Archive for the ‘Market Action’ Category

August 23, 2019

Friday, August 23rd, 2019

The Stable Genius ratcheted up the trade war today:

Hours after Beijing said it would increase tariffs on American goods in response to President Trump’s latest round of Chinese levies, the president ordered companies in the United States to stop doing business with China and warned of additional retaliation.

In a series of angry Twitter posts, Mr. Trump said “Our great American companies are hereby ordered to immediately start looking for an alternative to China, including bringing our companies HOME and making your products in the USA.”

The president also said he was ordering the United States Postal Service and private American companies like FedEx, Amazon and UPS to search packages from China for the opioid Fentanyl and refuse delivery.

Powell came perilously close to criticizing policy:

As the year has progressed, we have been monitoring three factors that are weighing on this favorable outlook: slowing global growth, trade policy uncertainty, and muted inflation. The global growth outlook has been deteriorating since the middle of last year. Trade policy uncertainty seems to be playing a role in the global slowdown and in weak manufacturing and capital spending in the United States. Inflation fell below our objective at the start of the year. It appears to be moving back up closer to our symmetric 2 percent objective, but there are concerns about a more prolonged shortfall.

Turning to the current context, we are carefully watching developments as we assess their implications for the U.S. outlook and the path of monetary policy. The three weeks since our July FOMC meeting have been eventful, beginning with the announcement of new tariffs on imports from China. We have seen further evidence of a global slowdown, notably in Germany and China. Geopolitical events have been much in the news, including the growing possibility of a hard Brexit, rising tensions in Hong Kong, and the dissolution of the Italian government. Financial markets have reacted strongly to this complex, turbulent picture. Equity markets have been volatile. Long-term bond rates around the world have moved down sharply to near post-crisis lows. Meanwhile, the U.S. economy has continued to perform well overall, driven by consumer spending. Job creation has slowed from last year’s pace but is still above overall labor force growth. Inflation seems to be moving up closer to 2 percent. Based on our assessment of the implications of these developments, we will act as appropriate to sustain the expansion, with a strong labor market and inflation near its symmetric 2 percent objective.

So Stable Genius had to bolster his excuses for the next recession:

Jerome H. Powell, the Federal Reserve chair, kept future interest rate cuts squarely on the table on Friday but suggested that the central bank was limited in its ability to counteract President Trump’s trade policies, which are stoking uncertainty and posing risks to the economic outlook.

Mr. Powell’s remarks drew a swift and angry reaction from Mr. Trump, who equated the Fed leader with the president’s adversary in the trade war, President Xi Jinping of China.

“My only question is, who is our bigger enemy, Jay Powell or Chairman Xi?,” Mr. Trump wrote in one of a series of Twitter posts.

The markets noticed:

The Dow Jones Industrial Average fell 622.19 points, or 2.37 per cent, to 25,630.05, the S&P 500 lost 75.7 points, or 2.59 per cent, to 2,847.25 and the Nasdaq Composite dropped 239.62 points, or 3 per cent, to 7,751.77.

In Toronto, the S&P/TSX Composite index was unofficially down 215.88 points, or 1.33 per cent, at 16,037.58.

The two-year/10-year yield curve inverted last week for the first time since 2007, a signal that a U.S. recession is likely in one to two years. The curve has traded in and out of inversion over the past three days.

U.S. Treasury yields fell, with 10-year notes last up 25/32 in price to yield 1.5266 per cent, from 1.61 per cent late on Thursday.

The two-year/10-year yield curve tripped to negative territory early in the session and for a third consecutive day.

The U.S. dollar fell after Powell’s comments and dropped further after Trump’s tweets.

… and, just as I go to press, I learn that Stable Genius has freaked out again:

Twelve hours after China said it would retaliate against Mr. Trump’s next round of tariffs by raising taxes on American goods, Mr. Trump said he would boost existing tariffs on $250 billion worth of Chinese goods to 30 percent from 25 percent on Oct. 1.

And he said the United States would tax another $300 billion worth of Chinese imports at a 15 percent rate, rather than the 10 percent he had initially planned. Those levies go into effect on Sept. 1.

“China should not have put new Tariffs on 75 BILLION DOLLARS of United States product (politically motivated!),” Mr. Trump tweeted. “Starting on October 1st, the 250 BILLION DOLLARS of goods and products from China, currently being taxed at 25%, will be taxed at 30%.”

I’m sure we’re all shocked that the Chinese would do something “politically motivated”.

And the preferred share market was back to normal, with all three mainstream indicators setting new lows:

TXPR closed at 573.00, down 0.48% on the day after touching a new 52-week low of 572.88. Volume was 2.71-million, third-highest of the past 30 days, behind only August 14 and August 15.

CPD closed at 11.48, down 0.35% on the day after touching a new 52-week low of 11.44. Volume of 61,338 was low in the context of the past 30 days.

ZPR closed at 9.10, down 0.55% on the day after touching a new 52-week low of 9.08. Volume of 159,026 was a little above average but nothing special in the context of the past 30 days.

Five-year Canada yields were down 12bp to 1.21% today – but even that big drop leaves us 1bp higher than last Friday’s yield.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.1958 % 1,761.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1958 % 3,232.3
Floater 6.78 % 7.04 % 42,460 12.41 4 -0.1958 % 1,862.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1531 % 3,364.6
SplitShare 4.68 % 4.57 % 61,061 4.09 7 0.1531 % 4,018.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1531 % 3,135.0
Perpetual-Premium 5.66 % -4.36 % 66,477 0.09 9 -0.1589 % 2,961.6
Perpetual-Discount 5.54 % 5.64 % 56,583 14.47 25 -0.1644 % 3,078.0
FixedReset Disc 6.00 % 5.64 % 157,552 14.48 66 -0.6278 % 1,941.5
Deemed-Retractible 5.31 % 6.26 % 73,191 7.82 27 -0.2434 % 3,070.2
FloatingReset 4.76 % 7.61 % 58,573 7.85 3 -0.2260 % 2,230.9
FixedReset Prem 5.23 % 5.03 % 169,269 1.89 21 -0.3221 % 2,548.0
FixedReset Bank Non 1.99 % 4.43 % 88,278 2.36 3 0.1819 % 2,647.7
FixedReset Ins Non 5.74 % 8.54 % 100,812 7.93 21 -1.0464 % 2,000.5
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -5.49 % A nonsensical quote provided at high cost by Nonsense Central, as the issue traded 600 shares today in a range of 10.95-09 before being quoted at 10.51-22. The closing price was 10.95, reached at 2:44pm.

I have not checked whether the lamentable state of the quote 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 : 2049-08-23
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 6.96 %

PWF.PR.T FixedReset Disc -3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 5.80 %
EMA.PR.F FixedReset Disc -3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 6.57 %
PWF.PR.P FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 11.94
Evaluated at bid price : 11.94
Bid-YTW : 5.86 %
MFC.PR.I FixedReset Ins Non -2.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.22
Bid-YTW : 8.79 %
CM.PR.P FixedReset Disc -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 14.83
Evaluated at bid price : 14.83
Bid-YTW : 5.90 %
MFC.PR.M FixedReset Ins Non -2.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.01
Bid-YTW : 9.76 %
IAF.PR.G FixedReset Ins Non -2.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.84
Bid-YTW : 8.22 %
IFC.PR.G FixedReset Ins Non -2.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.78
Bid-YTW : 8.69 %
TRP.PR.A FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 6.75 %
TD.PF.A FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 5.56 %
MFC.PR.Q FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.70
Bid-YTW : 8.44 %
MFC.PR.G FixedReset Ins Non -1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.83
Bid-YTW : 8.93 %
MFC.PR.N FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 10.05 %
CM.PR.Y FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 22.55
Evaluated at bid price : 23.50
Bid-YTW : 5.30 %
SLF.PR.I FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.31
Bid-YTW : 8.53 %
TD.PF.C FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 5.58 %
NA.PR.W FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 14.62
Evaluated at bid price : 14.62
Bid-YTW : 5.98 %
HSE.PR.G FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 7.28 %
IAF.PR.I FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.09
Bid-YTW : 8.54 %
MFC.PR.H FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 7.32 %
TRP.PR.F FloatingReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 11.94
Evaluated at bid price : 11.94
Bid-YTW : 7.61 %
BAM.PF.C Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 20.24
Evaluated at bid price : 20.24
Bid-YTW : 6.10 %
NA.PR.S FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 5.95 %
CCS.PR.C Deemed-Retractible -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 5.53 %
TRP.PR.G FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 6.68 %
SLF.PR.C Deemed-Retractible -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.30
Bid-YTW : 7.17 %
TRP.PR.D FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 6.35 %
CU.PR.H Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 23.39
Evaluated at bid price : 23.86
Bid-YTW : 5.50 %
BIP.PR.E FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.13 %
IFC.PR.E Deemed-Retractible -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.28
Bid-YTW : 6.25 %
BAM.PR.T FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 6.69 %
PWF.PR.S Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.77 %
PWF.PR.Z Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 22.25
Evaluated at bid price : 22.60
Bid-YTW : 5.74 %
CU.PR.F Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.30 %
GWO.PR.H Deemed-Retractible 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.59 %
PVS.PR.D SplitShare 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.84 %
BNS.PR.I FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 5.24 %
MFC.PR.K FixedReset Ins Non 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.62
Bid-YTW : 8.89 %
PWF.PR.L Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.74 %
HSE.PR.E FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 7.07 %
BAM.PF.B FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 6.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.N FixedReset Ins Non 200,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 10.05 %
BMO.PR.S FixedReset Disc 184,860 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 5.48 %
BMO.PR.W FixedReset Disc 70,591 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.57 %
SLF.PR.E Deemed-Retractible 59,182 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.77
Bid-YTW : 6.93 %
BAM.PF.B FixedReset Disc 56,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 6.28 %
BAM.PF.A FixedReset Disc 43,157 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.25 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Disc Quote: 17.18 – 18.29
Spot Rate : 1.1100
Average : 0.7031

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 7.07 %

HSE.PR.C FixedReset Disc Quote: 15.85 – 16.50
Spot Rate : 0.6500
Average : 0.4401

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 6.99 %

IAF.PR.G FixedReset Ins Non Quote: 17.84 – 18.40
Spot Rate : 0.5600
Average : 0.3609

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.84
Bid-YTW : 8.22 %

EMA.PR.F FixedReset Disc Quote: 14.76 – 15.44
Spot Rate : 0.6800
Average : 0.4882

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 6.57 %

PVS.PR.F SplitShare Quote: 25.20 – 25.79
Spot Rate : 0.5900
Average : 0.4270

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.61 %

PWF.PR.E Perpetual-Discount Quote: 23.89 – 24.47
Spot Rate : 0.5800
Average : 0.4230

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 23.62
Evaluated at bid price : 23.89
Bid-YTW : 5.81 %

August 22, 2019

Thursday, August 22nd, 2019

What a great day! Only one of the mainstream indicators made a new 52-week low!

