June 28, 2019

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TXPR closed at 606.31, up 0.98% on the day. Volume was 1.72-million, relatively light in the context of the past thirty days.

CPD closed at 12.10, up 0.83% on the day. Volume of 46,515 was quite low, but not record-setting, in the context of the past thirty days.

ZPR closed at 9.72, up 1.14% on the day. Volume of 111,451 was the third-lowest of the past thirty days, exceeding only June 25 and June 14.

Five-year Canada yields were up 2bp to 1.40% today.

There was a boat-load of MOC buy orders today, which certainly had an effect on the reported closing level; we’ll see how much of it sticks next week!

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 -1.0252 % 1,929.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0252 % 3,539.8
Floater 6.14 % 6.31 % 77,263 13.45 3 -1.0252 % 2,040.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0284 % 3,318.6
SplitShare 4.69 % 4.74 % 87,725 4.19 7 0.0284 % 3,963.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0284 % 3,092.2
Perpetual-Premium 5.61 % -11.45 % 70,206 0.09 7 -0.0112 % 2,954.4
Perpetual-Discount 5.50 % 5.62 % 60,476 14.46 26 0.1250 % 3,079.6
FixedReset Disc 5.46 % 5.24 % 162,222 14.88 70 1.1576 % 2,098.4
Deemed-Retractible 5.26 % 6.00 % 72,985 8.01 27 0.2982 % 3,089.7
FloatingReset 4.09 % 4.65 % 49,269 2.50 4 -0.4770 % 2,335.3
FixedReset Prem 5.11 % 3.74 % 185,659 1.82 16 0.3372 % 2,594.2
FixedReset Bank Non 1.97 % 3.85 % 132,637 2.51 3 0.3370 % 2,659.0
FixedReset Ins Non 5.32 % 7.51 % 91,036 8.11 22 0.8808 % 2,136.3
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 11.83
Evaluated at bid price : 11.83
Bid-YTW : 5.93 %
MFC.PR.L FixedReset Ins Non -1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.41
Bid-YTW : 8.55 %
SLF.PR.J FloatingReset -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.51
Bid-YTW : 10.33 %
TRP.PR.E FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 6.03 %
PWF.PR.S Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 5.62 %
SLF.PR.G FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.51
Bid-YTW : 9.79 %
HSE.PR.G FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.29 %
MFC.PR.O FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.98
Bid-YTW : 3.63 %
BMO.PR.C FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 22.20
Evaluated at bid price : 22.61
Bid-YTW : 5.17 %
BMO.PR.W FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 5.36 %
RY.PR.S FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 4.80 %
BMO.PR.E FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 5.16 %
RY.PR.Z FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.13 %
BMO.PR.Y FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.32 %
CM.PR.R FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 21.44
Evaluated at bid price : 21.78
Bid-YTW : 5.33 %
MFC.PR.C Deemed-Retractible 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.96
Bid-YTW : 6.71 %
TD.PF.J FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 5.13 %
BMO.PR.D FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 21.42
Evaluated at bid price : 21.76
Bid-YTW : 5.20 %
BAM.PF.B FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 6.00 %
SLF.PR.B Deemed-Retractible 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.18 %
MFC.PR.R FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.83
Bid-YTW : 5.72 %
BIP.PR.C FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 5.01 %
MFC.PR.M FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.74
Bid-YTW : 8.57 %
PWF.PR.T FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 5.33 %
TRP.PR.C FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 12.04
Evaluated at bid price : 12.04
Bid-YTW : 5.87 %
CU.PR.G Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 5.48 %
TD.PF.K FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 5.14 %
BAM.PF.F FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 6.18 %
BIP.PR.D FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 22.39
Evaluated at bid price : 22.87
Bid-YTW : 5.58 %
RY.PR.H FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.09 %
BAM.PF.E FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 6.14 %
TRP.PR.D FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 16.32
Evaluated at bid price : 16.32
Bid-YTW : 5.78 %
BAM.PF.G FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 6.14 %
BMO.PR.T FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 5.34 %
NA.PR.C FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 5.47 %
CM.PR.Q FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 5.40 %
IFC.PR.A FixedReset Ins Non 1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.90
Bid-YTW : 9.33 %
BAM.PR.Z FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 5.97 %
BNS.PR.I FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 4.84 %
CM.PR.S FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 5.12 %
SLF.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 : 19.35
Bid-YTW : 7.09 %
IAF.PR.G FixedReset Ins Non 2.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.64
Bid-YTW : 6.98 %
MFC.PR.H FixedReset Ins Non 2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.44
Bid-YTW : 6.93 %
TRP.PR.G FixedReset Disc 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.89 %
TD.PF.D FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 5.14 %
RY.PR.J FixedReset Disc 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 5.14 %
CM.PR.O FixedReset Disc 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.33 %
RY.PR.M FixedReset Disc 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 5.13 %
TD.PF.E FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 5.18 %
TRP.PR.B FixedReset Disc 2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 11.54
Evaluated at bid price : 11.54
Bid-YTW : 5.66 %
MFC.PR.I FixedReset Ins Non 2.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.23
Bid-YTW : 7.51 %
EMA.PR.F FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 5.81 %
HSE.PR.C FixedReset Disc 2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 6.05 %
CU.PR.C FixedReset Disc 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 5.10 %
BAM.PF.A FixedReset Disc 2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 5.90 %
BAM.PR.R FixedReset Disc 3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 14.97
Evaluated at bid price : 14.97
Bid-YTW : 5.99 %
BAM.PR.T FixedReset Disc 4.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 15.03
Evaluated at bid price : 15.03
Bid-YTW : 6.06 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.B FixedReset Disc 65,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 5.19 %
IFC.PR.E Deemed-Retractible 51,565 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.01 %
CM.PR.O FixedReset Disc 41,616 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.33 %
CU.PR.D Perpetual-Discount 36,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 22.24
Evaluated at bid price : 22.55
Bid-YTW : 5.48 %
TD.PF.J FixedReset Disc 31,825 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 5.13 %
MFC.PR.R FixedReset Ins Non 31,566 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.83
Bid-YTW : 5.72 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Disc Quote: 15.32 – 15.99
Spot Rate : 0.6700
Average : 0.4103

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 6.03 %

BIP.PR.A FixedReset Disc Quote: 18.91 – 19.64
Spot Rate : 0.7300
Average : 0.5044

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 6.50 %

HSE.PR.G FixedReset Disc Quote: 19.40 – 19.92
Spot Rate : 0.5200
Average : 0.3649

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.29 %

MFC.PR.G FixedReset Ins Non Quote: 18.88 – 19.59
Spot Rate : 0.7100
Average : 0.5552

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.88
Bid-YTW : 7.60 %

TD.PF.D FixedReset Disc Quote: 20.23 – 20.65
Spot Rate : 0.4200
Average : 0.2717

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-28
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 5.14 %

SLF.PR.H FixedReset Ins Non Quote: 15.94 – 16.50
Spot Rate : 0.5600
Average : 0.4131

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.94
Bid-YTW : 8.66 %

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