD.PF.E FixedReset Quote: 23.02 – 24.25
Spot Rate : 1.2300
Average : 0.6641

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 22.28
Evaluated at bid price : 23.02
Bid-YTW : 3.81 %

MFC.PR.N FixedReset Quote: 20.18 – 21.45
Spot Rate : 1.2700
Average : 0.7800

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.18
Bid-YTW : 6.09 %

BAM.PF.B FixedReset Quote: 19.15 – 20.16
Spot Rate : 1.0100
Average : 0.6249

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.56 %

BAM.PR.T FixedReset Quote: 16.45 – 17.21
Spot Rate : 0.7600
Average : 0.4528

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-24
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.77 %

August 21, 2015

August 22nd, 2015

It was a kind of interesting day:

Volatility surged as Standard & Poor’s 500 Index capped the worst week in three years while Europe entered a correction and stocks from Hong Kong to Indonesia tumbled into bear markets. Junk bond yields rose to the highest since October 2012 and U.S. Treasuries had the largest weekly gain in five months. Oil sank below $40 a barrel for the first time since 2009 and was set for its longest losing streak since 1986.

The S&P 500 dropped 3.2 percent, the most since November 2011, to below 2,000. The index is down more than 7 percent from a record after sinking below a trading range that has supported it for most of the year. The Dow Jones Industrial Average fell more than 500 points, as is down 10 percent from its record high in May.

Hong Kong’s Hang Seng Index dropped 1.3 percent, taking declines since an April high beyond 20 percent. The Shanghai Composite Index slumped 4.3 percent, bringing the week’s loss to more than 10 percent and coming within one point of erasing all gains since the government began efforts to prop up the market in July.

The Stoxx Europe 600 Index lost 3.3 percent, as the selloff engulfed all western European markets and industries in the benchmark gauge. The index had its worst weekly loss since 2011, down 6.5 percent. It is down 13 percent from an April high, entering a correction.

U.S. Treasuries had their biggest weekly gain in five months as demand for fixed income soared. Ten-year notes drew support from signs the Federal Reserve will keep interest rates close to zero for longer, and from a decline in oil prices that helped push a gauge of inflation expectations toward its lowest since 2010.

Futures show that traders see a 34 percent chance the Fed will raise interest rates at its September meeting, down from a 48 percent probability at the end of last week.

Bloomberg has an interesting story on US lawyers, which also sheds some light on the source of student debt:

Since 2008 partner earnings at firms of all sizes have decreased 9 percent in constant dollars, according to federal tax filings. Solo practitioners have been struggling for much longer. Since 1988 earnings for standalone attorneys, of which there are about 354,000 nationally, have declined 31 percent. The legal industry has shed more than 50,000 jobs in the past eight years. The decline began decades ago. Solo practitioners began floundering in the late 1980s. Their average income, adjusted for inflation, was $71,000 in 1988; it was $49,000 in 2012.

Even as business was tanking for a lot of lawyers, American law schools happily welcomed more students. In 1987 there were 175 accredited American law schools. By 2010 there were 200, and after steadily increasing for years, enrollment peaked at 52,000 that year.

And as far as today’s preferred share market is concerned …

explosions
Click for Big

It was a horrible, horrible day for the Canadian preferred share market, with PerpetualDiscounts off 61bp, FixedResets losing 104bp and DeemedRetractibles down 70bp. Floaters got slaughtered. The Performance Highlights table … well, let’s just not talk about it, shall we? Volume was high.

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_150821
Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.20 to be $0.96 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.75 cheap at its bid price of 13.77.

impVol_MFC_150821
Click for Big

Another good fit today! There was a massive increase in Implied Volatility today.

Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 21.33 to be 0.53 rich, while MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 21.39 to be 0.58 cheap.

impVol_BAM_150821
Click for Big

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 16.21 to be $2.02 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.75 and appears to be $1.13 rich.

impVol_FTS_150821
Click for Big

FTS.PR.K, with a spread of +205bp, and bid at 19.50, looks $0.41 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 18.80 and is $0.75 cheap.

pairs_FR_150821A
Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.29%, with one outlier above +0.80%. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.96% and the unregulated issues averaging +0.16%. There are three junk outliers below -1.20%.