TXPR closed at 575.74, up 0.11% on the day. Volume was 2.18-million, nothing special in the context of the past 30 days.

CPD closed at 11.52, up 0.17% on the day. Volume of 97,108 was above median but nothing special in the context of the past 30 days.

ZPR closed at 9.15, unchanged on the day after touching a new 52-week low of 9.145. Volume of 111,979 was a little above average but nothing special in the context of the past 30 days.

Five-year Canada yields were up 5bp to 1.33% today.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2208 % 1,765.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2208 % 3,238.6
Floater 6.77 % 7.03 % 41,461 12.42 4 0.2208 % 1,866.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1528 % 3,359.4
SplitShare 4.68 % 4.56 % 60,857 4.09 7 -0.1528 % 4,011.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1528 % 3,130.2
Perpetual-Premium 5.65 % -4.54 % 66,492 0.09 9 -0.1190 % 2,966.4
Perpetual-Discount 5.53 % 5.60 % 54,750 14.49 25 -0.3046 % 3,083.0
FixedReset Disc 5.96 % 5.58 % 153,381 14.43 66 0.3969 % 1,953.7
Deemed-Retractible 5.30 % 6.22 % 61,377 7.84 27 -0.0400 % 3,077.7
FloatingReset 4.75 % 7.50 % 60,981 7.84 3 0.1646 % 2,236.0
FixedReset Prem 5.21 % 4.87 % 170,726 1.90 21 0.0948 % 2,556.3
FixedReset Bank Non 1.99 % 4.42 % 86,289 2.37 3 0.2666 % 2,642.9
FixedReset Ins Non 5.68 % 8.34 % 100,429 7.96 21 -0.1381 % 2,021.7
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.63
Bid-YTW : 10.54 %
PWF.PR.L Perpetual-Discount -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 21.85
Evaluated at bid price : 22.09
Bid-YTW : 5.82 %
MFC.PR.B Deemed-Retractible -1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.76
Bid-YTW : 6.95 %
BAM.PF.D Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 6.03 %
BAM.PR.R FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 13.39
Evaluated at bid price : 13.39
Bid-YTW : 6.56 %
SLF.PR.I FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.60
Bid-YTW : 8.31 %
PWF.PR.F Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 22.69
Evaluated at bid price : 22.93
Bid-YTW : 5.77 %
MFC.PR.K FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.40
Bid-YTW : 9.06 %
PWF.PR.Z Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 22.02
Evaluated at bid price : 22.36
Bid-YTW : 5.80 %
PVS.PR.D SplitShare -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.41 %
CM.PR.T FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 22.57
Evaluated at bid price : 23.52
Bid-YTW : 4.99 %
PWF.PR.K Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.82 %
NA.PR.W FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 5.89 %
BMO.PR.Z Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 23.75
Evaluated at bid price : 24.21
Bid-YTW : 5.17 %
CM.PR.P FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 5.76 %
SLF.PR.B Deemed-Retractible 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 6.48 %
RY.PR.M FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 5.57 %
BMO.PR.W FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 5.53 %
EMA.PR.C FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 6.06 %
NA.PR.S FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 5.87 %
NA.PR.G FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.66 %
TRP.PR.D FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 6.27 %
CM.PR.O FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.66 %
TD.PF.C FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 5.49 %
TRP.PR.G FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 6.59 %
HSE.PR.C FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 15.86
Evaluated at bid price : 15.86
Bid-YTW : 6.99 %
CCS.PR.C Deemed-Retractible 2.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 5.37 %
TRP.PR.A FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 12.11
Evaluated at bid price : 12.11
Bid-YTW : 6.60 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.L FixedReset Disc 80,675 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 22.62
Evaluated at bid price : 23.62
Bid-YTW : 4.92 %
RY.PR.Z FixedReset Disc 80,128 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 5.32 %
BMO.PR.T FixedReset Disc 53,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 5.46 %
TD.PF.H FixedReset Prem 43,038 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 23.35
Evaluated at bid price : 24.51
Bid-YTW : 5.37 %
BAM.PF.E FixedReset Disc 38,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 6.76 %
CM.PR.P FixedReset Disc 36,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 5.76 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 22.09 – 22.69
Spot Rate : 0.6000
Average : 0.3956

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 21.85
Evaluated at bid price : 22.09
Bid-YTW : 5.82 %

BAM.PF.D Perpetual-Discount Quote: 20.68 – 21.20
Spot Rate : 0.5200
Average : 0.3606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 6.03 %

BIP.PR.A FixedReset Disc Quote: 17.19 – 17.60
Spot Rate : 0.4100
Average : 0.2543

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 7.05 %

BNS.PR.I FixedReset Disc Quote: 18.78 – 19.15
Spot Rate : 0.3700
Average : 0.2250

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 5.31 %

PWF.PR.K Perpetual-Discount Quote: 21.50 – 21.96
Spot Rate : 0.4600
Average : 0.3161

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.82 %

BAM.PR.X FixedReset Disc Quote: 11.79 – 12.30
Spot Rate : 0.5100
Average : 0.3717

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 11.79
Evaluated at bid price : 11.79
Bid-YTW : 6.39 %

August 21, 2019

Thursday, August 22nd, 2019

There was good news for Poloz in today’s inflation numbers:

The Canadian dollar strengthened against its U.S. counterpart on Wednesday, recovering from a two-month low it hit the previous day after stronger-than-expected domestic inflation data, but earlier gains were capped as the greenback rallied broadly.

The U.S. dollar gained against a basket of currencies after minutes from the Federal Reserve’s July meeting showed that policy-makers were united in wanting to avoid the appearance of being on the path to further rate cuts.

Canada’s annual inflation rate held steady in July at 2 per cent as lower costs for services were offset by higher prices for durable goods. Analysts had expected the annual rate to fall to 1.7 per cent from 2 per cent in June.

Canada’s retail sales data is due on Friday, with a Reuters poll forecasting a 0.1 per cent decrease, which could help guide expectations about the Bank of Canada’s interest rate decision.

Canadian government bond prices were lower across the yield curve, with the two-year down 10 cents to yield 1.395 per cent and the 10-year falling 53 cents to yield 1.213 per cent.

Each of the mainstream indicators made a new 52-week low today. This is getting monotonous.

TXPR closed at 575.08, down 0.41% on the day after touching a new 52-week low of 574.94. Volume was 2.44-million, above average but nothing special in the context of the past 30 days.

CPD closed at 11.50, a new 52-week low and down 0.26% on the day. Volume of 73,613 was above median and nothing special in the context of the past 30 days.

ZPR closed at 9.15, a new 52-week low and down 0.11% on the day. Volume of 163,912 was a little above average but nothing special in the context of the past 30 days.

Five-year Canada yields were up 8bp to 1.28% today.

PerpetualDiscounts now yield 5.58%, equivalent to 7.25% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.15%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to an eye-popping 410bp, a new post-Credit Crunch record (second only to the 445bp recorded November 26, 2008, a day on which

The TXPR index was down 5.94% on the BCE news.

) and a slight (and possibly spurious) widening from the 405bp the reported August 14.

