February 25, 2020

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Attack of the corona virus … Day 2:

A day after its worst one-day slide in two years, the S&P 500 closed down 3 percent on Tuesday, a decline that put the index deeper in the red for 2020.

Investors moved into the safety of government bonds, pushing their prices up and yields down. The yield on the 10-year Treasury note closed at a record low of 1.335 percent and the 30-year bond also dropped to a record of 1.81 percent — two signals that investors expect growth in the United States to slow.

In comments on Tuesday, [Federal Reserve] Vice Chairman Richard H. Clarida signaled that Fed was not yet ready to act, though it is monitoring economic developments related to the virus.

But in recent days, the market-based probability — derived from prices in the Fed funds futures market — of a rate cut at the Fed’s April meeting jumped to over 60 percent, according to data from CME. Last Wednesday, when markets were at record highs, the market was putting odds of a cut at the April meeting at less than 25 percent.

TXPR closed at 607.70, down 0.70% on the day. Volume was 1.83-million, about average in the context of the past thirty days.

CPD closed at 12.13, down 0.82% on the day. Volume of 109,537 was the fourth-highest of the past 30 days.

ZPR closed at 9.72, down 1.32% on the day. Volume of 301,864 was fifth-highest of the past 30 days.

Five-year Canada yields were unchanged at 1.22% today.

So … players are still using preferred shares to speculate on interest rates. Damned if I understand it.