pairs_FF_150821
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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 -8.0519 % 1,649.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -8.0519 % 2,883.3
Floater 4.45 % 4.49 % 55,686 16.38 3 -8.0519 % 1,753.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0948 % 2,771.2
SplitShare 4.64 % 5.05 % 56,539 3.14 3 -0.0948 % 3,247.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0948 % 2,533.9
Perpetual-Premium 5.72 % 5.53 % 60,155 2.04 9 -0.1542 % 2,484.9
Perpetual-Discount 5.47 % 5.52 % 79,062 14.60 29 -0.6060 % 2,583.9
FixedReset 4.92 % 4.11 % 196,895 15.58 87 -1.0399 % 2,146.1
Deemed-Retractible 5.16 % 5.29 % 97,328 5.55 34 -0.6964 % 2,561.9
FloatingReset 2.39 % 3.55 % 49,349 5.97 9 -1.3120 % 2,206.8
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -10.82 % Reasonably real, but perhaps more awful than it should be. The day’s range was 10.40-12.04 (!) on volume of 16,130 shares, with a VWAP of 11.18. The last twenty-five trades of the day are all above 10.75; and all trades after 3:15 were at 11.00 or better. The closing quote was 10.47-20, 5×1.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 10.47
Evaluated at bid price : 10.47
Bid-YTW : 4.57 %
BAM.PR.K Floater -7.56 % Quite real enough! The day’s range was 10.30-11.59 on volume of 6,900 shares; VWAP was 10.88 and the closing quote was 10.64-91, 1×1.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 10.64
Evaluated at bid price : 10.64
Bid-YTW : 4.49 %
BAM.PR.C Floater -5.70 % Totally real. Day’s range was 10.24-11.50 on 10,172 shares; VWAP 10.67; closing quote 10.75-89, 1×1.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.45 %
TRP.PR.F FloatingReset -4.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 15.12
Evaluated at bid price : 15.12
Bid-YTW : 3.84 %
HSE.PR.A FixedReset -4.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 4.65 %
BAM.PR.R FixedReset -4.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 4.65 %
MFC.PR.G FixedReset -4.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 4.95 %
CU.PR.C FixedReset -4.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 3.63 %
ENB.PR.Y FixedReset -4.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.19 %
MFC.PR.J FixedReset -3.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.39
Bid-YTW : 5.36 %
TRP.PR.A FixedReset -3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 15.46
Evaluated at bid price : 15.46
Bid-YTW : 4.37 %
ENB.PR.N FixedReset -3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 15.74
Evaluated at bid price : 15.74
Bid-YTW : 5.35 %
MFC.PR.H FixedReset -3.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 4.46 %
HSE.PR.E FixedReset -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 21.65
Evaluated at bid price : 22.00
Bid-YTW : 4.85 %
FTS.PR.H FixedReset -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 15.54
Evaluated at bid price : 15.54
Bid-YTW : 3.41 %
ENB.PR.P FixedReset -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 5.31 %
HSE.PR.C FixedReset -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 4.55 %
IFC.PR.A FixedReset -2.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.03
Bid-YTW : 7.87 %
FTS.PR.M FixedReset -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 3.79 %
ENB.PR.H FixedReset -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 13.91
Evaluated at bid price : 13.91
Bid-YTW : 5.23 %
FTS.PR.G FixedReset -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 3.82 %
MFC.PR.B Deemed-Retractible -2.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.36
Bid-YTW : 6.74 %
MFC.PR.K FixedReset -2.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.27
Bid-YTW : 5.75 %
RY.PR.O Perpetual-Discount -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 23.49
Evaluated at bid price : 23.80
Bid-YTW : 5.19 %
MFC.PR.I FixedReset -2.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.64
Bid-YTW : 4.88 %
ENB.PR.D FixedReset -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 5.32 %
ENB.PF.E FixedReset -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 5.21 %
BAM.PF.B FixedReset -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.23 %
ENB.PF.G FixedReset -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 5.17 %
TRP.PR.C FixedReset -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 12.77
Evaluated at bid price : 12.77
Bid-YTW : 4.20 %
TRP.PR.G FixedReset -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.36 %
IAG.PR.A Deemed-Retractible -1.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.22
Bid-YTW : 6.31 %
MFC.PR.C Deemed-Retractible -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 6.97 %
BIP.PR.A FixedReset -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.98 %
ENB.PF.C FixedReset -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.16 %
ENB.PR.T FixedReset -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 5.28 %
CM.PR.Q FixedReset -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 22.39
Evaluated at bid price : 23.20
Bid-YTW : 3.63 %
PWF.PR.S Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.43 %
GWO.PR.I Deemed-Retractible -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.67
Bid-YTW : 6.54 %
FTS.PR.J Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 21.96
Evaluated at bid price : 22.25
Bid-YTW : 5.34 %
BNS.PR.Z FixedReset -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.84
Bid-YTW : 4.41 %
MFC.PR.L FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 5.72 %
RY.PR.A Deemed-Retractible -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.67
Bid-YTW : 4.71 %
SLF.PR.H FixedReset -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.85
Bid-YTW : 5.83 %
W.PR.J Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 24.09
Evaluated at bid price : 24.35
Bid-YTW : 5.82 %
SLF.PR.C Deemed-Retractible -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.91
Bid-YTW : 6.97 %
BAM.PR.X FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 4.28 %
SLF.PR.E Deemed-Retractible -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.08
Bid-YTW : 6.92 %
BNS.PR.C FloatingReset -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.81
Bid-YTW : 3.76 %
CU.PR.E Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 21.77
Evaluated at bid price : 22.10
Bid-YTW : 5.55 %
BMO.PR.R FloatingReset -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.76
Bid-YTW : 3.55 %
TD.PR.T FloatingReset -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.77
Bid-YTW : 3.49 %
ENB.PF.A FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 5.15 %
GWO.PR.N FixedReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.71
Bid-YTW : 7.65 %
HSE.PR.G FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 21.92
Evaluated at bid price : 22.40
Bid-YTW : 4.75 %
SLF.PR.D Deemed-Retractible -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.93
Bid-YTW : 6.96 %
RY.PR.K FloatingReset -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.03
Bid-YTW : 3.64 %
TRP.PR.B FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 12.16
Evaluated at bid price : 12.16
Bid-YTW : 3.98 %
GWO.PR.G Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 6.04 %
ENB.PR.B FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 14.44
Evaluated at bid price : 14.44
Bid-YTW : 5.31 %
CU.PR.D Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 21.81
Evaluated at bid price : 22.16
Bid-YTW : 5.53 %
SLF.PR.B Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.48 %
RY.PR.W Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 23.97
Evaluated at bid price : 24.22
Bid-YTW : 5.07 %
RY.PR.H FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.53 %
BAM.PR.T FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 4.28 %
PVS.PR.D SplitShare -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.26 %
ENB.PR.F FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.23 %
BMO.PR.Y FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 22.85
Evaluated at bid price : 24.17
Bid-YTW : 3.46 %
SLF.PR.G FixedReset 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.68
Bid-YTW : 7.10 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.G Deemed-Retractible 92,120 Nesbitt crossed 75,000 at 25.10.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.34 %
PWF.PR.R Perpetual-Premium 45,559 Nesbitt crossed 30,000 at 25.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 24.51
Evaluated at bid price : 25.00
Bid-YTW : 5.53 %
ENB.PR.B FixedReset 34,765 Recent downgrade.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 14.44
Evaluated at bid price : 14.44
Bid-YTW : 5.31 %
ENB.PR.F FixedReset 33,325 Recent downgrade.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.23 %
ENB.PR.Y FixedReset 29,218 Recent downgrade.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.19 %
TD.PF.D FixedReset 28,813 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 22.57
Evaluated at bid price : 23.55
Bid-YTW : 3.56 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Quote: 15.46 – 16.20
Spot Rate : 0.7400
Average : 0.4023

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 15.46
Evaluated at bid price : 15.46
Bid-YTW : 4.37 %

TRP.PR.G FixedReset Quote: 20.65 – 21.50
Spot Rate : 0.8500
Average : 0.5972

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.36 %

IFC.PR.A FixedReset Quote: 17.03 – 17.71
Spot Rate : 0.6800
Average : 0.4337

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.03
Bid-YTW : 7.87 %

RY.PR.O Perpetual-Discount Quote: 23.80 – 24.47
Spot Rate : 0.6700
Average : 0.4244

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 23.49
Evaluated at bid price : 23.80
Bid-YTW : 5.19 %

BAM.PR.B Floater Quote: 10.47 – 11.20
Spot Rate : 0.7300
Average : 0.5087

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-21
Maturity Price : 10.47
Evaluated at bid price : 10.47
Bid-YTW : 4.57 %

TD.PR.T FloatingReset Quote: 22.77 – 23.22
Spot Rate : 0.4500
Average : 0.2914

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.77
Bid-YTW : 3.49 %

August 20, 2015

August 21st, 2015

George Athanassakos of UWO makes an interesting point about the Taylor Rule:

Since the markets have spoken, what is the Fed waiting for? Why is the Fed not raising its effective interest rate yet? According to the well-known Taylor rule, which stipulates by how much nominal interest rates should change in response to a change in inflation and economic activity, the interest rate set by the Fed should have stood by now at about 2 per cent as opposed to almost zero per cent – not because of a rise in inflation but simply because of a pickup in economic activity.

Now if economic activity also results in a pickup of inflationary expectations, then an even higher normalized nominal federal-funds interest rate should be called for. This seems to have been coming into focus recently given that the iShares Long U.S Treasury Bond prices (which were up on a year-over-year basis) are now down by over 3 per cent since May, 2015, while the iShares U.S. TIPS Bond Index is down only by about 1.5 per cent over the same period.

The loonie has problems. Wait a minute, you think the loonie has problems?

Kazakhstan’s tenge plunged a record 23 percent after the country relinquished control of its exchange rate, becoming the latest emerging market to abandon efforts to prop up its currency after China devalued the yuan.

The nation has switched to a free float and will pursue an inflation-targeting monetary policy, Prime Minister Karim Massimov told a government meeting in Astana. Supply and demand will determine the exchange rate, central bank Governor Kairat Kelimbetov said, adding that there will only be intervention if stability is threatened. The tenge sank to an all-time low of 257.21 per dollar in Almaty, data compiled by Bloomberg show.

Russia let the ruble float freely and switched to inflation targeting in November after spending about $90 billion last year from reserves trying to contain the depreciation.

The ruble has lost 46 percent of its value in the past 12 months, versus a 7.6 percent weakening for the tenge before today’s switch. As a result, Kazakhstan witnessed an influx of grain, metals, construction materials, oil products and coal from its northern neighbor, according to Kazakh business association Atameken.

Bloomberg has put together a list of other currencies that looks shaky. Who wants to play dominos?

There was no respite from yesterday’s moronization in the Canadian preferred share market today, with PerpetualDiscounts down 29bp, FixedResets losing 88bp and DeemedRetractibles off 25bp. Yet another extremely lengthy Performance Highlights table is yet again dominated by losing FixedResets. 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_150820A
Click for Big

TRP.PR.E, which resets 2019-10-30 at +235, is bid at 19.08 to be $0.65 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.69 cheap at its bid price of 13.02.

impVol_MFC_150820
Click for Big

Another good fit today!