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 -1.2115 % 1,761.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2115 % 3,231.5
Floater 6.78 % 7.03 % 41,782 12.42 4 -1.2115 % 1,862.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.4000 % 3,364.6
SplitShare 4.68 % 4.58 % 63,063 4.10 7 0.4000 % 4,018.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4000 % 3,135.0
Perpetual-Premium 5.64 % -4.73 % 64,392 0.09 9 -0.1233 % 2,969.9
Perpetual-Discount 5.51 % 5.58 % 54,682 14.50 25 -0.4646 % 3,092.5
FixedReset Disc 5.99 % 5.61 % 152,251 14.49 66 -0.4109 % 1,946.0
Deemed-Retractible 5.30 % 6.14 % 65,508 7.84 27 -0.0384 % 3,079.0
FloatingReset 4.76 % 7.56 % 61,878 7.85 3 -0.0617 % 2,232.3
FixedReset Prem 5.22 % 4.95 % 170,782 1.90 21 -0.0910 % 2,553.9
FixedReset Bank Non 2.00 % 4.56 % 89,175 2.37 3 -0.1261 % 2,635.9
FixedReset Ins Non 5.67 % 8.23 % 101,606 7.96 21 -0.3749 % 2,024.5
Performance Highlights
Issue Index Change Notes
HSE.PR.C FixedReset Disc -2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 7.14 %
BMO.PR.S FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.49 %
NA.PR.G FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.75 %
BMO.PR.Z Perpetual-Discount -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 23.51
Evaluated at bid price : 23.95
Bid-YTW : 5.22 %
EMA.PR.C FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 16.72
Evaluated at bid price : 16.72
Bid-YTW : 6.14 %
IAF.PR.I FixedReset Ins Non -2.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.51
Bid-YTW : 8.23 %
MFC.PR.I FixedReset Ins Non -2.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.63
Bid-YTW : 8.48 %
BAM.PR.M Perpetual-Discount -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.04 %
TRP.PR.G FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 6.72 %
RY.PR.M FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 5.64 %
SLF.PR.G FixedReset Ins Non -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.36
Bid-YTW : 10.90 %
BMO.PR.Y FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.56 %
BMO.PR.T FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.51 %
NA.PR.W FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 5.95 %
MFC.PR.H FixedReset Ins Non -1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.73
Bid-YTW : 7.23 %
RY.PR.Z FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 5.31 %
MFC.PR.C Deemed-Retractible -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.20
Bid-YTW : 7.13 %
PWF.PR.A Floater -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 10.76
Evaluated at bid price : 10.76
Bid-YTW : 6.48 %
EMA.PR.F FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 6.34 %
BNS.PR.I FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.28 %
NA.PR.S FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 5.95 %
BAM.PR.K Floater -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 7.04 %
BAM.PR.B Floater -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 7.04 %
PWF.PR.E Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 23.96
Evaluated at bid price : 24.21
Bid-YTW : 5.73 %
BAM.PR.N Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 6.01 %
CM.PR.P FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.03
Evaluated at bid price : 15.03
Bid-YTW : 5.82 %
PWF.PR.L Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 22.24
Evaluated at bid price : 22.51
Bid-YTW : 5.71 %
TD.PF.D FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 5.57 %
BAM.PR.C Floater -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 10.01
Evaluated at bid price : 10.01
Bid-YTW : 7.03 %
TRP.PR.B FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 9.86
Evaluated at bid price : 9.86
Bid-YTW : 6.38 %
MFC.PR.K FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.62
Bid-YTW : 8.89 %
TD.PF.J FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 5.40 %
HSE.PR.G FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 7.17 %
CCS.PR.C Deemed-Retractible 2.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.96
Bid-YTW : 5.66 %
HSE.PR.A FixedReset Disc 4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 6.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.W FixedReset Disc 95,713 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.60 %
TD.PF.K FixedReset Disc 92,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 5.37 %
TD.PF.A FixedReset Disc 63,745 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.87
Evaluated at bid price : 15.87
Bid-YTW : 5.49 %
EMA.PR.F FixedReset Disc 41,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 6.34 %
BMO.PR.D FixedReset Disc 38,649 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 5.44 %
BMO.PR.T FixedReset Disc 38,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.51 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.M Perpetual-Discount Quote: 20.02 – 20.69
Spot Rate : 0.6700
Average : 0.4396

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.04 %

HSE.PR.C FixedReset Disc Quote: 15.53 – 16.01
Spot Rate : 0.4800
Average : 0.2868

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 7.14 %

MFC.PR.H FixedReset Ins Non Quote: 19.73 – 20.13
Spot Rate : 0.4000
Average : 0.2640

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.73
Bid-YTW : 7.23 %

EMA.PR.F FixedReset Disc Quote: 15.30 – 15.80
Spot Rate : 0.5000
Average : 0.3742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 6.34 %

BMO.PR.Z Perpetual-Discount Quote: 23.95 – 24.34
Spot Rate : 0.3900
Average : 0.2683

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 23.51
Evaluated at bid price : 23.95
Bid-YTW : 5.22 %

SLF.PR.G FixedReset Ins Non Quote: 12.36 – 12.86
Spot Rate : 0.5000
Average : 0.3795

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.36
Bid-YTW : 10.90 %

August 20, 2019

Tuesday, August 20th, 2019
explosion_190820
Click for Big

Each of the mainstream indicators made a new 52-week low today.

TXPR closed at 577.43, a new 52-week low and down 0.56% on the day. Volume was 2.40-million, above average but nothing special in the context of the past 30 days.

CPD closed at 11.53, a new 52-week low and down 0.69% on the day. Volume of 138,446 was above average but nothing special in the constext of the past 30 days.

ZPR closed at 9.16, a new 52-week low and down 0.97% on the day. Volume of 249,098 was high but oddly the “Price History” tab on tmxmoney refuses to display data for this issue. Yahoo Finance comes through with the information that today had the third-highest volume of the past thirty days, behind August 13 and August 14.

Five-year Canada yields were down 2bp to 1.20% today.

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 -1.7615 % 1,782.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.7615 % 3,271.1
Floater 6.70 % 6.95 % 41,541 12.52 4 -1.7615 % 1,885.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1684 % 3,351.2
SplitShare 4.65 % 4.67 % 60,407 4.05 7 -0.1684 % 4,002.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1684 % 3,122.5
Perpetual-Premium 5.64 % -9.54 % 61,245 0.09 9 -0.0176 % 2,973.6
Perpetual-Discount 5.49 % 5.61 % 53,284 14.45 25 -0.2211 % 3,106.9
FixedReset Disc 5.96 % 5.60 % 154,586 14.47 66 -0.8623 % 1,954.0
Deemed-Retractible 5.29 % 6.13 % 68,100 7.84 27 -0.1550 % 3,080.1
FloatingReset 4.76 % 7.56 % 60,898 7.86 3 -1.3190 % 2,233.7
FixedReset Prem 5.21 % 4.85 % 167,784 1.90 21 -0.1098 % 2,556.2
FixedReset Bank Non 1.99 % 4.39 % 90,251 2.37 3 -0.0700 % 2,639.2
FixedReset Ins Non 5.65 % 8.20 % 102,069 7.98 21 -1.0963 % 2,032.1
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -3.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.26
Bid-YTW : 10.76 %
SLF.PR.J FloatingReset -3.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.35
Bid-YTW : 11.65 %
TD.PF.J FixedReset Disc -3.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 5.46 %
RY.PR.J FixedReset Disc -3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 5.61 %
NA.PR.C FixedReset Disc -3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.80 %
MFC.PR.K FixedReset Ins Non -3.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.44
Bid-YTW : 9.03 %
MFC.PR.G FixedReset Ins Non -3.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.27
Bid-YTW : 8.59 %
RY.PR.H FixedReset Disc -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 16.32
Evaluated at bid price : 16.32
Bid-YTW : 5.35 %
BMO.PR.C FixedReset Disc -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 5.58 %
TD.PF.M FixedReset Prem -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 22.67
Evaluated at bid price : 23.75
Bid-YTW : 5.16 %
BAM.PR.B Floater -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 10.12
Evaluated at bid price : 10.12
Bid-YTW : 6.95 %
TRP.PR.A FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 11.82
Evaluated at bid price : 11.82
Bid-YTW : 6.76 %
PWF.PR.P FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 12.31
Evaluated at bid price : 12.31
Bid-YTW : 5.68 %
BAM.PR.C Floater -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 10.12
Evaluated at bid price : 10.12
Bid-YTW : 6.95 %
BAM.PR.K Floater -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 10.12
Evaluated at bid price : 10.12
Bid-YTW : 6.95 %
RY.PR.Z FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.23 %
BAM.PF.E FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 6.72 %
MFC.PR.N FixedReset Ins Non -1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.91
Bid-YTW : 9.77 %
PWF.PR.T FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 5.46 %
CM.PR.O FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 15.87
Evaluated at bid price : 15.87
Bid-YTW : 5.71 %
MFC.PR.J FixedReset Ins Non -1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.05
Bid-YTW : 8.20 %
BAM.PF.B FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 6.40 %
BAM.PF.G FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.70 %
TD.PF.C FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 5.54 %
SLF.PR.H FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.34
Bid-YTW : 9.16 %
TD.PF.I FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.30 %
NA.PR.W FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 14.93
Evaluated at bid price : 14.93
Bid-YTW : 5.85 %
IFC.PR.G FixedReset Ins Non -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.22
Bid-YTW : 8.36 %
BAM.PF.A FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 6.27 %
TRP.PR.G FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 6.59 %
HSE.PR.G FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.30 %
CM.PR.Q FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.91 %
CU.PR.H Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 23.55
Evaluated at bid price : 24.00
Bid-YTW : 5.47 %
CM.PR.Y FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 22.78
Evaluated at bid price : 24.01
Bid-YTW : 5.16 %
TRP.PR.B FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 9.76
Evaluated at bid price : 9.76
Bid-YTW : 6.45 %
TD.PF.E FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 5.61 %
MFC.PR.Q FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.12
Bid-YTW : 8.13 %
TRP.PR.F FloatingReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 7.56 %
BMO.PR.D FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.44 %
GWO.PR.Q Deemed-Retractible -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.98
Bid-YTW : 6.35 %
GWO.PR.T Deemed-Retractible -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.06
Bid-YTW : 6.31 %
RY.PR.M FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 5.54 %
POW.PR.B Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 5.79 %
HSE.PR.C FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.92 %
HSE.PR.A FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 6.80 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.M FixedReset Prem 73,569 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 22.67
Evaluated at bid price : 23.75
Bid-YTW : 5.16 %
TD.PF.C FixedReset Disc 58,185 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 5.54 %
IAF.PR.I FixedReset Ins Non 56,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.91
Bid-YTW : 7.95 %
PWF.PR.P FixedReset Disc 52,343 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 12.31
Evaluated at bid price : 12.31
Bid-YTW : 5.68 %
MFC.PR.O FixedReset Ins Non 51,177 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.89 %
RY.PR.J FixedReset Disc 46,133 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 5.61 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.K FixedReset Ins Non Quote: 16.44 – 17.10
Spot Rate : 0.6600
Average : 0.4798

