February 13, 2019

explosion_190213
Click for Big

TXPR closed at 623.12, down 0.89% on the day. Volume was a staggering 5.02-million, by far the highest of the past thirty days.

CPD closed at 12.45, down 1.11% on the day. Volume of 144,771 was more or less average in the context of the past thirty days.

ZPR closed at 10.10, down 0.98% on the day. Volume of 180,470 was average in the context of the past thirty days.

Something of this size is almost definitely a big player shifting position, and it looks like a reasonably well executed take-down, provided you ignore the fact that doing it all in one day cost them good money. TXPR was actually up a little on the day until 1:05, when a wave of selling took it down 40bp in a span of 15 minutes. It was then stable until 2:45pm, when another wave took it down 51bp in 20 minutes; it was then fairly stable through the close with no MOC orders.

txpr_190213Click for Big

The first wave, I’d guess, had the purpose of attracting buyers, who were able to satiate their appetites in the second wave.

It doesn’t look like this was in reaction to sudden changes in the five-year Canada yield, which was up 2bp to 1.84% today.

PerpetualDiscounts now yield 5.72%, equivalent to 7.44% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 350bp, a significant widening from the 340bp reported February 6.

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 0.1331 % 2,234.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1331 % 4,099.6
Floater 5.25 % 5.45 % 30,016 14.70 4 0.1331 % 2,362.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1246 % 3,232.8
SplitShare 4.89 % 4.93 % 59,836 3.95 8 0.1246 % 3,860.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1246 % 3,012.2
Perpetual-Premium 5.86 % -0.02 % 85,692 0.08 4 -0.0794 % 2,887.7
Perpetual-Discount 5.58 % 5.72 % 74,278 14.29 31 -0.3412 % 2,980.9
FixedReset Disc 5.18 % 5.48 % 213,762 14.69 65 -1.7059 % 2,189.6
Deemed-Retractible 5.35 % 6.23 % 97,609 8.14 27 -0.1323 % 2,968.5
FloatingReset 4.35 % 5.62 % 58,913 8.45 6 -0.2064 % 2,424.8
FixedReset Prem 5.15 % 4.25 % 309,800 2.28 18 -0.1265 % 2,527.4
FixedReset Bank Non 2.79 % 4.22 % 156,863 2.84 5 -0.1572 % 2,597.1
FixedReset Ins Non 5.05 % 6.99 % 131,727 8.23 22 -0.7318 % 2,203.4
Performance Highlights
Issue Index Change Notes
HSE.PR.E FixedReset Disc -5.40 % A reasonable quote. The issue traded 30,015 shares in a range of 19.77-21.08 (closing at 19.80) and was quoted at 19.80-86.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.79 %

HSE.PR.G FixedReset Disc -5.09 % Another reasonable quote. The issue traded 4,241 shares in a range of 19.75-20.80 (closing at 19.75) before being quoted at 19.75-06.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.76 %