Most expensive is MFC.PR.H, resetting at +313bp on 2017-3-19, bid at 24.54 to be 0.40 rich, while MFC.PR.J, resetting at +261bp on 2018-3-19, bid at 22.24 to be 0.26 cheap.

impVol_BAM_150820
Click for Big

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 17.00 to be $1.40 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.76 and appears to be $0.97 rich.

impVol_FTS_150820
Click for Big

FTS.PR.M, with a spread of +248bp, and bid at 22.10, looks $0.47 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 19.25 and is $0.70 cheap.

pairs_FR_150820
Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.29%, with one outlier above +1.00%. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.40% and the unregulated issues averaging +0.21%. There are two junk outliers below -1.00%.

pairs_FF_150820
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 -3.9634 % 1,793.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -3.9634 % 3,135.8
Floater 4.09 % 4.15 % 54,336 17.06 3 -3.9634 % 1,906.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3644 % 2,773.8
SplitShare 4.64 % 5.05 % 56,318 3.14 3 -0.3644 % 3,250.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3644 % 2,536.3
Perpetual-Premium 5.71 % 5.21 % 60,072 2.05 9 -0.0044 % 2,488.7
Perpetual-Discount 5.44 % 5.48 % 79,029 14.65 29 -0.2887 % 2,599.7
FixedReset 4.87 % 4.06 % 196,661 15.78 87 -0.8789 % 2,168.7
Deemed-Retractible 5.12 % 5.19 % 97,471 5.42 34 -0.2494 % 2,579.8
FloatingReset 2.36 % 3.38 % 49,070 5.98 9 -0.3791 % 2,236.2
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset -6.14 % Real enough, I guess! Volume was 4,300 shares, the low for the day was 16.06 and the closing quote was 16.04-07, 2×3. The VWAP, on the other hand, was 16.85 and only 550 shares actually changed hands at prices less than 16.50, so who knows? Maybe the market maker looked at the market, looked at his inventories, thought hard … and then remembered he had a doctor’s appointment in the afternoon.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 16.04
Evaluated at bid price : 16.04
Bid-YTW : 4.20 %
BAM.PR.B Floater -5.32 % This one is quite real. Volume was 4,893 and the day’s range was 11.71-40 with a closing quote of 11.74-06, 1×3. The VWAP was 12.00 and the last 17 trades of the day were all below this figure.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 11.74
Evaluated at bid price : 11.74
Bid-YTW : 4.07 %
MFC.PR.I FixedReset -4.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.11
Bid-YTW : 4.62 %
BAM.PR.C Floater -4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 4.19 %
VNR.PR.A FixedReset -4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 4.42 %
ENB.PR.N FixedReset -3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 5.17 %
ENB.PR.T FixedReset -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.18 %
HSE.PR.A FixedReset -3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 4.42 %
TRP.PR.B FixedReset -2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.93 %
ENB.PF.E FixedReset -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 5.10 %
MFC.PR.G FixedReset -2.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 4.37 %
PWF.PR.P FixedReset -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.37 %
MFC.PR.J FixedReset -2.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.24
Bid-YTW : 4.86 %
ENB.PF.C FixedReset -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 5.07 %
ENB.PF.A FixedReset -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.08 %
ENB.PR.P FixedReset -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 15.77
Evaluated at bid price : 15.77
Bid-YTW : 5.16 %
BAM.PF.F FixedReset -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 22.02
Evaluated at bid price : 22.49
Bid-YTW : 4.07 %
ENB.PR.J FixedReset -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.10 %
BAM.PR.R FixedReset -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.43 %
TRP.PR.G FixedReset -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.28 %
BAM.PR.K Floater -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 11.51
Evaluated at bid price : 11.51
Bid-YTW : 4.15 %
TRP.PR.C FixedReset -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 4.11 %
MFC.PR.C Deemed-Retractible -1.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.14
Bid-YTW : 6.72 %
IAG.PR.G FixedReset -1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 4.06 %
FTS.PR.M FixedReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 21.74
Evaluated at bid price : 22.10
Bid-YTW : 3.66 %
ENB.PF.G FixedReset -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 5.06 %
BNS.PR.Y FixedReset -1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 3.98 %
MFC.PR.M FixedReset -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 5.29 %
ENB.PR.D FixedReset -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 14.81
Evaluated at bid price : 14.81
Bid-YTW : 5.21 %
FTS.PR.G FixedReset -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 3.72 %
MFC.PR.K FixedReset -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.72
Bid-YTW : 5.47 %
MFC.PR.B Deemed-Retractible -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.86
Bid-YTW : 6.43 %
BIP.PR.A FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 21.57
Evaluated at bid price : 21.90
Bid-YTW : 4.86 %
IFC.PR.A FixedReset -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.50
Bid-YTW : 7.50 %
SLF.PR.A Deemed-Retractible -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.21
Bid-YTW : 6.48 %
PWF.PR.T FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 22.48
Evaluated at bid price : 23.15
Bid-YTW : 3.35 %
NA.PR.Q FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 3.51 %
SLF.PR.C Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 6.78 %
BMO.PR.Y FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 22.72
Evaluated at bid price : 23.87
Bid-YTW : 3.52 %
ELF.PR.F Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 22.74
Evaluated at bid price : 23.03
Bid-YTW : 5.82 %
SLF.PR.B Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.54
Bid-YTW : 6.33 %
MFC.PR.H FixedReset -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.54
Bid-YTW : 4.05 %
PVS.PR.B SplitShare -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 24.72
Bid-YTW : 4.67 %
CM.PR.O FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 21.97
Evaluated at bid price : 22.40
Bid-YTW : 3.42 %
TD.PF.D FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 22.60
Evaluated at bid price : 23.60
Bid-YTW : 3.55 %
CU.PR.C FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 21.54
Evaluated at bid price : 21.92
Bid-YTW : 3.44 %
NA.PR.S FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 21.72
Evaluated at bid price : 22.02
Bid-YTW : 3.57 %
SLF.PR.E Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.37
Bid-YTW : 6.73 %
BAM.PF.G FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 22.14
Evaluated at bid price : 22.76
Bid-YTW : 4.03 %
ELF.PR.G Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 5.48 %
TD.PF.A FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 3.56 %
TRP.PR.D FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.23 %
BAM.PR.X FixedReset 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 15.46
Evaluated at bid price : 15.46
Bid-YTW : 4.22 %
IAG.PR.A Deemed-Retractible 1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.04 %
TD.PF.B FixedReset 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 3.53 %
BMO.PR.W FixedReset 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.56 %
CM.PR.Q FixedReset 3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 22.59
Evaluated at bid price : 23.59
Bid-YTW : 3.56 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset 72,200 TD crossed 32,500 at 22.65, then sold 10,000 to RBC at 22.50.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 21.97
Evaluated at bid price : 22.40
Bid-YTW : 3.42 %
TD.PR.T FloatingReset 61,568 Desjardins crossed 47,200 at 23.10; Nesbitt sold 10,000 to anonymous at 23.12.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.06
Bid-YTW : 3.28 %
CU.PR.H Perpetual-Discount 44,370 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 23.47
Evaluated at bid price : 23.78
Bid-YTW : 5.55 %
ENB.PR.N FixedReset 28,510 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 5.17 %
BAM.PR.T FixedReset 27,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.23 %
TRP.PR.D FixedReset 24,392 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.23 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.T FixedReset Quote: 23.15 – 23.99
Spot Rate : 0.8400
Average : 0.5546

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 22.48
Evaluated at bid price : 23.15
Bid-YTW : 3.35 %

MFC.PR.G FixedReset Quote: 23.45 – 24.02
Spot Rate : 0.5700
Average : 0.3489

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 4.37 %

VNR.PR.A FixedReset Quote: 19.88 – 20.68
Spot Rate : 0.8000
Average : 0.5947

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 4.42 %

BMO.PR.W FixedReset Quote: 21.00 – 21.35
Spot Rate : 0.3500
Average : 0.2129

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.56 %

BAM.PF.E FixedReset Quote: 20.82 – 21.75
Spot Rate : 0.9300
Average : 0.8003

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 4.17 %

RY.PR.Z FixedReset Quote: 21.45 – 21.90
Spot Rate : 0.4500
Average : 0.3203

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-20
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 3.49 %

DBRS Downgrades ENB Preferreds To Junk

August 21st, 2015

DBRS has announced:

has today downgraded Enbridge Inc.’s (ENB) Issuer Rating and Medium-Term Notes & Unsecured Debentures rating to BBB (high) from A (low), Commercial Paper rating to R-2 (high) from R-1 (low) and Cumulative Redeemable Preferred Shares rating to Pfd-3 (high) from Pfd-2 (low). The trends are all Stable. ENB’s ratings were placed Under Review with Developing Implications on December 3, 2014, and changed to Under Review with Negative Implications on June 19, 2015 (please see DBRS press releases for details). The current action removes the ratings from Under Review with Negative Implications.