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.44
Bid-YTW : 9.03 %

TD.PF.M FixedReset Prem Quote: 23.75 – 24.20
Spot Rate : 0.4500
Average : 0.2974

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 22.67
Evaluated at bid price : 23.75
Bid-YTW : 5.16 %

BAM.PF.A FixedReset Disc Quote: 17.68 – 18.01
Spot Rate : 0.3300
Average : 0.2133

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 6.27 %

SLF.PR.H FixedReset Ins Non Quote: 15.34 – 15.66
Spot Rate : 0.3200
Average : 0.2149

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.34
Bid-YTW : 9.16 %

GWO.PR.T Deemed-Retractible Quote: 23.06 – 23.48
Spot Rate : 0.4200
Average : 0.3229

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.06
Bid-YTW : 6.31 %

CU.PR.H Perpetual-Discount Quote: 24.00 – 24.32
Spot Rate : 0.3200
Average : 0.2284

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 23.55
Evaluated at bid price : 24.00
Bid-YTW : 5.47 %

August 19, 2019

Monday, August 19th, 2019

Mohamed A. El-Erian has again updated my favourite financial market chart:

negativeyielddebt_190819
Click for Big

He also passed on another great chart:

Along with the chart showing that the stock of negative-yielding bonds now stands at some $17 trillion, this one, via Zerohedge on Austria’s 100-year bond, screams how unusual — very very very unusual — conditions are in global fixed income.

Issued two years ago with a yield of 2.1%, its price has doubled … implying that, if held to maturity, buyers today would recoup half of their investment.

Look tonight for a Bloomberg Opinion post on a related issue.

austriancenturybond_190819
Click for Big

Husky, which has been a feature on the price-movement highlights charts recently, saw a modest counter-move today:

Shares in Husky Energy Inc. are up by about five per cent after an RBC Dominion Securities analyst suggested its low share price makes this a good time for the company to be taken private.

The stock jumped by as much as 47 cents to $9.24 on Monday morning, still well off its 52-week high of $22.98 set last Sept. 27.

In a report over the weekend, analyst Greg Pardy suggests that Husky’s near-15-year-low share prices make privatization attractive for the entities controlled by Hong Kong billionaire Li Ka-Shing which own 69.5 per cent of the equity.

There was more good news, of sorts, today: neither CPD nor ZPR made a new low!

TXPR closed at 580.66, down 0.07% on the day after setting a new 52-week low of 580.61. Volume was 1.54-million, the lowest since August 2 and nothing special in the context of the past 30 days.

CPD closed at 11.61, up 0.09% on the day. Volume of 84,120 was at about the median of the past 30 days.

ZPR closed at 9.25, up 0.22% on the day. Volume of 66,962 was very low in the context of the past thirty days.

Five-year Canada yields were up 2bp to 1.22% today.

So what’s going on with Structured Notes? BMO’s page shows JHN12544, to be issued August 21 with a seven year term; and JHN12545, to be issued August 21 with a seven year term. TD’s page shows Series 416 to be issued August 26 with a seven year term. National’s page shows nothing cooking after one was issued August 2 and four issued in July.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2375 % 1,814.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2375 % 3,329.8
Floater 6.58 % 6.79 % 42,081 12.73 4 -0.2375 % 1,919.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.5703 % 3,356.8
SplitShare 4.64 % 4.67 % 62,901 4.06 7 0.5703 % 4,008.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5703 % 3,127.8
Perpetual-Premium 5.64 % -6.04 % 61,829 0.09 9 0.1808 % 2,974.1
Perpetual-Discount 5.47 % 5.59 % 53,920 14.50 25 0.1719 % 3,113.8
FixedReset Disc 5.91 % 5.55 % 150,335 14.61 66 -0.1448 % 1,971.0
Deemed-Retractible 5.29 % 6.07 % 70,775 7.86 27 0.0450 % 3,084.9
FloatingReset 4.69 % 7.47 % 59,638 7.93 3 -0.1014 % 2,263.5
FixedReset Prem 5.21 % 4.85 % 167,738 1.97 21 0.0057 % 2,559.0
FixedReset Bank Non 1.99 % 4.39 % 93,987 2.37 3 -0.0840 % 2,641.0
FixedReset Ins Non 5.59 % 8.10 % 102,248 8.01 21 0.0367 % 2,054.6
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 15.47
Evaluated at bid price : 15.47
Bid-YTW : 6.70 %
BAM.PR.R FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 6.45 %
NA.PR.G FixedReset Disc -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 5.64 %
CM.PR.S FixedReset Disc -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.65 %
EMA.PR.F FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 6.25 %
BAM.PR.T FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 13.58
Evaluated at bid price : 13.58
Bid-YTW : 6.58 %
IAF.PR.G FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.53
Bid-YTW : 7.73 %
CU.PR.I FixedReset Prem -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 24.35
Evaluated at bid price : 24.70
Bid-YTW : 4.93 %
CCS.PR.C Deemed-Retractible -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.36
Bid-YTW : 5.98 %
NA.PR.E FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 5.59 %
MFC.PR.I FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.15
Bid-YTW : 8.10 %
TD.PF.E FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 5.53 %
BMO.PR.Y FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 5.46 %
TRP.PR.G FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 6.49 %
NA.PR.S FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 5.83 %
TRP.PR.B FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 6.35 %
NA.PR.W FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 15.16
Evaluated at bid price : 15.16
Bid-YTW : 5.76 %
BAM.PF.A FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.17 %
EIT.PR.A SplitShare 1.18 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.34 %
PVS.PR.G SplitShare 1.20 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.82 %
BIP.PR.A FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 7.06 %
MFC.PR.J FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.39
Bid-YTW : 7.96 %
IFC.PR.A FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.96
Bid-YTW : 10.22 %
HSE.PR.E FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 7.22 %
HSE.PR.G FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 7.19 %
TD.PF.J FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 19.59
Evaluated at bid price : 19.59
Bid-YTW : 5.25 %
PWF.PR.E Perpetual-Discount 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.63 %
MFC.PR.Q FixedReset Ins Non 1.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.36
Bid-YTW : 7.95 %
MFC.PR.F FixedReset Ins Non 2.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.76
Bid-YTW : 10.27 %
PWF.PR.P FixedReset Disc 3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 5.55 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.P FixedReset Disc 62,170 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 5.55 %
TD.PF.A FixedReset Disc 59,890 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 5.39 %
TD.PF.C FixedReset Disc 42,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 16.09
Evaluated at bid price : 16.09
Bid-YTW : 5.44 %
BNS.PR.I FixedReset Disc 32,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 5.20 %
TD.PF.K FixedReset Disc 31,002 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 5.35 %
CM.PR.S FixedReset Disc 29,015 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.65 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.A FixedReset Disc Quote: 10.50 – 11.30
Spot Rate : 0.8000
Average : 0.5825

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 6.97 %

BAM.PF.F FixedReset Disc Quote: 15.47 – 16.00
Spot Rate : 0.5300
Average : 0.3319

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 15.47
Evaluated at bid price : 15.47
Bid-YTW : 6.70 %

BAM.PR.R FixedReset Disc Quote: 13.60 – 14.15
Spot Rate : 0.5500
Average : 0.3535

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 6.45 %

TD.PF.E FixedReset Disc Quote: 18.51 – 19.03
Spot Rate : 0.5200
Average : 0.3290

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 5.53 %

CU.PR.C FixedReset Disc Quote: 16.12 – 16.75
Spot Rate : 0.6300
Average : 0.4557

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 5.57 %

BMO.PR.B FixedReset Prem Quote: 24.50 – 24.99
Spot Rate : 0.4900
Average : 0.3286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 23.27
Evaluated at bid price : 24.50
Bid-YTW : 5.27 %

August 16, 2019

Friday, August 16th, 2019

There was good news, of sorts, today: ZPR did not make a new low!

TXPR closed at 581.09, down 0.27% on the day after setting a new 52-week low of 580.98. Volume was 1.92-million, the lowest this week and nothing special in the context of the past 30 days.

CPD closed at 11.60, down 0.30% on the day after setting a new 52-week low of 11.59. Volume of 865,587 was by far the highest of the past 30 days, trouncing second-place August 7 on which a mere 267,654 shares traded.

ZPR closed at 9.23, unchanged on the day after touching, but not breaking through the prior low of 9.21 set yesterday. Volume of 98,386 was low in the context of the past thirty days.

Five-year Canada yields were up 4bp to 1.20% today.

Here’s some more regulatory over-reach:

According to the SEC’s order, Canaccord published quotes and made markets in dozens of over-the-counter (OTC) securities without performing the review required by Exchange Act Rule 15c2-11, which requires that broker-dealers have a reasonable basis for believing the prospectus and other information made available by the issuer of the securities was accurate. The order finds that Canaccord delegated to a compliance associate the responsibility to obtain and review the information required by Rule 15c2-11 and to fill out and sign the necessary forms demonstrating compliance with the rule. The compliance associate had no trading experience and no formal training on conducting the requisite review, such as training related to the analysis of financial statements and other information. As a result of the deficient review performed by the compliance associate, Canaccord allowed dozens of OTC securities to be traded in U.S. markets without conducting the review required to protect investors. Canaccord has since revised and improved its policies and procedures with respect to Rule 15c2-11.

