March 13, 2020

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The markets were highly relieved today to learn that coronavirus is no longer considered a Democrat/Media plot:

The stock market roared back to life on Friday, with the S&P surging 9.3 percent after President Trump said the government would speed up coronavirus testing for Americans. In doing so, he delivered investors exactly the message they had been waiting to hear — a half-hour before the market closed.

Just one day after tumbling 9.5 percent in what was its worst day in more than 30 years, the S&P 500 stock index rose by roughly the same amount. The market was up throughout the day, then dipped when the president started speaking, only to change direction once he began discussing the administration’s efforts to speed testing. Millions of virus testing kits would become available, he said — though he added that he did not think so many would be needed.

For investors starved for reassuring news, those promises were enough to ignite a rally that sent the S&P 500 to its best one-day performance since 2008.

This had an effect:

Canada’s main stock market notched on Friday its biggest gain since October 2008, as Canada ramped up stimulus to ease the economic impact of the coronavirus outbreak, while the Canadian dollar edged higher after hitting an earlier four-year low.

The Bank of Canada unexpectedly cut its overnight rate by 50 basis points to 0.75%, its second half-point cut in nine days, and the government said it would offer $10-billion in credit support to businesses.

The Toronto Stock Exchange Composite Index, was up 8% at 13,520.53, recovering some ground after a record decline on Thursday. For the week, the index was on track to fall about 15%, its biggest drop in Refinitiv Eikon data going back to July 1979.

Nine of the TSX’s 10 main groups were higher, led by a 10.1% gain for the heavily-weighted financial services sector, while energy was up 5.6%.

The price of oil, one of Canada’s major exports, had its biggest weekly slide since the 2008 financial crisis despite settling 0.7% higher on Friday, as the coronavirus outbreak threatened demand and crude producers promised more supply.

The Canadian dollar was trading 0.1% higher at 1.3912 to the greenback, or 71.88 U.S. cents, having touched its weakest intraday level since February 2016 at 1.3996.

Canadian government bond yields rose across a steeper yield curve, with the 10-year yield up 16.1 basis points at 0.754%. On Monday, the 10-year yield hit a record low at 0.233%.

In New York, the Dow Jones industrial average was up 1,985.00 points at 23,185.62. The S&P 500 index was up 230.38 points at 2,711.02, while the Nasdaq composite was up 673.07 points at 7,874.88.

U.S. 10-year Treasury yields jumped back over the 1% level on Friday after President Donald Trump declared a national emergency over the spreading coronavirus, a move that sent stocks soaring.

The 10-year note yield, which was at 0.934% before the president’s Rose Garden address, rose to 1.019%, up from 0.852% at Thursday’s close.

Credit support to businesses?

Finance Minister Bill Morneau announced that $10-billion of immediate credit will be available to Canadian businesses impacted by the coronavirus through Ottawa’s Business Development Bank and Export Development Canada

He also promised to unveil a “significant stimulus package” next week, well before the March 30 federal budget.

TXPR closed at 473.71, down 0.91% on the day. Volume today was 4.92-million, third-highest of the past thirty days, behind March 9 and March 10.

CPD closed at 9.45, down 0.63% on the day. Volume of 653,463 was the highest of the past thirty days, well ahead of second-place March 9.

ZPR closed at 7.32, up 0.55% on the day. Volume of 1,384,125 was only the fourth-highest of the past week.

Five-year Canada yields were up 20bp to 0.67% today. Which sounds like an odd reaction to a Bank of Canada rate cut, but things have become so distorted in the past three weeks that unsnarling the mess will be a puzzle in itself.