The ENB ratings downgrade is consistent with DBRS’s expectations as noted in the June 19, 2015, press release and follows today’s approval by the public shareholders of Enbridge Income Fund Holdings Inc. (EIFH) of the Transaction described below. For the rationale for the downgrade of ENB’s ratings, please see “Impact on ENB – Update”, below.

IMPACT ON ENB – UPDATE
Following its review of the EIFH Management Information Circular (MIC), DBRS continues to believe that the combination of the Transaction and the EECI Transfer have negatively impacted ENB’s credit risk profile. Please see the June 19, 2015, DBRS press release for the main factors leading to that conclusion.

Prior to closing, EPA will issue a senior unsecured promissory note to ENB with a principal amount of approximately $4.1 billion (the Mirror Note), representing a portion of the required capitalization of EPA. Payments of principal and interest by EPA thereunder have been structured to mirror the payments of certain principal and interest required under certain Canadian MTNs issued by ENB.

While DBRS recognizes that the $4.1 billion Mirror Note provides ENB with a senior claim on EPA assets ranking ahead of EIF bond holder claims, this factor does not fully offset the increased structural subordination with respect to EPI’s assets and the loss of full access to EPA cash flows available prior to the Transaction.

Based on its review, DBRS has downgraded all of ENB’s ratings by one notch, with Stable trends following completion of the Transaction.

The two earlier warnings from DBRS were reported in PrefBlog in the posts Rating Agencies Unhappy With Enbridge and ENB Finalizes Dropdown; S&P Downgrades To P-2(low); DBRS Review-Negative.

Moody’s downgraded the ENB preferreds to junk in June, 2015.

Affected issues are: ENB.PF.A, ENB.PF.C, ENB.PF.E, ENB.PF.G, ENB.PR.A, ENB.PR.B, ENB.PR.D, ENB.PR.F, ENB.PR.H, ENB.PR.J, ENB.PR.N, ENB.PR.P, ENB.PR.T and ENB.PR.Y.

This is a major development: ENB issues comprise about 10% of the preferred share universe. If we look at the CPD credit quality breakdown, we find the sponsor indicates levels of 75.67% investment grade, 22.37% junk and 1.66% “other” (I confess I’m not sure what is meant by “other”). A shift of 10% between groups is significant!

I also note that the BMO-CM “50″ index is 9.07% ENB issues.

I do not expect significant price action as a result of this downgrade – it was well telegraphed in advance and Enbridge fans can comfort themselves with the thought that the issues remain investment-grade according to S&P. Additionally, we may examine Chart FR-29 from the August PrefLetter:

PL_150814_App_FR_Chart_29
Click for Big

This chart shows the relationship between Issue Reset Spread and YTW for all FixedResets for which the YTW Scenario is extension until perpetuity. Correlations are fairly low, 10% for the “Pfd-2 Group” (issues rated Pfd-2(high), Pfd-2 and Pfd-2(low) by DBRS) and 15% for the Pfd-3 Group, but given that all information about each issue other than Issue Reset Spread, credit group, YTW and YTW-scenario has been thrown out, I’d say it’s close enough for government work!

The point is … see those purple boxes (Pfd-2 Group) that are right smack dab on top of the Pfd-3 Group regression line? That’s Enbridge. The downgrade has been anticipated by the market; we can construct the following table:

ENB FixedResets – Predicted vs. Actual YTW
August 14, 2015
Ticker Issue
Reset
Spread
Predicted
YTW
Pfd-2
Predicted
YTW
Pfd-3
Actual
YTW
ENB.PF.A 266 4.11% 5.16% 4.91%
ENB.PF.C 264 4.10% 5.14% 4.90%
ENB.PF.E 266 4.11% 5.16% 4.90%
ENF.PF.G 268 4.12% 5.18% 4.98%
ENB.PR.B 240 3.99% 4.94% 4.97%
ENB.PR.D 237 3.97% 4.92% 4.97%
ENB.PR.F 251 4.04% 5.03% 4.97%
ENB.PR.H 212 3.85% 4.71% 4.78%
ENB.PR.J 257 4.07% 5.08% 4.93%
ENB.PR.N 265 4.10% 5.15% 4.98%
ENB.PR.P 250 4.03% 5.03% 4.93%
ENB.PR.T 250 4.03% 5.03% 4.95%
ENB.PR.Y 238 3.98% 4.92% 4.75%

Still, there will always be some investors who are surprised and others who were hoping a longshot affirmation would come through – so we’ll just see what the coming weeks bring by way of price movement!

August 19, 2015

August 19th, 2015

The Fed is uncertain on inflation:

Federal Reserve officials signaled concern about stubbornly low inflation even as they indicated that an improving job market is bringing them closer to the first interest-rate increase in almost a decade.

Participants in the July 28-29 Federal Open Market Committee meeting said economic conditions “were approaching that point” where the economy could sustain a slight increase in borrowing costs, according to minutes of the meeting released in Washington on Wednesday.

Preserving their flexibility on the timing of rate liftoff, they also showed more concern about how soon they would hit their 2 percent inflation target, a goal they have missed for more than three years.

… so the cowboys are getting cold feet about the Fed liftoff:

Traders gearing up for the Federal Reserve to raise interest-rates next month reversed course Wednesday after minutes from the central bank’s July meeting showed policy makers were still waffling on whether the economy is strong enough to warrant higher borrowing costs.

That’s far short of the confidence they expected to see from a central bank supposedly just weeks away from what would be the first increase in almost a decade.

The probability that futures traders assign to a rate boost next month slid to 36 percent, the lowest since July, from about 50 percent earlier in the day. The levels assume that the Fed’s target will average 0.375 percent after the first move. The chance of an increase at or before the Fed’s December meeting dropped as well, to 65 percent from 73 percent Tuesday.

liftoffodds
Click for Big

GWO, proud issuer of more preferred shares than you can shake a stick at, was confirmed at Pfd-1(high) by DBRS:

Combining somewhat higher leverage with stable profits, GWO has been able to produce an above-peer return on equity in the mid-teens for several years running. As the Company is the largest insurer in Canada, its top-line growth will be limited largely to total market growth. Growth by acquisition within Canada is also constrained, given the dominance of the big three insurers. Achieving a full turnaround with the Putnam investment subsidiary has proven elusive, but recently its funds have achieved high-ranking performance statistics, which should allow a shift toward better results.

Financial leverage at June 30, 2015, is 27.5%, which has shown considerable improvement over recent quarters.

The Canadian operations have a Minimum Continuing Capital and Surplus Requirements ratio of 229%, which is satisfactory. The Company’s U.S. subsidiaries follow and meet U.S. regulatory requirements.

The Company’s credit rating may be negatively affected by an extended decline in interest rates or equity market returns (though it is less sensitive to these declines than its peers), which would affect long-term product profitability; a sustained reduction in earnings; or by large debt-financed acquisitions. Conversely, GWO’s rating may benefit from further improvements in its leverage and coverage ratios.

Today’s market moronization means that none of the following numbers should be taken very seriously, but we’ll do what we can …

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts up 18bp, FixedResets getting whacked for 74bp and DeemedRetractibles gaining 10bp. The Performance Highlights table is:

. Volume was high

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_150819
Click for Big

TRP.PR.A, which resets 2019-12-31 at +192, is bid at 17.09 to be $0.69 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.82 cheap at its bid price of 13.29.

impVol_MFC_150819
Click for Big

Another good fit today!