It’s a dealer’s job to make markets. There is nothing in the SEC statement to suggest that these securities were recommended, or even sold to, naive clients.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5902 % 1,819.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5902 % 3,337.7
Floater 6.57 % 6.74 % 40,895 12.80 4 -0.5902 % 1,923.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0113 % 3,337.8
SplitShare 4.67 % 4.75 % 63,058 4.06 7 0.0113 % 3,986.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0113 % 3,110.1
Perpetual-Premium 5.65 % -8.44 % 62,200 0.09 9 -0.3954 % 2,968.7
Perpetual-Discount 5.48 % 5.60 % 53,234 14.47 25 -0.2193 % 3,108.4
FixedReset Disc 5.90 % 5.51 % 147,674 14.58 66 -0.2081 % 1,973.9
Deemed-Retractible 5.28 % 6.06 % 71,443 7.87 27 -0.2977 % 3,083.5
FloatingReset 4.67 % 7.44 % 62,214 7.95 3 -0.5644 % 2,265.8
FixedReset Prem 5.21 % 4.57 % 168,214 1.91 21 -0.2172 % 2,558.8
FixedReset Bank Non 1.99 % 4.37 % 95,157 2.38 3 0.3792 % 2,643.2
FixedReset Ins Non 5.55 % 8.11 % 103,893 7.93 21 0.0185 % 2,053.9
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 6.68 %
BIP.PR.A FixedReset Disc -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 7.15 %
SLF.PR.G FixedReset Ins Non -2.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.71
Bid-YTW : 10.53 %
RY.PR.H FixedReset Disc -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.22 %
TD.PF.H FixedReset Prem -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 23.34
Evaluated at bid price : 24.50
Bid-YTW : 5.36 %
PWF.PR.A Floater -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 11.03
Evaluated at bid price : 11.03
Bid-YTW : 6.32 %
PWF.PR.P FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 12.16
Evaluated at bid price : 12.16
Bid-YTW : 5.75 %
BAM.PR.X FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.28 %
SLF.PR.J FloatingReset -1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.90
Bid-YTW : 11.05 %
RY.PR.Z FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.13 %
BNS.PR.H FixedReset Prem -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 23.33
Evaluated at bid price : 24.59
Bid-YTW : 5.40 %
POW.PR.B Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 23.17
Evaluated at bid price : 23.43
Bid-YTW : 5.77 %
TRP.PR.E FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 6.55 %
CM.PR.Q FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 5.78 %
POW.PR.D Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.74 %
SLF.PR.A Deemed-Retractible -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.62
Bid-YTW : 6.69 %
TD.PF.B FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 5.37 %
SLF.PR.B Deemed-Retractible -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 6.63 %
IFC.PR.F Deemed-Retractible -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.19
Bid-YTW : 5.84 %
TRP.PR.A FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 12.08
Evaluated at bid price : 12.08
Bid-YTW : 6.60 %
BMO.PR.B FixedReset Prem -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 23.27
Evaluated at bid price : 24.50
Bid-YTW : 5.27 %
POW.PR.A Perpetual-Premium -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.75 %
BMO.PR.C FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.42 %
CM.PR.P FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 15.22
Evaluated at bid price : 15.22
Bid-YTW : 5.74 %
TD.PF.J FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 19.29
Evaluated at bid price : 19.29
Bid-YTW : 5.33 %
BMO.PR.F FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 22.68
Evaluated at bid price : 23.75
Bid-YTW : 5.03 %
IFC.PR.G FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 8.11 %
IAF.PR.G FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 7.51 %
MFC.PR.H FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.35
Bid-YTW : 7.00 %
NA.PR.G FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.51 %
BAM.PF.B FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 6.31 %
PWF.PR.T FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.33 %
TRP.PR.G FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.40 %
HSE.PR.A FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 10.40
Evaluated at bid price : 10.40
Bid-YTW : 7.03 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset Disc 125,420 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.13 %
BMO.PR.T FixedReset Disc 61,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 5.36 %
BMO.PR.Y FixedReset Disc 52,174 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.39 %
SLF.PR.C Deemed-Retractible 51,250 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 6.96 %
SLF.PR.I FixedReset Ins Non 50,513 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.01
Bid-YTW : 8.00 %
POW.PR.D Perpetual-Discount 46,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.74 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.F FixedReset Disc Quote: 21.21 – 21.70
Spot Rate : 0.4900
Average : 0.3395

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 6.11 %

BMO.PR.F FixedReset Disc Quote: 23.75 – 24.29
Spot Rate : 0.5400
Average : 0.4028

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 22.68
Evaluated at bid price : 23.75
Bid-YTW : 5.03 %

BAM.PR.X FixedReset Disc Quote: 11.98 – 12.54
Spot Rate : 0.5600
Average : 0.4303

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.28 %

TRP.PR.C FixedReset Disc Quote: 10.25 – 10.65
Spot Rate : 0.4000
Average : 0.2741

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 6.68 %

HSE.PR.G FixedReset Disc Quote: 16.50 – 16.95
Spot Rate : 0.4500
Average : 0.3256

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.29 %

POW.PR.B Perpetual-Discount Quote: 23.43 – 23.85
Spot Rate : 0.4200
Average : 0.3027

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 23.17
Evaluated at bid price : 23.43
Bid-YTW : 5.77 %

August 15, 2019

Thursday, August 15th, 2019

The slide wasn’t big today, but we did see new lows!

TXPR closed at 582.66, down 0.34% on the day after setting a new 52-week low of 582.32. Volume was 3.33-million (within rounding error of yesterday’s figure), second only to July 19 in the past 30 days.

CPD closed at 11.635, down 0.13% on the day after setting a new 52-week low of 11.61. Volume of 120,970 was high, but not extraordinary in the context of the past thirty days.

ZPR closed at 9.23, down 0.32% on the day after setting a new 52-week low of 9.21. Volume of 219,493 was high, but not extraordinary in the context of the past thirty days.

Five-year Canada yields were down 3bp to 1.16% today.

Mohamed El-Erian provided an update of my favourite financial market chart:

negativeyielddebt_190815
Click for Big
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 -1.1666 % 1,829.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1666 % 3,357.5
Floater 6.53 % 6.70 % 40,952 12.86 4 -1.1666 % 1,934.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0282 % 3,337.4
SplitShare 4.67 % 4.74 % 63,782 4.06 7 0.0282 % 3,985.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0282 % 3,109.7
Perpetual-Premium 5.62 % -8.16 % 57,668 0.09 9 -0.1141 % 2,980.5
Perpetual-Discount 5.47 % 5.60 % 53,590 14.51 25 -0.1695 % 3,115.3
FixedReset Disc 5.89 % 5.54 % 148,047 14.55 66 -0.6673 % 1,978.0
Deemed-Retractible 5.27 % 6.05 % 71,931 7.87 27 -0.0239 % 3,092.7
FloatingReset 4.65 % 7.43 % 62,758 7.98 3 -0.1007 % 2,278.7
FixedReset Prem 5.19 % 4.66 % 168,440 1.92 21 -0.1716 % 2,564.4
FixedReset Bank Non 2.00 % 4.44 % 96,537 2.38 3 -0.3220 % 2,633.3
FixedReset Ins Non 5.55 % 8.19 % 103,638 7.93 21 -0.1137 % 2,053.5
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -4.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 10.18
Evaluated at bid price : 10.18
Bid-YTW : 7.18 %
NA.PR.W FixedReset Disc -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 5.79 %
BAM.PR.K Floater -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 10.24
Evaluated at bid price : 10.24
Bid-YTW : 6.87 %
BAM.PR.Z FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.32 %
TRP.PR.G FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 6.50 %
BAM.PF.G FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 6.54 %
BAM.PF.F FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 6.45 %
BAM.PR.T FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 13.86
Evaluated at bid price : 13.86
Bid-YTW : 6.44 %
HSE.PR.G FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.29 %
CM.PR.O FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 5.62 %
TRP.PR.E FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.45 %
PWF.PR.T FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 5.40 %
TRP.PR.F FloatingReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 7.43 %
BAM.PF.E FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 6.55 %
BMO.PR.D FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 5.42 %
CU.PR.G Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 5.45 %
CCS.PR.C Deemed-Retractible -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.77 %
IFC.PR.G FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.74
Bid-YTW : 7.97 %
CM.PR.R FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 5.69 %
TRP.PR.B FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 9.99
Evaluated at bid price : 9.99
Bid-YTW : 6.29 %
MFC.PR.F FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.69
Bid-YTW : 10.45 %
BAM.PR.B Floater -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 10.38
Evaluated at bid price : 10.38
Bid-YTW : 6.77 %
CU.PR.H Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 23.89
Evaluated at bid price : 24.35
Bid-YTW : 5.38 %
TD.PF.K FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 5.34 %
IAF.PR.G FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.65
Bid-YTW : 7.64 %
TRP.PR.A FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 12.23
Evaluated at bid price : 12.23
Bid-YTW : 6.52 %
BAM.PF.A FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.22 %
IFC.PR.A FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.67
Bid-YTW : 10.48 %
CU.PR.F Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.38 %
CM.PR.P FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 5.68 %
HSE.PR.E FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 7.29 %
SLF.PR.J FloatingReset 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.14
Bid-YTW : 10.81 %
MFC.PR.K FixedReset Ins Non 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.30
Bid-YTW : 8.56 %
CU.PR.C FixedReset Disc 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.13
Evaluated at bid price : 16.13
Bid-YTW : 5.56 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset Disc 320,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 5.41 %
TD.PF.H FixedReset Prem 129,273 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.89 %
TD.PF.M FixedReset Prem 118,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 22.91
Evaluated at bid price : 24.32
Bid-YTW : 5.01 %
TD.PF.B FixedReset Disc 109,840 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 5.29 %
BAM.PR.R FixedReset Disc 68,313 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.29 %
RY.PR.J FixedReset Disc 67,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 5.41 %
There were 49 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 16.01 – 17.00
Spot Rate : 0.9900
Average : 0.6493