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< br>Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.0
0
0 0.4627 % 1,460.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4627 % 2,679.8
Floater 7.41 % 7.43 % 56,030 12.06 4 0.4627 % 1,544.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.9327 % 3,359.7
SplitShare 4.94 % 5.49 % 66,404 4.04 7 0.9327 % 4,012.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.9327 % 3,130.5
Perpetu
al-Premium
6.28 % 6.42 % 89,931 13.22 12 -0.3958 % 2,714.5
Perpetual-Discount 6.06 % 6
.05 %
76,054 13.77 24 -1.1134 % 2,889.8
FixedReset Disc 7.71 % 6.35 % 206,984 12.92 64 -1.8543 % 1,560.6
Deemed-Retractible 5.95 % 6.39 % 86,545 13.40 27 -1.8946 % 2,842.0
FloatingReset 6.32 % 6.17 % 68,306 13.59 3 -1.9252 % 1,659.6
FixedReset Prem 6.09 % 5.96 % 169,081 13.87 22 -0.6358 % 2,227.4
FixedReset Bank Non 2.16 % 10.48 % 106,180 1.80 3 2.3444 % 2,461.9
FixedReset Ins Non 7.71 % 6.67 % 112,472 12.78 22 -3.1876 % 1,541.9
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -14.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 7.07
Evaluated at bid price : 7.07
Bid-YTW : 7.57 %
NA.PR.G FixedReset Disc -12.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 12.38
Evaluated at bid price : 12.38
Bid-YTW : 7.68 %
HSE.PR.G FixedReset Disc -8.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 9.35
Evaluated at bid price : 9.35
Bid-YTW : 11.33 %
PWF.PR.P FixedReset Disc -7.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 6.61 %
IFC.PR.G FixedReset Ins Non -7.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 6.43 %
TRP.PR.F FloatingReset -7.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 8.98
Evaluated at bid price : 8.98
Bid-YTW : 7.01 %
BAM.PR.R FixedReset Disc -6.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 10.79
Evaluated at bid price : 10.79
Bid-YTW : 6.66 %
MFC.PR.I FixedReset Ins Non -6.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 12.59
Evaluated at bid price : 12.59
Bid-YTW : 7.14 %
EMA.PR.H FixedReset Prem -6.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 5.79 %
BIP.PR.B FixedReset Prem -6.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.27 %
MFC.PR.N FixedReset Ins Non -6.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 6.30 %
BIP.PR.C FixedReset Prem -6.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 7.21 %
PWF.PR.S Perpetual-Discount -6.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.51 %
GWO.PR.R Deemed-Retractible -5.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.39 %
BAM.PF.G FixedReset Disc -5.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 13.36
Evaluated at bid price : 13.36
Bid-YTW : 6.37 %
CU.PR.E Perpetual-Discount -5.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.19 %
TRP.PR.E FixedReset Disc -5.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 10.96
Evaluated at bid price : 10.96
Bid-YTW : 7.37 %
CM.PR.Q FixedReset Disc -5.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 6.88 %
MFC.PR.L FixedReset Ins Non -5.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 10.95
Evaluated at bid price : 10.95
Bid-YTW : 6.91 %
CU.PR.C FixedReset Disc -4.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 13.79
Evaluated at bid price : 13.79
Bid-YTW : 5.50 %
SLF.PR.E Deemed-Retractible -4.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.40 %
BAM.PF.E FixedReset Disc -4.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 12.64
Evaluated at bid price : 12.64
Bid-YTW : 6.16 %
SLF.PR.B Deemed-Retractible -4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.30 %
MFC.PR.M FixedReset Ins Non -4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 11.78
Evaluated at bid price : 11.78
Bid-YTW : 6.79 %
EMA.PR.C FixedReset Disc -4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 6.07 %
BIP.PR.D FixedReset Disc -4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 7.14 %
POW.PR.D Perpetual-Discount -4.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.37 %
GWO.PR.S Deemed-Retractible -3.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.44 %
CM.PR.S FixedReset Disc -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 6.34 %
MFC.PR.H FixedReset Ins Non -3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 13.52
Evaluated at bid price : 13.52
Bid-YTW : 7.01 %
SLF.PR.D Deemed-Retractible -3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.31 %
BAM.PF.B FixedReset Disc -3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 13.52
Evaluated at bid price : 13.52
Bid-YTW : 6.49 %
PWF.PR.F Perpetual-Discount -3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 6.58 %
IAF.PR.I FixedReset Ins Non -3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 13.34
Evaluated at bid price : 13.34
Bid-YTW : 6.76 %
MFC.PR.C Deemed-Retractible -3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 6.30 %