Most expensive is MFC.PR.I, resetting at +286bp on 2017-9-19, bid at 24.22 to be 0.34 rich, while MFC.PR.N, resetting at +230bp on 2020-3-19, is bid at 21.31 to be $0.29 cheap.

impVol_BAM_150819
Click for Big

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 17.37 to be $1.16 cheap. BAM.PF.G, resetting at +284bp on 2020-6-30 is bid at 22.99 and appears to be $1.07 rich.

impVol_FTS_150819
Click for Big

FTS.PR.M, with a spread of +248bp, and bid at 22.51, looks $0.52 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 19.56 and is $0.60 cheap.

pairs_FR_150819
Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.29%, with no outliers. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.48% and the unregulated issues averaging +0.09%. There are three junk outliers below -1.00%.

pairs_FF_150819
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 -3.5294 % 1,867.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -3.5294 % 3,265.2
Floater 3.93 % 4.00 % 55,061 17.37 3 -3.5294 % 1,985.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0217 % 2,783.9
SplitShare 4.62 % 5.04 % 55,762 3.15 3 0.0217 % 3,262.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0217 % 2,545.6
Perpetual-Premium 5.71 % 5.39 % 60,202 2.05 9 0.1898 % 2,488.9
Perpetual-Discount 5.42 % 5.46 % 78,136 14.70 29 0.1849 % 2,607.2
FixedReset 4.82 % 3.96 % 190,573 15.83 87 -0.7423 % 2,187.9
Deemed-Retractible 5.11 % 5.26 % 96,347 5.43 34 0.1035 % 2,586.3
FloatingReset 2.35 % 3.37 % 49,190 5.98 9 -0.0548 % 2,244.7
Performance Highlights
Issue Index Change Notes
BMO.PR.W FixedReset -5.50 % See notes regarding Market Moronization.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 3.66 %
CM.PR.Q FixedReset -4.64 % See notes regarding Market Moronization.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 22.18
Evaluated at bid price : 22.82
Bid-YTW : 3.71 %
BAM.PR.K Floater -4.39 % See notes regarding Market Moronization.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 4.06 %
ENB.PR.H FixedReset -4.32 % See notes regarding Market Moronization.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 14.18
Evaluated at bid price : 14.18
Bid-YTW : 5.13 %
BAM.PR.X FixedReset -4.16 % See notes regarding Market Moronization.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 15.19
Evaluated at bid price : 15.19
Bid-YTW : 4.30 %
TD.PF.A FixedReset -3.89 % See notes regarding Market Moronization.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.62 %
TD.PF.B FixedReset -3.71 % See notes regarding Market Moronization.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.61 %
BAM.PF.E FixedReset -3.55 % See notes regarding Market Moronization.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.21 %
TRP.PR.D FixedReset -3.31 % See notes regarding Market Moronization.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 4.29 %
BAM.PR.B Floater -3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 3.85 %
BAM.PR.C Floater -3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 11.93
Evaluated at bid price : 11.93
Bid-YTW : 4.00 %
ENB.PR.D FixedReset -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.12 %
ENB.PR.Y FixedReset -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 4.95 %
RY.PR.Z FixedReset -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 21.32
Evaluated at bid price : 21.62
Bid-YTW : 3.44 %
TRP.PR.G FixedReset -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.18 %
CU.PR.C FixedReset -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 3.39 %
NA.PR.S FixedReset -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 21.88
Evaluated at bid price : 22.25
Bid-YTW : 3.53 %
NA.PR.W FixedReset -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 3.59 %
TD.PF.C FixedReset -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 3.55 %
MFC.PR.N FixedReset -1.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.31
Bid-YTW : 5.34 %
TRP.PR.B FixedReset -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 12.67
Evaluated at bid price : 12.67
Bid-YTW : 3.81 %
HSE.PR.E FixedReset -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 22.19
Evaluated at bid price : 22.81
Bid-YTW : 4.65 %
CM.PR.P FixedReset -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 3.59 %
PWF.PR.K Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 22.56
Evaluated at bid price : 22.82
Bid-YTW : 5.46 %
PWF.PR.T FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 22.64
Evaluated at bid price : 23.44
Bid-YTW : 3.29 %
ENB.PR.B FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 5.27 %
PWF.PR.P FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 3.28 %
HSE.PR.C FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 21.77
Evaluated at bid price : 22.15
Bid-YTW : 4.41 %
BAM.PR.T FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.26 %
POW.PR.D Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 5.53 %
MFC.PR.J FixedReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.83
Bid-YTW : 4.52 %
FTS.PR.G FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 3.66 %
ENB.PR.F FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 5.13 %
CU.PR.D Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 22.18
Evaluated at bid price : 22.53
Bid-YTW : 5.44 %
CU.PR.E Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 22.12
Evaluated at bid price : 22.44
Bid-YTW : 5.46 %
RY.PR.W Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 24.30
Evaluated at bid price : 24.61
Bid-YTW : 4.99 %
FTS.PR.J Perpetual-Discount 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 22.31
Evaluated at bid price : 22.70
Bid-YTW : 5.23 %
ELF.PR.H Perpetual-Discount 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 23.75
Evaluated at bid price : 24.21
Bid-YTW : 5.73 %
FTS.PR.K FixedReset 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 3.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset 194,658 RBC bought blocks of 12,000 and 10,300 from anonymous, both at 22.70. TD crossed 100,000 at 22.72 and another 25,000 at 22.70.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 22.13
Evaluated at bid price : 22.65
Bid-YTW : 3.37 %
MFC.PR.G FixedReset 54,307 Desjardins crossed 50,000 at 24.02.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 4.02 %
BMO.PR.T FixedReset 48,858 RBC bought 10,000 from CIBC at 22.21.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 21.83
Evaluated at bid price : 22.20
Bid-YTW : 3.36 %
TD.PF.F Perpetual-Discount 47,876 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 23.98
Evaluated at bid price : 24.33
Bid-YTW : 5.07 %
CM.PR.P FixedReset 37,770 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 3.59 %
TRP.PR.C FixedReset 37,149 RBC crossed 28,900 at 13.45.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 13.29
Evaluated at bid price : 13.29
Bid-YTW : 4.03 %
There were 45 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Quote: 22.82 – 24.05
Spot Rate : 1.2300
Average : 0.7592

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 22.18
Evaluated at bid price : 22.82
Bid-YTW : 3.71 %

BAM.PF.E FixedReset Quote: 20.65 – 21.75
Spot Rate : 1.1000
Average : 0.6580

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.21 %

MFC.PR.L FixedReset Quote: 20.80 – 21.84
Spot Rate : 1.0400
Average : 0.6711

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.80
Bid-YTW : 5.53 %

FTS.PR.F Perpetual-Discount Quote: 22.75 – 23.60
Spot Rate : 0.8500
Average : 0.5699

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 5.39 %

MFC.PR.N FixedReset Quote: 21.31 – 22.10
Spot Rate : 0.7900
Average : 0.5173

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.31
Bid-YTW : 5.34 %

CU.PR.C FixedReset Quote: 22.15 – 22.99
Spot Rate : 0.8400
Average : 0.5855

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 3.39 %

Anonymous / RBC Moronize Market!

August 19th, 2015

Well! There’s going to be a little bounce in the tracking error reports next time the ETF figures come out!

TXPR was down 0.81%:

TXPR_150819
Click for Big

See that? Just a tiny little sliver of vertical drop at 3:59pm, from about 676.70 to what the TMX claims is 672.10, although that’s off the chart.

But the ETF based on TXPR, CPD? Down a mere 0.37%:

CPD_150819
Click for Big

TXPL? Down 1.15% … you can just see a little sliver at the end, where the index moves from about 728.25 to a claimed 721.77, which is again off the chart.