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 6.50 %

IFC.PR.A FixedReset Ins Non Quote: 13.67 – 14.60
Spot Rate : 0.9300
Average : 0.6668

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.67
Bid-YTW : 10.48 %

CCS.PR.C Deemed-Retractible Quote: 23.72 – 24.54
Spot Rate : 0.8200
Average : 0.6394

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.77 %

CU.PR.F Perpetual-Discount Quote: 21.00 – 21.45
Spot Rate : 0.4500
Average : 0.2733

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.38 %

TRP.PR.E FixedReset Disc Quote: 13.95 – 14.38
Spot Rate : 0.4300
Average : 0.3002

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.45 %

HSE.PR.A FixedReset Disc Quote: 10.18 – 10.60
Spot Rate : 0.4200
Average : 0.2937

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-15
Maturity Price : 10.18
Evaluated at bid price : 10.18
Bid-YTW : 7.18 %

August 14, 2019

Thursday, August 15th, 2019
mushroomcloud_190814
Click for Big

Not a pleasant day for global markets:

The global economy is under increasing stress as growth cools and trade tensions take a mounting toll. On Wednesday, the tremors were felt worldwide.

Shares on Wall Street were off sharply, only a day after they had rallied as President Trump narrowed the scope of his next round of tariffs. The S&P 500 was down 2.9 percent. And bond markets offered an ominous warning on American growth prospects, with yields falling to levels not seen in years.

The financial jitters, which continued Thursday as markets in Asia were down in early trading, came after new data showed the German economy hurtling toward a recession and factory output in China growing at its slowest pace in 17 years.

The trouble in two of the world’s manufacturing powerhouses indicated, in part, how hard both have been hit by Mr. Trump’s tariffs. And it increased concern that the United States, too, is headed for an economic reckoning.

Treasuries reaped the benefits:

Investors were intensely attuned Wednesday to downbeat economic signals from the bond market. Yields on long-term United States Treasury securities continue to plumb lows not seen in recent years. The yield on the benchmark 10-year Treasury note fell to 1.58 percent, a level it last reached in late 2016. The yield on the 30-year bond fell to 2.03 percent, the lowest level on record.

And Canada was not spared:

The S&P 500 fell 2.9 per cent. The Dow Jones Industrial Average suffered its worst selloff since October, 2018, tumbling 800.49 points or 3.1 per cent.

Canada’s benchmark index, the S&P/TSX Composite, fell 1.9 per cent, also its biggest one-day decline since October and erasing $47-billion from the index’s market capitalization, according to Bloomberg.

But the bond market, which has been sending gloomy economic signals for much of this year, reflected some of the biggest concerns among many investors as the rush into safe holdings raised bond prices and lowered yields.

The yield on the Government of Canada 10-year bond fell to 1.14 per cent, a 3 1/2-year low and down from a yield of 2.6 per cent in October.

TXPR closed at 584.66, down 1.58% on the day after setting a new 52-week low of 583.85. Volume was 3.33-million, second only to July 19 in the past 30 days.

CPD closed at 11.65, a new 52-week low and down 1.31% on the day. Volume of 158,542 was the fourth-highest of the past thirty days.

ZPR closed at 9.26, a new 52-week low and down 1.70% on the day. Volume of 391,261 was the second-highest of the past 30 days, beaten only by the August 13 volume of 557,210.

Five-year Canada yields were down 6bp to 1.19% today.

PerpetualDiscounts now yield 5.59%, equivalent to 7.27% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.21%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to an astonishing 405bp, a new post-Credit Crunch record (second only to the 445bp recorded November 26, 2008, a day on which

The TXPR index was down 5.94% on the BCE news.

) and significantly wider than the 390bp the reported August 7.

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 -2.1014 % 1,851.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.1014 % 3,397.1
Floater 6.45 % 6.68 % 40,472 12.88 4 -2.1014 % 1,957.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0396 % 3,336.5
SplitShare 4.67 % 4.70 % 66,207 4.06 7 0.0396 % 3,984.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0396 % 3,108.8
Perpetual-Premium 5.62 % -8.34 % 53,389 0.09 9 -0.1315 % 2,983.9
Perpetual-Discount 5.46 % 5.59 % 55,435 14.52 25 -0.2255 % 3,120.6
FixedReset Disc 5.85 % 5.53 % 146,086 14.66 66 -2.3116 % 1,991.3
Deemed-Retractible 5.27 % 6.06 % 66,616 7.88 27 -0.5603 % 3,093.5
FloatingReset 4.64 % 7.30 % 63,678 7.97 3 -1.1938 % 2,281.0
FixedReset Prem 5.19 % 4.54 % 168,278 1.92 21 -0.4201 % 2,568.8
FixedReset Bank Non 1.99 % 4.33 % 89,417 2.39 3 -0.2514 % 2,641.8
FixedReset Ins Non 5.54 % 8.01 % 99,193 7.94 21 -1.6007 % 2,055.8
Performance Highlights
Issue Index Change Notes
HSE.PR.C FixedReset Disc -5.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 7.00 %
HSE.PR.E FixedReset Disc -5.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 7.21 %
HSE.PR.G FixedReset Disc -5.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 7.16 %
HSE.PR.A FixedReset Disc -4.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 10.66
Evaluated at bid price : 10.66
Bid-YTW : 6.85 %
TD.PF.A FixedReset Disc -4.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.27
Evaluated at bid price : 16.27
Bid-YTW : 5.35 %
EMA.PR.C FixedReset Disc -4.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 5.96 %
BMO.PR.W FixedReset Disc -4.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 15.57
Evaluated at bid price : 15.57
Bid-YTW : 5.54 %
CU.PR.C FixedReset Disc -4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.70 %
CM.PR.P FixedReset Disc -4.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.62 %
TD.PF.C FixedReset Disc -4.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 5.39 %
MFC.PR.G FixedReset Ins Non -3.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.00
Bid-YTW : 8.21 %
NA.PR.S FixedReset Disc -3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 5.68 %
TD.PF.I FixedReset Disc -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 5.17 %
MFC.PR.K FixedReset Ins Non -3.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.01
Bid-YTW : 8.77 %
TRP.PR.A FixedReset Disc -3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 12.37
Evaluated at bid price : 12.37
Bid-YTW : 6.44 %
IAF.PR.I FixedReset Ins Non -3.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.99
Bid-YTW : 7.87 %
TRP.PR.E FixedReset Disc -3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 6.33 %
TD.PF.J FixedReset Disc -3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.23 %
TRP.PR.F FloatingReset -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 12.38
Evaluated at bid price : 12.38
Bid-YTW : 7.30 %
PWF.PR.P FixedReset Disc -3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 5.59 %
EMA.PR.F FixedReset Disc -3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 6.16 %
TRP.PR.G FixedReset Disc -3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.34 %
BAM.PR.B Floater -3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 6.68 %
SLF.PR.I FixedReset Ins Non -3.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.01
Bid-YTW : 8.00 %
BAM.PF.B FixedReset Disc -3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 6.35 %
MFC.PR.M FixedReset Ins Non -3.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.82
Bid-YTW : 9.26 %
IAF.PR.G FixedReset Ins Non -2.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.87
Bid-YTW : 7.49 %
TD.PF.D FixedReset Disc -2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.46 %
TD.PF.K FixedReset Disc -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 5.27 %
BMO.PR.C FixedReset Disc -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 5.34 %
CM.PR.R FixedReset Disc -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 5.62 %
BAM.PR.K Floater -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 6.68 %
BIP.PR.A FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.88 %
TD.PF.B FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.28 %
TRP.PR.C FixedReset Disc -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 6.39 %
BAM.PR.C Floater -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 6.68 %
MFC.PR.I FixedReset Ins Non -2.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.53
Bid-YTW : 8.01 %
BAM.PF.E FixedReset Disc -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 6.43 %
NA.PR.W FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.63 %
IFC.PR.A FixedReset Ins Non -2.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.82
Bid-YTW : 10.34 %
TRP.PR.D FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 14.88
Evaluated at bid price : 14.88
Bid-YTW : 6.25 %
BIP.PR.D FixedReset Disc -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 5.83 %
MFC.PR.N FixedReset Ins Non -2.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.61
Bid-YTW : 9.36 %
NA.PR.C FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 5.55 %
BAM.PR.R FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 6.23 %
RY.PR.S FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 5.09 %
BMO.PR.S FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 5.33 %
CM.PR.Q FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 5.69 %
CM.PR.S FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.54 %
NA.PR.E FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 5.53 %
BAM.PF.J FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 22.68
Evaluated at bid price : 23.51
Bid-YTW : 5.07 %
BAM.PF.F FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.31 %
EMA.PR.E Perpetual-Discount -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 5.62 %
BAM.PF.G FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 6.40 %
BMO.PR.T FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 5.32 %
BAM.PR.T FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 6.31 %
RY.PR.Z FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.01 %
IFC.PR.C FixedReset Ins Non -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.75
Bid-YTW : 8.70 %
BAM.PR.X FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 6.12 %
GWO.PR.S Deemed-Retractible -1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.69
Bid-YTW : 6.06 %
NA.PR.G FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.53 %
MFC.PR.J FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.19
Bid-YTW : 8.30 %
PWF.PR.T FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 5.30 %
RY.PR.H FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 5.03 %
BMO.PR.F FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 22.84
Evaluated at bid price : 24.12
Bid-YTW : 4.94 %
RY.PR.M FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.47 %
BIP.PR.F FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.13 %
MFC.PR.F FixedReset Ins Non -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.85
Bid-YTW : 10.29 %
SLF.PR.G FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.00
Bid-YTW : 10.24 %
BNS.PR.I FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 5.18 %
BMO.PR.E FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.35 %
CM.PR.T FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 22.78
Evaluated at bid price : 23.97
Bid-YTW : 4.87 %
CCS.PR.C Deemed-Retractible -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.06
Bid-YTW : 5.59 %
MFC.PR.Q FixedReset Ins Non -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.28
Bid-YTW : 8.20 %
TD.PF.E FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 5.43 %
BIP.PR.E FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.99 %
GWO.PR.R Deemed-Retractible -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.09
Bid-YTW : 6.46 %
CM.PR.O FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.52 %
GWO.PR.H Deemed-Retractible -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.92
Bid-YTW : 6.62 %
TD.PF.L FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 22.84
Evaluated at bid price : 24.10
Bid-YTW : 4.80 %
SLF.PR.D Deemed-Retractible -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.69
Bid-YTW : 6.90 %
TD.PF.M FixedReset Prem -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 22.94
Evaluated at bid price : 24.38
Bid-YTW : 4.99 %
SLF.PR.B Deemed-Retractible -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.07
Bid-YTW : 6.47 %
PWF.PR.S Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 21.65
Evaluated at bid price : 21.65
Bid-YTW : 5.59 %
BAM.PF.H FixedReset Prem -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.54 %
IFC.PR.E Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.52
Bid-YTW : 6.09 %
CM.PR.Y FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 22.97
Evaluated at bid price : 24.45
Bid-YTW : 5.04 %
CU.PR.H Perpetual-Discount 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 24.18
Evaluated at bid price : 24.65
Bid-YTW : 5.32 %
IFC.PR.G FixedReset Ins Non 2.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.79 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.A FixedReset Ins Non 103,551 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.82
Bid-YTW : 10.34 %
RY.PR.Z FixedReset Disc 94,183 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.01 %
BMO.PR.Y FixedReset Disc 71,196 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 5.39 %
RY.PR.Q FixedReset Prem 68,728 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.13 %
TRP.PR.C FixedReset Disc 61,115 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 6.39 %
TRP.PR.A FixedReset Disc 58,267 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 12.37
Evaluated at bid price : 12.37
Bid-YTW : 6.44 %
There were 59 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Disc Quote: 16.82 – 17.75
Spot Rate : 0.9300
Average : 0.5744