PWF.PR.L Perpetual-Discount -3.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 19.68
Evaluated at bid price : 19.68
Bid-YTW : 6.59 %
TD.PF.E FixedReset Disc -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 5.99 %
MFC.PR.O FixedReset Ins Non -3.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.55 %
MFC.PR.J FixedReset Ins Non -3.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 6.66 %
SLF.PR.I FixedReset Ins Non -3.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 6.54 %
MFC.PR.K FixedReset Ins Non -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 6.70 %
PVS.PR.G SplitShare -3.21 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 5.67 %
POW.PR.G Perpetual-Premium -3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.61
Evaluated at bid price : 21.61
Bid-YTW : 6.61 %
GWO.PR.H Deemed-Retractible -3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 6.36 %
CCS.PR.C Deemed-Retractible -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.05 %
MFC.PR.Q FixedReset Ins Non -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 12.97
Evaluated at bid price : 12.97
Bid-YTW : 6.67 %
GWO.PR.L Deemed-Retractible -3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.91
Evaluated at bid price : 22.15
Bid-YTW : 6.39 %
MFC.PR.G FixedReset Ins Non -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 6.77 %
PWF.PR.K Perpetual-Discount -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 6.52 %
POW.PR.B Perpetual-Discount -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 6.69 %
BMO.PR.E FixedReset Disc -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 14.27
Evaluated at bid price : 14.27
Bid-YTW : 6.39 %
BNS.PR.I FixedReset Disc -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.90 %
TD.PF.H FixedReset Prem -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.82 %
RY.PR.Q FixedReset Prem -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.37
Evaluated at bid price : 21.67
Bid-YTW : 5.94 %
GWO.PR.M Deemed-Retractible -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.43 %
IFC.PR.E Deemed-Retractible -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.18 %
BAM.PF.F FixedReset Disc -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 6.42 %
GWO.PR.Q Deemed-Retractible -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.42 %
BMO.PR.W FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 6.31 %
SLF.PR.C Deemed-Retractible -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 6.30 %
GWO.PR.I Deemed-Retractible -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 6.34 %
IFC.PR.F Deemed-Retractible -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 6.29 %
TD.PF.K FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 14.46
Evaluated at bid price : 14.46
Bid-YTW : 6.16 %
NA.PR.X FixedReset Prem -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 6.36 %
PWF.PR.T FixedReset Disc -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 12.22
Evaluated at bid price : 12.22
Bid-YTW : 6.77 %
EML.PR.A FixedReset Ins Non -2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.47
Bid-YTW : 7.83 %
CU.PR.F Perpetual-Discount -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.75 %
TD.PF.I FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 15.42
Evaluated at bid price : 15.42
Bid-YTW : 6.12 %
CU.PR.I FixedReset Prem -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 22.25
Evaluated at bid price : 23.01
Bid-YTW : 4.88 %
TRP.PR.D FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 6.89 %
RY.PR.N Perpetual-Discount -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.76 %
IFC.PR.C FixedReset Ins Non -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 6.24 %
RY.PR.S FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 5.79 %
TD.PF.A FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 6.31 %
EMA.PR.F FixedReset Disc -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 5.91 %
BAM.PF.A FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 6.37 %
RY.PR.J FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 5.65 %
CM.PR.O FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 11.78
Evaluated at bid price : 11.78
Bid-YTW : 6.74 %
GWO.PR.P Deemed-Retractible -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.42 %
IFC.PR.A FixedReset Ins Non -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 10.04
Evaluated at bid price : 10.04
Bid-YTW : 6.15 %
BIP.PR.F FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 7.04 %
TD.PF.L FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 6.03 %
PWF.PR.R Perpetual-Premium -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.58 %
IAF.PR.G FixedReset Ins Non -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 12.83
Evaluated at bid price : 12.83
Bid-YTW : 6.76 %
IFC.PR.I Perpetual-Premium -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.72