TXPL_150819
Click for Big

How about the ETF based on TXPL, ZPR? Down a mere 0.18%:

zpr_150819
Click for Big

It’s rather odd. Unfortunately the Exchange’s indices are based on prices while my indices and all my data are based on quotes, but we’ll see what we can do … let’s look at some of the big losers on a bid/bid basis:

BMO.PR.W FixedReset -5.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 3.66 %

The day’s range was 21.38-66 (quite reasonable!), but the closing quote was 20.44-50, 40×2, which must be some kind of record for separation between the two measures. There are nine trades timestamped 3:59, totalling 1,680 shares, executed in a range of 21.38-40. Six of these trades are listed with RBC as the seller, three with anonymous.

CM.PR.Q FixedReset -4.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 22.18
Evaluated at bid price : 22.82
Bid-YTW : 3.71 %

The day’s range was 22.64-23.95 (!) with a closing quote of 22.82-24.05 (!), 17×20. There are five trades timestamped 3:59, totalling 600 shares, executed in a range of 22.64-82. Four of these trades have an anonymous seller, one RBC.

BAM.PR.K Floater -4.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 4.06 %

The day’s range was 11.70-32 with a closing quote of 11.75-24, 19×3. There were no trades timestamped 3:59.

ENB.PR.H FixedReset -4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 14.18
Evaluated at bid price : 14.18
Bid-YTW : 5.13 %

The day’s range was 14.18-92 with a closing quote of 14.18-55, 8×1. There are 24 trades timestamped 3:59, totalling 2,460 shares, executed in a range of 14.18-50. Fourteen of these trades have an anonymous seller, nine RBC, one Nesbitt.

BAM.PR.X FixedReset -4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 15.19
Evaluated at bid price : 15.19
Bid-YTW : 4.30 %

The day’s range was 15.23-85 with a closing quote of 15.19-74, 5×3. There are six trades timestamped 3:59, totalling 700 shares, executed in a range of 15.23-38. Five of these trades have an anonymous seller, one RBC.

TD.PF.A FixedReset -3.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.62 %

The day’s range was 21.00-91 with a closing quote of 21.00-55, 15×1. There are thirteen trades timestamped 3:59, totalling 1,666 shares, executed in a range of 21.00-70 (!) There is one sale from Laurentian, five from RBC and seven anonymous.

TD.PF.B FixedReset -3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.61 %

The day’s range was 21.00-94 with a closing quote of 21.00-67, 15×1. There are fourteen trades timestamped 3:59, totalling 1,366 shares, executed in a range of 21.00-65 (!). There are two sales from National, four from RBC and eight anonymous.

BAM.PF.E FixedReset -3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.21 %

The day’s range was 20.01-21.54 (!) with a closing quote of 20.65-21.75 (!), 8×56. There are six trades timestamped 3:59, totalling 700 shares, all executed at 20.67 (the day’s low of 20.01 was 400 shares executed at 3:12, seller was National). Five of the last minute sales were anonymous, one RBC.

TRP.PR.D FixedReset -3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-19
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 4.29 %

The day’s range was 18.42-10, with a closing quote of 18.42-06, 3×1. There are thirteen trades timestamped 3:59, totalling 2,400 shares, executed in a range of 18.42-95. Seven of these trades are RBC, six anonymous.

*****************************************************

Well, that’s enough examples to be getting along with!

Here’s my guess: a broker from RBC decided to get a lot of his clients out of the preferred share market and his Sales Assistant spent all day inputting the orders for execution at 3:59. Some of these were put in as anonymous, some as RBC (maybe their algorithm input screen has a tick box and default?). The behaviour of BMO.PR.W suggests that these were limit orders (maybe a limit of 20.50 on those?) but other evidence (e.g., CM.PR.Q) suggests that if there was a limit, it was pretty low relative to the day’s trading.

Then the clock ticked 3:59 and presto! The market, being thin, got moronized on relatively tiny volume!

I will emphasize that the above is a guess! I have no way of telling whether the orders listed as anonymous were in fact coming out of RBC. The RBC broker might have been given explicit instructions by clients about how they wanted the trades executed. Each of these tiny little sales that I do know came out of RBC could have been from a different broker. They could also have come directly out of individual investors independently via RBC Direct Investing. It could have been an institutional client with Direct Market Access via RBC (or even RBC’s preferred desk itself), doing something silly with an algorithm. It could have been a lot of things.

August 18, 2015

August 18th, 2015

The dong has been devalued:

The State Bank of Vietnam weakened its reference rate by 1 percent to 21,890 dong a dollar effective Wednesday, it said in a statement on its website. The authority also widened the currency’s trading band to 3 percent on either side of the fixing. The dong fell 1.4 percent to 22,408 as of 10:36 a.m. in Hanoi, according to data compiled by Bloomberg.

The devaluation comes after the central bank widened the dong’s trading band to 2 percent from 1 percent on Aug.12, a day after China’s surprise policy shift heightened the risk of a currency war. Prime Minister Nguyen Tan Dung is seeking to safeguard slowing export growth and the State Bank said it’s concerned about the prospect of higher U.S. interest rates.

“After the strong devaluation of the yuan, Vietnam’s domestic market sentiment is still very much concerned about the impact of the U.S. Federal Reserve’s rate increase,” the central bank said in its statement. The reference rate and the trading band are being adjusted “in order to proactively lead the market and preempt negative impacts of the possibility that the Fed will increase rates.”

And there’s pressure on Thailand:

Bangkok’s deadly bomb attack this week is set to hit Thailand’s last remaining growth pillar with travel warnings and canceled trips, adding pressure on authorities to restore confidence and stimulate the economy.

Weaker tourism in the next two to three quarters will probably hurt Thailand’s economic growth and the explosion could have a longer-lasting impact on visitor numbers compared with previous incidents in the past decade, Standard & Poor’s said Tuesday.

It also increases the probability that the Bank of Thailand will cut interest rates again this year, according to Credit Suisse, Australia & New Zealand Banking Group Ltd., Nomura Holdings Inc. and BMI.

“It reinforces our view of further monetary easing ahead,” said Weiwen Ng, a Singapore-based economist at ANZ, who estimates tourism accounts for 20 percent of the economy, including indirect effects. “Domestic demand — which is already sluggish — will be derailed. Bank of Thailand will also probably allow some baht weakness to help boost exports.”

Today’s technology news is that Uncle Sam is Yelping:

Adding customer satisfaction ratings and reviews to public services just got easier now that Yelp offers a terms of service for official government use.

Yelp, a Web and mobile-based user review platform, hosts insights from “real people giving their honest and personal opinions on everything from restaurants and spas to coffee shops.” With the addition of Public Services and Government under the Yelp umbrella, agencies can continue to find new ways to use customer insights to improve citizen services.

Agencies are now able to use Yelp to potentially:

  • ◾Claim existing pages or launch new pages to listen and respond to customer comments
  • ◾Use customer feedback data to drive improvements in citizen services.

It was yet another poor day for the Canadian preferred share market, with PerpetualDiscounts off 7bp, FixedResets losing 35bp and DeemedRetractibles down 13bp. The Performance Highlights table is again notable for the relatively large number of TRP and ENB issues included in the less desirable neighborhood. Volume was very low.

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_150818
Click for Big

TRP.PR.A, which resets 2019-12-31 at +192, is bid at 17.00 to be $0.49 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.90 cheap at its bid price of 13.26.

impVol_MFC_150818
Click for Big

Another good fit today!

Most expensive is MFC.PR.I, resetting at +286bp on 2017-9-19, bid at 24.27 to be 0.38 rich, while MFC.PR.J, resetting at +261bp on 2018-3-19, is bid at 22.60 to be $0.41 cheap.

impVol_BAM_150818
Click for Big

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 17.43 to be $1.30 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 21.41 and appears to be $1.13 rich.

impVol_FTS_150818
Click for Big

Not very reliable; the calculated level of Implied Volatility dropped from 17% yesterday, largely due to a highly suspicious bid on FTS.PR.K (see the Performance Highlights table).