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 7.21 %

BMO.PR.F FixedReset Disc Quote: 24.12 – 24.75
Spot Rate : 0.6300
Average : 0.3865

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 22.84
Evaluated at bid price : 24.12
Bid-YTW : 4.94 %

PWF.PR.T FixedReset Disc Quote: 17.79 – 18.33
Spot Rate : 0.5400
Average : 0.3465

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 5.30 %

SLF.PR.I FixedReset Ins Non Quote: 18.01 – 18.49
Spot Rate : 0.4800
Average : 0.2934

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.01
Bid-YTW : 8.00 %

TRP.PR.G FixedReset Disc Quote: 16.40 – 16.86
Spot Rate : 0.4600
Average : 0.2758

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-14
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.34 %

GWO.PR.S Deemed-Retractible Quote: 23.69 – 24.23
Spot Rate : 0.5400
Average : 0.3719

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.69
Bid-YTW : 6.06 %

August 13, 2019

Tuesday, August 13th, 2019

Hostilities cooled in the trade war:

The Trump administration on Tuesday delayed imposing a 10 per cent import tariff on laptops, cellphones, video game consoles and a wide range of other products made in China, in an abrupt pullback from a hard line stance on Chinese trade.

The U.S. Trade Representative’s Office action was published just minutes after China’s Ministry of Commerce said Vice Premier Liu He conducted a phone call with U.S. trade officials.

The delay in the tariffs that had been scheduled to start next month provides some relief to retailers. Although most stores would have stocked their holiday merchandise before the earlier September deadline, some might have faced the tariffs for fill-in orders late in the holiday shopping season.

“We’re doing this for the Christmas season, just in case some of the tariffs would have an impact on U.S. customers” President Donald Trump told reporters as he prepared to depart from New Jersey for an event in Pittsburgh.

For what it’s worth, I will note that Trump has an election to fight next year – and the concept of ‘voting with your pocketbook’ is so well-known it’s trite. So I believe that Trump will win a headline concession from China (never mind all the fine print), declare victory and lift the tariffs well before the election. I’d be hesitant to estimate a probability for that scenario, though!

The Treasury market, though, ignored my prating as usual and flattened:

The U.S. Treasury yield curve hit its flattest level in more than 12 years on Tuesday, suggesting increased market anxiety over the state of the economy amid trade war concerns and global political tensions.

The spread between U.S. 2-year and 10-year note yields, a closely watched metric for recession signals, declined to 0.6 basis point, the narrowest since June 2007, according to Refinitiv data. The last time this yield curve inverted was also in June 2007 in the midst of the U.S. sub-prime mortgage crisis

Despite weak signals from the yield curve, U.S. yields rose across the board on Tuesday after the Trump administration delayed imposing a 10% import tariff on laptops, cellphones, video game consoles and a wide range of other products made in China. Analysts said the U.S. move served to ease trade tensions between the two world’s largest economies, at least for now.

U.S. two-year and 10-year note yields hit session highs after the trade news, while those on 30-year bonds rallied from more than three-year lows. Traders earlier were bracing for 30-year yields sinking to a record low below 2.08%.

The Labor Department said the U.S. consumer price index climbed 0.3% last month, lifted by gains in the cost of energy products and a range of other goods. Excluding the volatile food and energy components, the CPI gained 0.3% after rising by the same margin in June.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0686 % 1,891.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0686 % 3,470.1
Floater 6.32 % 6.48 % 39,727 13.16 4 0.0686 % 1,999.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0678 % 3,335.2
SplitShare 4.67 % 4.74 % 66,893 4.07 7 -0.0678 % 3,982.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0678 % 3,107.6
Perpetual-Premium 5.61 % -13.06 % 53,256 0.09 9 0.0219 % 2,987.8
Perpetual-Discount 5.45 % 5.53 % 56,892 14.64 25 -0.0458 % 3,127.6
FixedReset Disc 5.71 % 5.41 % 147,511 14.87 66 0.4569 % 2,038.4
Deemed-Retractible 5.24 % 5.96 % 64,179 7.89 27 0.0443 % 3,110.9
FloatingReset 4.59 % 7.05 % 63,340 7.99 3 0.2993 % 2,308.6
FixedReset Prem 5.16 % 4.40 % 164,425 1.92 21 0.0150 % 2,579.7
FixedReset Bank Non 1.99 % 4.30 % 84,377 2.39 3 0.0699 % 2,648.4
FixedReset Ins Non 5.45 % 8.00 % 97,150 7.99 21 -0.0338 % 2,089.3
Performance Highlights
Issue Index Change Notes
IFC.PR.G FixedReset Ins Non -3.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.46
Bid-YTW : 8.16 %
TRP.PR.B FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 10.21
Evaluated at bid price : 10.21
Bid-YTW : 6.15 %
SLF.PR.I FixedReset Ins Non -1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.57
Bid-YTW : 7.61 %
CU.PR.H Perpetual-Discount -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 23.74
Evaluated at bid price : 24.20
Bid-YTW : 5.42 %
IAF.PR.G FixedReset Ins Non -1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 7.10 %
TRP.PR.D FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 6.09 %
BMO.PR.Z Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 24.03
Evaluated at bid price : 24.50
Bid-YTW : 5.10 %
NA.PR.E FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.42 %
RY.PR.M FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 5.38 %
CCS.PR.C Deemed-Retractible 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.43
Bid-YTW : 5.40 %
TRP.PR.A FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 6.22 %
TD.PF.J FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 5.05 %
HSE.PR.A FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 11.21
Evaluated at bid price : 11.21
Bid-YTW : 6.52 %
BAM.PR.Z FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 6.13 %
CM.PR.S FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 5.43 %
HSE.PR.G FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.77 %
BMO.PR.C FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 5.16 %
HSE.PR.C FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 6.59 %
IFC.PR.C FixedReset Ins Non 2.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.05
Bid-YTW : 8.47 %
CM.PR.P FixedReset Disc 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 5.38 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 77,207 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 5.10 %
BAM.PR.X FixedReset Disc 73,815 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 6.01 %
RY.PR.J FixedReset Disc 61,939 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.39 %
MFC.PR.J FixedReset Ins Non 59,176 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.51
Bid-YTW : 8.06 %
BAM.PF.G FixedReset Disc 52,826 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 6.28 %
TD.PF.B FixedReset Disc 43,107 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 5.13 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.G FixedReset Ins Non Quote: 18.46 – 19.49
Spot Rate : 1.0300
Average : 0.6139

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.46
Bid-YTW : 8.16 %

BIP.PR.C FixedReset Prem Quote: 24.95 – 25.33
Spot Rate : 0.3800
Average : 0.2615

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.81 %

BAM.PR.R FixedReset Disc Quote: 14.39 – 14.69
Spot Rate : 0.3000
Average : 0.1905

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 14.39
Evaluated at bid price : 14.39
Bid-YTW : 6.09 %

CU.PR.H Perpetual-Discount Quote: 24.20 – 24.55
Spot Rate : 0.3500
Average : 0.2510

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 23.74
Evaluated at bid price : 24.20
Bid-YTW : 5.42 %

CU.PR.C FixedReset Disc Quote: 16.45 – 16.73
Spot Rate : 0.2800
Average : 0.1844

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 5.45 %

EMA.PR.H FixedReset Disc Quote: 24.52 – 24.83
Spot Rate : 0.3100
Average : 0.2146

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-13
Maturity Price : 23.07
Evaluated at bid price : 24.52
Bid-YTW : 4.94 %

August 12, 2019

Monday, August 12th, 2019
explosion_190812
Click for Big

There is some nervousness regarding the trade war:

Banks and technology companies drove a broad slide in stocks on Wall Street on Monday afternoon, knocking the Dow Jones industrial average down more than 300 points.

