October 24, 2018

Equities got creamed today:

Stocks have fallen for 13 of the past 15 trading days, including a 3.3 percent drop on Oct. 10 that was the market’s worst fall in eight months. The S.&P. 500 is now down more than 0.6 percent for the year.

The S.&P. 500 communications services sector — which includes tech giants like Google and Facebook — led the broad market lower.
  • •The tech-heavy Nasdaq composite index dropped more than 4.4 percent, as shares in the tech heavyweights Amazon, Microsoft and Facebook all fell more than 5 percent.
  • •Netflix stock fell more than 9 percent, after media reports said that Apple planned to announce a subscription television service that would go head-to-head with Amazon and Netflix.
  • •Homebuilding stocks slumped again. The S.&P. 500 homebuilding index dropped 3 percent after new economic data showed home sales slumped for the fourth straight month. The sector has been battered this year, falling more than 36 percent, as rising mortgage rates showed signs of slowing the sector.

TXPR touched a new 52-week low today, just like yesterday. Note that that’s the price index being referred to, which does not account for the value of dividends received. CPD volume returned to high-ish, but reasonably normal levels.

PerpetualDiscounts now yield 5.76%, equivalent to 7.49% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.15%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 335bp, a significant widening from the 325bp reported October 17.

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 0.0152 % 3,100.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0152 % 5,689.7
Floater 3.51 % 3.73 % 41,428 18.01 4 0.0152 % 3,279.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1269 % 3,223.8
SplitShare 4.62 % 4.85 % 49,617 4.70 5 -0.1269 % 3,849.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1269 % 3,003.8
Perpetual-Premium 5.66 % 5.30 % 79,001 14.02 12 0.0128 % 2,895.9
Perpetual-Discount 5.63 % 5.76 % 76,907 14.27 21 -0.1380 % 2,917.6
FixedReset Disc 4.26 % 5.17 % 148,443 15.31 45 -0.3978 % 2,557.3
Deemed-Retractible 5.37 % 6.78 % 67,431 5.23 27 -0.0458 % 2,890.1
FloatingReset 3.68 % 3.83 % 44,592 5.51 4 -0.3034 % 2,827.0
FixedReset Prem 4.90 % 4.29 % 254,520 3.05 34 -0.0696 % 2,557.4
FixedReset Bank Non 3.12 % 3.30 % 85,864 0.33 8 0.0541 % 2,579.1
FixedReset Ins Non 4.47 % 5.82 % 118,302 5.34 22 -0.2752 % 2,508.7
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 5.33 %
TRP.PR.G FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 23.36
Evaluated at bid price : 23.68
Bid-YTW : 5.51 %
GWO.PR.L Deemed-Retractible -2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 6.07 %
TRP.PR.D FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 5.41 %
BAM.PF.J FixedReset Prem -1.75 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.76
Bid-YTW : 5.12 %
TRP.PR.B FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 5.24 %
IFC.PR.A FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.99
Bid-YTW : 7.77 %
GWO.PR.T Deemed-Retractible -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 7.19 %
BAM.PR.X FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 5.29 %
PWF.PR.P FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.04 %
MFC.PR.F FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.47
Bid-YTW : 9.63 %
PWF.PR.L Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.88
Evaluated at bid price : 22.12
Bid-YTW : 5.78 %
MFC.PR.M FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.37
Bid-YTW : 6.79 %
RY.PR.O Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 23.35
Evaluated at bid price : 23.73
Bid-YTW : 5.14 %
PWF.PR.Q FloatingReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 3.83 %
SLF.PR.H FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.82
Bid-YTW : 7.14 %
MFC.PR.N FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.12
Bid-YTW : 6.89 %
CU.PR.C FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.38 %
TRP.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.34 %
IFC.PR.F Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.49
Bid-YTW : 6.60 %
MFC.PR.G FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.54 %
HSE.PR.E FixedReset Prem 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 24.09
Evaluated at bid price : 24.46
Bid-YTW : 5.99 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset Prem 132,650 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.22 %
BAM.PF.B FixedReset Disc 85,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 22.52
Evaluated at bid price : 23.50
Bid-YTW : 5.31 %
TRP.PR.K FixedReset Prem 75,346 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.18 %
SLF.PR.A Deemed-Retractible 74,720 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.01
Bid-YTW : 8.16 %
CM.PR.R FixedReset Prem 74,258 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.28 %
RY.PR.I FixedReset Bank Non 73,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 2.64 %
There were 40 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: 23.68 – 24.26
Spot Rate : 0.5800
Average : 0.3848

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 23.36
Evaluated at bid price : 23.68
Bid-YTW : 5.51 %

GWO.PR.L Deemed-Retractible Quote: 24.61 – 25.16
Spot Rate : 0.5500
Average : 0.3675

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 6.07 %

RY.PR.O Perpetual-Discount Quote: 23.73 – 24.19
Spot Rate : 0.4600
Average : 0.2929

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 23.35
Evaluated at bid price : 23.73
Bid-YTW : 5.14 %

TRP.PR.E FixedReset Disc Quote: 22.10 – 22.55
Spot Rate : 0.4500
Average : 0.2904

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 5.33 %

TD.PF.G FixedReset Prem Quote: 25.76 – 26.08
Spot Rate : 0.3200
Average : 0.1812

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 4.19 %

TD.PF.A FixedReset Disc Quote: 22.76 – 23.20
Spot Rate : 0.4400
Average : 0.3048

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-24
Maturity Price : 22.10
Evaluated at bid price : 22.76
Bid-YTW : 5.03 %

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