FTS.PR.H, with a spread of +145bp, and bid at 15.90, looks $0.79 expensive and resets 2020-6-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 19.36 and is $0.49 cheap.

pairs_FR_150818
Click for Big

Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.35%, with no outliers. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.47% and the unregulated issues averaging -0.10%. There are three junk outliers below -1.00%.

pairs_FF_150818
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 -3.4091 % 1,935.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -3.4091 % 3,384.7
Floater 3.79 % 3.88 % 53,434 17.64 3 -3.4091 % 2,057.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.2140 % 2,783.3
SplitShare 4.57 % 4.95 % 55,180 3.11 3 0.2140 % 3,261.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2140 % 2,545.1
Perpetual-Premium 5.72 % 5.53 % 60,165 2.05 9 0.0177 % 2,484.1
Perpetual-Discount 5.43 % 5.51 % 79,409 14.67 29 -0.0745 % 2,602.4
FixedReset 4.79 % 3.94 % 195,840 15.99 87 -0.3467 % 2,204.3
Deemed-Retractible 5.11 % 5.25 % 98,023 5.43 34 -0.1289 % 2,583.6
FloatingReset 2.35 % 3.29 % 45,575 5.99 9 -0.0150 % 2,245.9
Performance Highlights
Issue Index Change Notes
FTS.PR.K FixedReset -4.90 % Not particularly real, since the issue traded 3,800 shares today in a range of 19.53-01 and a VWAP of 19.80. The closing quote was 19.02-20.04. 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 : 2045-08-18
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 3.75 %
BAM.PR.K Floater -4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 3.88 %
ENB.PR.B FixedReset -3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 14.73
Evaluated at bid price : 14.73
Bid-YTW : 5.20 %
BAM.PR.C Floater -3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 12.31
Evaluated at bid price : 12.31
Bid-YTW : 3.88 %
TRP.PR.G FixedReset -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 21.63
Evaluated at bid price : 22.00
Bid-YTW : 4.06 %
BAM.PR.B Floater -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 3.73 %
MFC.PR.J FixedReset -1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 4.65 %
RY.PR.H FixedReset -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 21.54
Evaluated at bid price : 21.81
Bid-YTW : 3.45 %
ENB.PR.F FixedReset -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 5.18 %
BAM.PF.E FixedReset -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 4.05 %
ENB.PR.H FixedReset -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 4.89 %
PWF.PR.T FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 22.81
Evaluated at bid price : 23.77
Bid-YTW : 3.23 %
ELF.PR.H Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 23.30
Evaluated at bid price : 23.70
Bid-YTW : 5.86 %
TRP.PR.E FixedReset -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 4.15 %
FTS.PR.H FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 3.33 %
MFC.PR.N FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.74
Bid-YTW : 5.08 %
ENB.PR.P FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 5.01 %
GWO.PR.Q Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.22
Bid-YTW : 5.71 %
ENB.PF.C FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.96 %
TRP.PR.C FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 4.04 %
ENB.PF.G FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.94 %
ENB.PR.T FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 16.23
Evaluated at bid price : 16.23
Bid-YTW : 5.02 %
ENB.PF.E FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 4.96 %
HSE.PR.E FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 22.44
Evaluated at bid price : 23.25
Bid-YTW : 4.54 %
HSE.PR.G FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 22.26
Evaluated at bid price : 22.95
Bid-YTW : 4.61 %
FTS.PR.F Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 5.39 %
IAG.PR.G FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.80 %
SLF.PR.G FixedReset 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.55
Bid-YTW : 7.19 %
PWF.PR.L Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 23.99
Evaluated at bid price : 24.30
Bid-YTW : 5.28 %
HSE.PR.C FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 21.94
Evaluated at bid price : 22.40
Bid-YTW : 4.36 %
VNR.PR.A FixedReset 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.20 %
BAM.PR.T FixedReset 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.21 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset 59,300 Scotia crossed 23,300 at 22.47; RBC crossed 22,900 at 22.50.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 21.96
Evaluated at bid price : 22.40
Bid-YTW : 3.32 %
ENB.PR.Y FixedReset 47,200 RBC crossed blocks of 10,500 and 14,700, both at 16.50.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.83 %
BAM.PF.A FixedReset 28,924 RBC crossed 21,300 at 21.97.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 4.15 %
W.PR.H Perpetual-Discount 21,773 Desjardins crossed 20,000 at 24.54.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 5.66 %
ENB.PR.N FixedReset 20,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 4.98 %
ENB.PR.B FixedReset 20,318 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 14.73
Evaluated at bid price : 14.73
Bid-YTW : 5.20 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.K FixedReset Quote: 19.02 – 20.04
Spot Rate : 1.0200
Average : 0.6269

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 3.75 %

BNS.PR.D FloatingReset Quote: 21.37 – 21.79
Spot Rate : 0.4200
Average : 0.2612

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.37
Bid-YTW : 3.92 %

BAM.PR.C Floater Quote: 12.31 – 12.70
Spot Rate : 0.3900
Average : 0.2525

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 12.31
Evaluated at bid price : 12.31
Bid-YTW : 3.88 %

SLF.PR.I FixedReset Quote: 23.08 – 23.50
Spot Rate : 0.4200
Average : 0.2905

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.08
Bid-YTW : 4.56 %

BAM.PF.E FixedReset Quote: 21.41 – 21.70
Spot Rate : 0.2900
Average : 0.1735

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-18
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 4.05 %

MFC.PR.C Deemed-Retractible Quote: 21.48 – 21.92
Spot Rate : 0.4400
Average : 0.3247

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.48
Bid-YTW : 6.50 %

August PrefLetter Released!

August 18th, 2015

The August, 2015, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

The regular appendices reporting on DeemedRetractibles and FixedResets are included.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the August, 2015, issue, while the “Next Edition” will be the September, 2015, issue, scheduled to be prepared as of the close September 11 and eMailed to subscribers prior to market-opening on September 14.

PrefLetter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

August 17, 2015

August 17th, 2015

Matt Levine writes a good piece on bond market ethics, whatever those are:

And Edward Jones’s behavior seems to have been even worse than that: It didn’t just put the bonds in inventory, wait until they started trading, and hope to flip them for a profit (which would be bad!); it actually sometimes sold bonds to customers at prices above the offering price while the offering was still going on.5 As far as I can tell, this worked mostly because customers didn’t know any better, and Edward Jones didn’t tell them.6 (There’s no suggestion that Edward Jones lied to the customers about the price it paid, though.)

The real point here is that there is a “well-established industry practice” that, if you’re an underwriter for municipal bonds, and you buy bonds from the issuer at the offer price,8 you have to re-sell them to customers at the offer price. You just can’t do what Edward Jones did.

I’d say the party injured by Edward Jones’ misconduct is not the customers – who were buying from the broker as principal and knew this – but the issuer. The underwriters are acting as agents for the issuer and are paid a commission for doing so. If the underwriters then turn around and skimming off the concession for themselves, then it seems to me they have a powerful incentive to give their client – to whom yes, they have a fiduciary obligation – some very gloomy advice about how difficult it will be to sell the issue and how big, therefore, the concession should be.

New Zealand demonstrates good news for Canadian housing markets:

Auckland home prices are up more than 20 percent in the past year. If you’re a buyer from China or the U.S., they’re not.

The slump in New Zealand’s currency has made properties in the country’s largest city a bargain for foreigners, creating a headache for central bank Governor Graeme Wheeler, who has been trying to put a lid on the country’s overheated property market.

“Five years ago I would have estimated two or three percent of Auckland properties were bought from overseas,” said Peter Thompson, managing director of Barfoot & Thompson, which says it sells one-in-three homes in the so-called City of Sails. “These days it’s 10 or 12 percent.”

Wheeler has lowered interest rates to offset faltering economic growth and weaken the currency, but the cuts are stoking Auckland’s housing prices, which are already the second highest relative to income among developed economies. Worse still, with foreign buyers tripling their participation in the city of 1.5 million people, the price surge is starting to spread to cheaper neighboring regions.