The sell-off added to losses the market racked up last week amid heightened anxiety over the continuing trade war between the United States and China.

The week of wild swings was fueled by investors’ worries that the fallout from the costly trade conflict would hurt corporate profits and hamper an already slowing global economy.

Traders shifted money into government bonds on Monday, sending bond prices higher. Yields move lower when bond prices rise, and as investors poured money into the bond market, the yield on the 10-year Treasury fell to 1.65 percent from 1.73 percent late Friday. The yield is used as a benchmark for interest rates on mortgages and other consumer loans.

The Bank of Canada has released a Staff Analytical Note by Rohan Arora, Guillaume Ouellet Leblanc, Jabir Sandhu and Jun Yang titled Using Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market:

Market participants in Canada have suggested that the liquidity of corporate bonds worsened in recent years. Yet, previous analysis by Bank of Canada staff (Fan et al. 2018b) shows that corporate bond market liquidity has generally improved since 2010. That conclusion relies on two commonly used liquidity proxies that are computed using data from transactions. However, most corporate bonds trade infrequently; in fact, only about 200 bonds transact on any given day. Consequently, infrequently traded bonds are missing from the existing liquidity proxies. This raises the concern that these proxies do not provide a complete picture of the liquidity conditions of the overall market.

We construct a new liquidity proxy using the price of exchange-traded funds (ETFs), the ETF-based proxy of Canadian corporate bond market liquidity (ECML). ECML measures the average liquidity of about 900 corporate bonds each day. Many of these bonds transact infrequently and are consequently missing from the existing liquidity proxies. Nonetheless, using ECML leads us to the same conclusion as Fan et al. (2018b):

corporate bond market liquidity has generally improved since 2010

But, the longer sample available with ECML also shows that liquidity has remained relatively stable since 2014.

TXPR closed at 592.89, down 0.78% on the day. Volume was 2.09-million, high, but not notably so in the context of the past 30 days.

CPD closed at 11.83, down 0.76% on the day. Volume of 141,299 was the fourth-highest of the past thirty days.

ZPR closed at 9.42, down 1.15% on the day. Volume of 211,213 was the second-highest of the past 30 days, beaten only by the August 7 volume of 242,011.

Five-year Canada yields were down 1bp to 1.20% today.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.8611 % 1,889.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8611 % 3,467.7
Floater 6.32 % 6.50 % 39,970 13.13 4 -0.8611 % 1,998.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0056 % 3,337.4
SplitShare 4.67 % 4.74 % 69,653 4.07 7 -0.0056 % 3,985.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0056 % 3,109.7
Perpetual-Premium 5.61 % -11.89 % 54,021 0.09 9 0.0175 % 2,987.2
Perpetual-Discount 5.45 % 5.54 % 55,823 14.65 25 -0.1108 % 3,129.0
FixedReset Disc 5.74 % 5.42 % 143,593 14.80 66 -1.2557 % 2,029.2
Deemed-Retractible 5.24 % 5.97 % 66,578 7.90 27 -0.1676 % 3,109.5
FloatingReset 4.60 % 7.10 % 63,592 7.99 3 -1.0857 % 2,301.7
FixedReset Prem 5.16 % 4.47 % 156,760 1.93 21 -0.3216 % 2,579.3
FixedReset Bank Non 1.99 % 4.28 % 85,659 2.39 3 -0.3343 % 2,646.6
FixedReset Ins Non 5.45 % 7.76 % 90,105 7.99 21 -0.9178 % 2,090.0
Performance Highlights
Issue Index Change Notes
TD.PF.J FixedReset Disc -4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 5.13 %
CM.PR.S FixedReset Disc -3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.54 %
HSE.PR.G FixedReset Disc -3.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.91 %
CM.PR.P FixedReset Disc -3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 15.76
Evaluated at bid price : 15.76
Bid-YTW : 5.54 %
HSE.PR.E FixedReset Disc -3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.83 %
BMO.PR.C FixedReset Disc -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 5.31 %
HSE.PR.A FixedReset Disc -3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 11.03
Evaluated at bid price : 11.03
Bid-YTW : 6.62 %
CM.PR.O FixedReset Disc -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 5.49 %
BIP.PR.A FixedReset Disc -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.68 %
TRP.PR.F FloatingReset -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 7.10 %
BAM.PR.X FixedReset Disc -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 6.00 %
BAM.PR.Z FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.24 %
MFC.PR.K FixedReset Ins Non -2.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.63
Bid-YTW : 8.30 %
IFC.PR.A FixedReset Ins Non -2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.11
Bid-YTW : 10.06 %
BIP.PR.F FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 6.08 %
TRP.PR.C FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 11.02
Evaluated at bid price : 11.02
Bid-YTW : 6.20 %
BAM.PR.T FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.15 %
MFC.PR.Q FixedReset Ins Non -2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.42
Bid-YTW : 8.10 %
CM.PR.R FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 5.49 %
PWF.PR.A Floater -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 6.11 %
BMO.PR.D FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.30 %
SLF.PR.J FloatingReset -1.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.10
Bid-YTW : 10.83 %
TD.PF.A FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 5.14 %
BAM.PF.E FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 15.37
Evaluated at bid price : 15.37
Bid-YTW : 6.27 %
BMO.PR.E FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.28 %
TD.PF.C FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 5.18 %
TD.PF.I FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 21.30
Evaluated at bid price : 21.60
Bid-YTW : 4.96 %
PWF.PR.P FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.41 %
EMA.PR.F FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 5.96 %
SLF.PR.G FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.20
Bid-YTW : 10.05 %
TRP.PR.A FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 12.64
Evaluated at bid price : 12.64
Bid-YTW : 6.30 %
BMO.PR.W FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 5.31 %
NA.PR.W FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 15.87
Evaluated at bid price : 15.87
Bid-YTW : 5.50 %
IFC.PR.C FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.56
Bid-YTW : 8.84 %
TRP.PR.B FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 5.98 %
SLF.PR.H FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.81
Bid-YTW : 8.76 %
MFC.PR.F FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.02
Bid-YTW : 10.13 %
BAM.PR.R FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.04 %
RY.PR.H FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.98 %
NA.PR.G FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 5.43 %
MFC.PR.M FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.19
Bid-YTW : 8.96 %
HSE.PR.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 6.76 %
BMO.PR.S FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.27 %
IAF.PR.I FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 7.39 %
MFC.PR.N FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.00
Bid-YTW : 9.04 %
BNS.PR.I FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 5.10 %
TD.PF.B FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 5.15 %
CU.PR.E Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 22.25
Evaluated at bid price : 22.25
Bid-YTW : 5.52 %
W.PR.K FixedReset Prem -1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 5.12 %
GWO.PR.N FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.95
Bid-YTW : 9.16 %
RY.PR.M FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.44 %
CM.PR.Q FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 5.61 %
CU.PR.F Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.35 %
BAM.PF.G FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.31 %
RY.PR.S FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 4.96 %
PWF.PR.S Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 21.90
Evaluated at bid price : 21.90
Bid-YTW : 5.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset Disc 106,120 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.95 %
BMO.PR.D FixedReset Disc 69,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.30 %
BMO.PR.Y FixedReset Disc 54,944 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 5.38 %
SLF.PR.H FixedReset Ins Non 51,890 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.81
Bid-YTW : 8.76 %
RY.PR.J FixedReset Disc 37,978 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.40 %
BAM.PR.X FixedReset Disc 35,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 6.00 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.P FixedReset Disc Quote: 15.76 – 16.47
Spot Rate : 0.7100
Average : 0.4152

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 15.76
Evaluated at bid price : 15.76
Bid-YTW : 5.54 %

CM.PR.S FixedReset Disc Quote: 17.50 – 18.09
Spot Rate : 0.5900
Average : 0.3540

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.54 %

BNS.PR.D FloatingReset Quote: 24.29 – 24.82
Spot Rate : 0.5300
Average : 0.3353

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.29
Bid-YTW : 3.89 %

BMO.PR.C FixedReset Disc Quote: 21.44 – 22.00
Spot Rate : 0.5600
Average : 0.3816

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 5.31 %

BNS.PR.I FixedReset Disc Quote: 19.48 – 19.88
Spot Rate : 0.4000
Average : 0.2279

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 5.10 %

CM.PR.O FixedReset Disc Quote: 16.47 – 17.05
Spot Rate : 0.5800
Average : 0.4086

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-12
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 5.49 %