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 -1.2947 % 1,990.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2947 % 3,651.8
Floater 6.15 % 6.40 % 52,791 13.25 4 -1.2947 % 2,104.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2215 % 3,483.4
SplitShare 4.78 % 4.28 % 45,919 4.12 6 -0.2215 % 4,159.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2215 % 3,245.7
Perpetual-Premium 5.55 % 1.13 % 59,905 0.09 12 -0.0460 % 3,067.5
Perpetual-Discount 5.19 % 5.27 % 67,777 15.01 24 -0.1166 % 3,368.0
FixedReset Disc 5.63 % 5.40 % 173,953 14.72 64 -1.4369 % 2,128.1
Deemed-Retractible 5.11 % 5.22 % 74,848 14.85 27 -0.2404 % 3,275.3
FloatingReset 6.23 % 6.22 % 59,543 13.57 3 -2.1436 % 2,432.9
FixedReset Prem 5.08 % 3.62 % 128,758 1.41 22 -0.0053 % 2,660.3
FixedReset Bank Non 1.93 % 3.45 % 88,314 1.88 3 0.1088 % 2,750.2
FixedReset Ins Non 5.50 % 5.36 % 104,988 14.79 22 -1.8015 % 2,150.7
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -4.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 5.88 %
TRP.PR.F FloatingReset -4.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 6.67 %
HSE.PR.E FixedReset Disc -4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.79 %
BAM.PF.E FixedReset Disc -4.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 15.89
Evaluated at bid price : 15.89
Bid-YTW : 6.04 %
TRP.PR.E FixedReset Disc -3.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 5.78 %
TRP.PR.C FixedReset Disc -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 11.47
Evaluated at bid price : 11.47
Bid-YTW : 6.03 %
HSE.PR.A FixedReset Disc -3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 6.90 %
TRP.PR.D FixedReset Disc -3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.81 %
TRP.PR.A FixedReset Disc -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 5.78 %
SLF.PR.H FixedReset Ins Non -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 5.41 %
IFC.PR.C FixedReset Ins Non -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.64 %
TD.PF.D FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 5.37 %
BAM.PR.C Floater -2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 6.52 %
IFC.PR.G FixedReset Ins Non -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 5.49 %
CM.PR.Q FixedReset Disc -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 5.57 %
HSE.PR.G FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.60 %
MFC.PR.I FixedReset Ins Non -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 5.50 %
CU.PR.C FixedReset Disc -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.44 %
MFC.PR.H FixedReset Ins Non -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.40 %
MFC.PR.M FixedReset Ins Non -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 5.28 %
RY.PR.M FixedReset Disc -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.33 %
TRP.PR.G FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.78 %
MFC.PR.F FixedReset Ins Non -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 12.06
Evaluated at bid price : 12.06
Bid-YTW : 5.40 %
BMO.PR.Y FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 5.40 %
MFC.PR.N FixedReset Ins Non -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 5.36 %
MFC.PR.R FixedReset Ins Non -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 23.43
Evaluated at bid price : 23.75
Bid-YTW : 5.29 %
PWF.PR.P FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 12.84
Evaluated at bid price : 12.84
Bid-YTW : 5.50 %
SLF.PR.G FixedReset Ins Non -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 5.33 %
MFC.PR.K FixedReset Ins Non -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.28
Evaluated at bid price : 17.28
Bid-YTW : 5.27 %
RY.PR.H FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.16 %
IFC.PR.A FixedReset Ins Non -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 13.71
Evaluated at bid price : 13.71
Bid-YTW : 5.60 %
RY.PR.J FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.35 %
MFC.PR.G FixedReset Ins Non -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.49 %
BMO.PR.W FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 5.28 %
MFC.PR.L FixedReset Ins Non -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 5.43 %
BAM.PR.R FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 14.88
Evaluated at bid price : 14.88
Bid-YTW : 5.95 %
BAM.PF.F FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 5.96 %
BAM.PR.X FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 12.64
Evaluated at bid price : 12.64
Bid-YTW : 5.99 %
MFC.PR.J FixedReset Ins Non -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.30 %
TD.PF.K FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 5.22 %
RY.PR.S FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 4.98 %
CM.PR.O FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.50 %
BAM.PR.T FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.98 %
HSE.PR.C FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 6.64 %
BIP.PR.A FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.06 %
RY.PR.Z FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.14 %
TD.PF.E FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 5.36 %
CM.PR.R FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.42 %
BAM.PF.G FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.92 %
TD.PF.A FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 5.25 %
NA.PR.C FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 5.45 %
SLF.PR.I FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 5.43 %
BAM.PR.K Floater -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 10.92
Evaluated at bid price : 10.92
Bid-YTW : 6.44 %
SLF.PR.J FloatingReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 6.09 %
IAF.PR.G FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 5.44 %
CM.PR.P FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 5.49 %
TD.PF.J FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.21 %
PWF.PR.T FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 5.30 %
EMA.PR.C FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.67 %
BMO.PR.C FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 5.22 %
BMO.PR.S FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 5.27 %
PWF.PR.A Floater -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 5.69 %
POW.PR.D Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 5.34 %
MFC.PR.Q FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 5.21 %
BIP.PR.B FixedReset Prem 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 3.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset Prem 41,047 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.59
Bid-YTW : 3.62 %
TD.PF.D FixedReset Disc 31,592 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 5.37 %
TD.PF.M FixedReset Disc 30,999 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 23.01
Evaluated at bid price : 24.45
Bid-YTW : 4.93 %
BAM.PR.B Floater 26,856 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 6.40 %
IFC.PR.I Perpetual-Premium 26,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 5.37 %
BAM.PR.C Floater 25,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 6.52 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Disc Quote: 15.89 – 16.43
Spot Rate : 0.5400
Average : 0.3222

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 15.89
Evaluated at bid price : 15.89
Bid-YTW : 6.04 %

TD.PF.D FixedReset Disc Quote: 18.86 – 19.33
Spot Rate : 0.4700
Average : 0.2937

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 5.37 %

MFC.PR.R FixedReset Ins Non Quote: 23.75 – 24.19
Spot Rate : 0.4400
Average : 0.2786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 23.43
Evaluated at bid price : 23.75
Bid-YTW : 5.29 %

MFC.PR.H FixedReset Ins Non Quote: 20.18 – 20.64
Spot Rate : 0.4600
Average : 0.3293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.40 %

CU.PR.F Perpetual-Discount Quote: 22.00 – 22.33
Spot Rate : 0.3300
Average : 0.2194

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 22.00
Evaluated at bid price : 22.00
Bid-YTW : 5.14 %

TD.PF.K FixedReset Disc Quote: 19.39 – 19.77
Spot Rate : 0.3800
Average : 0.2717

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 5.22 %

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