The main opposition Labour Party last month claimed that 40 percent of Auckland house sales between February and April were purchased by people with Chinese-sounding names, and criticized the government for soaring prices.

While the claim drew accusations of xenophobic politics, a subsequent poll of 1,000 voters showed 61 percent wanted the government to ban non-resident foreigners from buying houses.

Meanwhile, PrefBlog’s Better Living Through Technology Departments highlights a good news story from Saudi Arabia:

If she had chosen the traditional route to opening her accessories business in Jeddah, Rozana al-Daini would have had to enlist a male sponsor to represent her before government agencies and sign official documents on her behalf.

Instead, she sells jewelry, watches and wallets on Instagram, where Saudi businesswomen can avoid the gender restrictions they face in the kingdom. Her two-year-old business, Accessories_ar, has two employees, 67,000 followers and handles up to 25 orders a day. It also provides her with the ultimate empowerment: her own income.

Saudis spend an average of 2.65 hours per day social networking, compared to a global average of 1.69 hours, according to a survey this year by London-based market research firm GlobalWebIndex. Saudi Arabia also ranked first in the world for Twitter penetration, according to a 2013 study by Amsterdam-based PeerReach. The GlobalWebIndex survey found that nearly half of Saudi Internet users are members of Instagram, compared with a global average of 23 percent.

While entrepreneurs also use Twitter and other social networks, al-Daini said Instagram’s photo-based interface was a natural fit for her business. “The photography affects people,” she said.

Designed for smartphones, the application provides an easy way for creative Saudis to share their talent, Moustakas said.

It was yet another grim day for the Canadian preferred share market, with PerpetualDiscounts losing 42bp, FixedResets down 41bp and DeemedRetractibles off 9bp. TRP issues continue to be notable in the Performance Highlights table, mostly in a bad way. Volume was very low.

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_150817
Click for Big

TRP.PR.A, which resets 2019-12-31 at +192, is bid at 17.15 to be $0.51 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.83 cheap at its bid price of 13.41.

impVol_MFC_150817
Click for Big

Another good fit today!

Most expensive is MFC.PR.I, resetting at +286bp on 2017-9-19, bid at 24.45 to be 0.46 rich, while MFC.PR.M, resetting at +236bp on 2019-12-19, is bid at 21.75 to be $0.31 cheap.

impVol_BAM_150817
Click for Big

The fit on the BAM issues continues to be horrible.

The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 17.36 to be $1.36 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 21.75 and appears to be $1.48 rich.

impVol_FTS_150817
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FTS.PR.M, with a spread of +248bp, and bid at 22.48, looks $0.43 expensive and resets 2019-12-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 19.50 and is $0.77 cheap.

pairs_FR_150817A
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Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.23%, with no outliers. Note that the distribution is bimodal, with NVCC non-compliant bank issues averaging -0.53% and the unregulated issues averaging +0.36%. There are three junk outliers below -1.00% and one above +1.00%.

pairs_FR_150817A
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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 1.3613 % 2,004.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3613 % 3,504.2
Floater 3.66 % 3.72 % 52,700 17.98 3 1.3613 % 2,130.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0134 % 2,777.4
SplitShare 4.58 % 4.85 % 54,982 3.12 3 0.0134 % 3,254.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0134 % 2,539.6
Perpetual-Premium 5.72 % 5.38 % 60,327 2.06 9 -0.0265 % 2,483.7
Perpetual-Discount 5.43 % 5.48 % 80,043 14.69 29 -0.4176 % 2,604.3
FixedReset 4.77 % 3.91 % 196,690 15.90 87 -0.4096 % 2,211.9
Deemed-Retractible 5.11 % 5.25 % 98,641 5.43 34 -0.0924 % 2,587.0
FloatingReset 2.35 % 3.29 % 47,365 5.99 9 0.0199 % 2,246.3
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 3.99 %
ELF.PR.H Perpetual-Discount -2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 23.57
Evaluated at bid price : 24.02
Bid-YTW : 5.77 %
ENB.PR.F FixedReset -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 15.83
Evaluated at bid price : 15.83
Bid-YTW : 5.08 %
HSE.PR.A FixedReset -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 4.24 %
TRP.PR.D FixedReset -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 4.11 %
TRP.PR.B FixedReset -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 3.74 %
FTS.PR.F Perpetual-Discount -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.45 %
GWO.PR.N FixedReset -1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.05
Bid-YTW : 7.37 %
TD.PF.D FixedReset -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 22.69
Evaluated at bid price : 23.81
Bid-YTW : 3.51 %
FTS.PR.G FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 3.67 %
ELF.PR.F Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 23.33
Evaluated at bid price : 23.61
Bid-YTW : 5.67 %
CU.PR.C FixedReset -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 22.45
Evaluated at bid price : 22.80
Bid-YTW : 3.30 %
TRP.PR.A FixedReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.92 %
MFC.PR.L FixedReset -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 5.28 %
FTS.PR.M FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 22.00
Evaluated at bid price : 22.48
Bid-YTW : 3.58 %
IFC.PR.C FixedReset -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.05
Bid-YTW : 5.60 %
ENB.PR.Y FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.81 %
RY.PR.H FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 21.86
Evaluated at bid price : 22.25
Bid-YTW : 3.37 %
MFC.PR.M FixedReset -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.13 %
SLF.PR.C Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.37
Bid-YTW : 6.66 %
BAM.PR.B Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 3.63 %
BAM.PR.C Floater 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 3.74 %
TRP.PR.G FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 22.09
Evaluated at bid price : 22.70
Bid-YTW : 3.91 %
PWF.PR.T FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 22.96
Evaluated at bid price : 24.10
Bid-YTW : 3.17 %
BAM.PR.K Floater 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 12.82
Evaluated at bid price : 12.82
Bid-YTW : 3.72 %
ENB.PF.G FixedReset 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.89 %
VNR.PR.A FixedReset 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 4.30 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.J FixedReset 121,480 RBC crossed 32,200 at 23.85, then another 49,800 at 23.77.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 22.68
Evaluated at bid price : 23.75
Bid-YTW : 3.46 %
BAM.PR.T FixedReset 109,200 Scotia crossed blocks of 49,100 and 50,000, both at 17.80.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.32 %
BMO.PR.Z Perpetual-Discount 72,655 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 24.18
Evaluated at bid price : 24.55
Bid-YTW : 5.12 %
TD.PF.D FixedReset 61,525 RBC crossed 50,000 at 24.15.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 22.69
Evaluated at bid price : 23.81
Bid-YTW : 3.51 %
TD.PF.E FixedReset 34,200 RBC bought 10,000 from Scotia at 24.70.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 23.01
Evaluated at bid price : 24.61
Bid-YTW : 3.44 %
ENB.PR.H FixedReset 24,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 4.82 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ELF.PR.H Perpetual-Discount Quote: 24.02 – 24.75
Spot Rate : 0.7300
Average : 0.4377

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 23.57
Evaluated at bid price : 24.02
Bid-YTW : 5.77 %

GWO.PR.S Deemed-Retractible Quote: 24.86 – 25.45
Spot Rate : 0.5900
Average : 0.3977

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.86
Bid-YTW : 5.45 %

PWF.PR.O Perpetual-Premium Quote: 25.52 – 26.19
Spot Rate : 0.6700
Average : 0.4989

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-31
Maturity Price : 25.25
Evaluated at bid price : 25.52
Bid-YTW : 5.38 %

TD.PF.D FixedReset Quote: 23.81 – 24.30
Spot Rate : 0.4900
Average : 0.3228

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-08-17
Maturity Price : 22.69
Evaluated at bid price : 23.81
Bid-YTW : 3.51 %

HSB.PR.D Deemed-Retractible Quote: 24.86 – 25.36
Spot Rate : 0.5000
Average : 0.3624

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.86
Bid-YTW : 5.26 %

SLF.PR.C Deemed-Retractible Quote: 21.37 – 21.82
Spot Rate : 0.4500
Average : 0.3264

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.37
Bid-YTW : 6.66 %