HSE.PR.A FixedReset Disc -4.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 6.50 %
NA.PR.G FixedReset Disc -3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 5.42 %
HSE.PR.C FixedReset Disc -3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.62 %
CM.PR.P FixedReset Disc -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 5.55 %
TD.PF.J FixedReset Disc -3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 5.25 %
RY.PR.J FixedReset Disc -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.41 %
PWF.PR.P FixedReset Disc -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 5.95 %
NA.PR.W FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.80 %
BMO.PR.D FixedReset Disc -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.25
Evaluated at bid price : 22.78
Bid-YTW : 5.31 %
TD.PF.C FixedReset Disc -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 5.38 %
BAM.PR.Z FixedReset Disc -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 5.76 %
CM.PR.Q FixedReset Disc -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 5.46 %
TD.PF.B FixedReset Disc -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.39 %
BNS.PR.I FixedReset Disc -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.90
Evaluated at bid price : 22.38
Bid-YTW : 4.93 %
BIP.PR.D FixedReset Disc -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.92
Evaluated at bid price : 22.24
Bid-YTW : 6.22 %
NA.PR.S FixedReset Disc -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 5.75 %
BAM.PR.M Perpetual-Discount -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.89 %
TD.PF.A FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 5.37 %
CM.PR.S FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 5.40 %
MFC.PR.I FixedReset Ins Non -2.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 7.01 %
BAM.PR.N Perpetual-Discount -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 5.86 %
NA.PR.C FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.99
Evaluated at bid price : 22.41
Bid-YTW : 5.65 %
MFC.PR.N FixedReset Ins Non -2.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.31
Bid-YTW : 7.86 %
CM.PR.O FixedReset Disc -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.51 %
BMO.PR.W FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 5.41 %
RY.PR.H FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 5.30 %
IAF.PR.I FixedReset Ins Non -2.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.83
Bid-YTW : 6.97 %
BMO.PR.T FixedReset Disc -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.41 %
MFC.PR.M FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.65
Bid-YTW : 7.73 %
BIP.PR.A FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.48 %
TD.PF.D FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.38 %
BAM.PF.D Perpetual-Discount -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 5.72 %
CM.PR.R FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.46
Evaluated at bid price : 23.12
Bid-YTW : 5.42 %
RY.PR.Z FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 5.24 %
BMO.PR.Y FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 5.30 %
TD.PF.I FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.31
Evaluated at bid price : 22.90
Bid-YTW : 5.18 %
BAM.PF.C Perpetual-Discount -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.78 %
TD.PF.E FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.41 %
TRP.PR.D FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 5.87 %
TRP.PR.A FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 15.83
Evaluated at bid price : 15.83
Bid-YTW : 5.92 %
BMO.PR.C FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.75
Evaluated at bid price : 23.61
Bid-YTW : 5.27 %
MFC.PR.L FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.91
Bid-YTW : 8.01 %
BAM.PF.B FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.86 %
BIP.PR.F FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.53
Evaluated at bid price : 21.85
Bid-YTW : 5.91 %
BMO.PR.S FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.39 %
TD.PF.K FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 5.21 %
MFC.PR.H FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 6.37 %
CU.PR.C FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.41 %
RY.PR.M FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.36 %
MFC.PR.G FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.40
Bid-YTW : 6.99 %
SLF.PR.B Deemed-Retractible -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 6.79 %
BAM.PF.E FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.89 %
BMO.PR.E FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.11
Evaluated at bid price : 22.70
Bid-YTW : 5.02 %
PWF.PR.S Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 5.70 %
BAM.PF.F FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.94 %
MFC.PR.J FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 6.77 %
TRP.PR.G FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.93 %
PWF.PR.L Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.11
Evaluated at bid price : 22.33
Bid-YTW : 5.75 %
MFC.PR.F FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.30
Bid-YTW : 9.31 %
RY.PR.S FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.65
Evaluated at bid price : 22.02
Bid-YTW : 4.93 %
SLF.PR.G FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 9.25 %
TRP.PR.C FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 13.66
Evaluated at bid price : 13.66
Bid-YTW : 5.92 %
CU.PR.E Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.02
Evaluated at bid price : 22.02
Bid-YTW : 5.58 %
BAM.PR.C Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 12.86
Evaluated at bid price : 12.86
Bid-YTW : 5.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset Disc 259,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.75
Evaluated at bid price : 23.61
Bid-YTW : 5.27 %
CM.PR.T FixedReset Disc 174,132 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 23.20
Evaluated at bid price : 25.16
Bid-YTW : 5.04 %
CM.PR.R FixedReset Disc 150,630 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 22.46
Evaluated at bid price : 23.12
Bid-YTW : 5.42 %
CU.PR.G Perpetual-Discount 114,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.65 %
NA.PR.C FixedReset Disc 85,080 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.99
Evaluated at bid price : 22.41
Bid-YTW : 5.65 %
CU.PR.C FixedReset Disc 77,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.41 %
There were 99 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Disc Quote: 21.71 – 22.43
Spot Rate : 0.7200
Average : 0.4428

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 5.25 %

IAF.PR.I FixedReset Ins Non Quote: 20.83 – 21.41
Spot Rate : 0.5800
Average : 0.3487

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.83
Bid-YTW : 6.97 %

BAM.PR.Z FixedReset Disc Quote: 20.89 – 21.40
Spot Rate : 0.5100
Average : 0.2978

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 5.76 %

PVS.PR.F SplitShare Quote: 25.10 – 25.59
Spot Rate : 0.4900
Average : 0.2799

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.93 %

BAM.PR.M Perpetual-Discount Quote: 20.50 – 21.25
Spot Rate : 0.7500
Average : 0.5405

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.89 %

BIP.PR.D FixedReset Disc Quote: 22.24 – 22.78
Spot Rate : 0.5400
Average : 0.3409

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-13
Maturity Price : 21.92
Evaluated at bid price : 22.24
Bid-YTW : 6.22 %

One Response to “February 13, 2019”

  1. BarleyandHops says:

    Fixed resets might not ratchet higher. The purge at some cost for the last two days. It was a good day to be on the buy side w/ a longer term perspective. (imho).

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