Evaluated at bid price : 22.01
Bid-YTW : 6.19 %
GWO.PR.T Deemed-Retractible -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 6.38 %
RY.PR.M FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 14.06
Evaluated at bid price : 14.06
Bid-YTW : 5.72 %
BMO.PR.D FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 16.13
Evaluated at bid price : 16.13
Bid-YTW : 5.99 %
BIP.PR.E FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.94 %
CU.PR.D Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.85 %
TD.PF.J FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 6.13 %
MFC.PR.R FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 6.75 %
BNS.PR.E FixedReset Prem -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 6.04 %
CU.PR.G Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.73 %
TD.PF.B FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 6.24 %
GWO.PR.G Deemed-Retractible -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.51 %
IAF.PR.B Deemed-Retractible -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.77 %
GWO.PR.N FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 9.25
Evaluated at bid price : 9.25
Bid-YTW : 5.05 %
W.PR.K FixedReset Prem -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.22 %
BAM.PF.J FixedReset Prem 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 5.46 %
EIT.PR.A SplitShare 1.34 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.82 %
BMO.PR.Y FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.99 %
TRP.PR.G FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 6.81 %
NA.PR.W FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 6.63 %
BAM.PF.I FixedReset Prem 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 5.45 %
TD.PF.G FixedReset Prem 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.81
Evaluated at bid price : 22.30
Bid-YTW : 5.93 %
BAM.PR.B Floater 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 7.43 %
BAM.PF.D Perpetual-Discount 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.53 %
RY.PR.H FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.02 %
BNS.PR.H FixedReset Prem 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.74 %
TRP.PR.K FixedReset Prem 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 20.29
Evaluated at bid price : 20.29
Bid-YTW : 6.10 %
PWF.PR.Q FloatingReset 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 6.17 %
TRP.PR.J FixedReset Prem 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.50
Evaluated at bid price : 21.85
Bid-YTW : 6.34 %
BMO.PR.B FixedReset Prem 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.90 %
W.PR.M FixedReset Prem 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.16 %
GWO.PR.F Deemed-Retractible 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 22.72
Evaluated at bid price : 23.01
Bid-YTW : 6.42 %
CM.PR.Y FixedReset Disc 3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.35 %
BIK.PR.A FixedReset Prem 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 22.03
Evaluated at bid price : 22.50
Bid-YTW : 6.50 %
RY.PR.P Perpetual-Premium 3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 22.52
Evaluated at bid price : 22.85
Bid-YTW : 5.79 %
TD.PF.F Perpetual-Discount 3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.84 %
RY.PR.W Perpetual-Discount 4.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.61 %
HSE.PR.A FixedReset Disc 4.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 6.27
Evaluated at bid price : 6.27
Bid-YTW : 9.43 %
TRP.PR.B FixedReset Disc 4.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 7.85
Evaluated at bid price : 7.85
Bid-YTW : 5.85 %
BNS.PR.Z FixedReset Bank Non 7.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.52
Bid-YTW : 10.48 %
PVS.PR.H SplitShare 7.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 5.26 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 90,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 6.31 %
BMO.PR.S FixedReset Disc 78,590 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 6.34 %
BAM.PR.R FixedReset Disc 75,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 10.79
Evaluated at bid price : 10.79
Bid-YTW : 6.66 %
RY.PR.Z FixedReset Disc 73,867 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 6.04 %
TD.PF.I FixedReset Disc 71,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 15.42
Evaluated at bid price : 15.42
Bid-YTW : 6.12 %
TD.PF.J FixedReset Disc 67,705 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 6.13 %
There were 117 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.S Perpetual-Discount Quote: 18.75 – 22.76
Spot Rate : 4.0100
Average : 2.2997


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.51 %
NA.PR.A FixedReset Prem Quote: 21.00 – 24.50
Spot Rate : 3.5000
Average : 1.9650


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.31 %
BAM.PF.B FixedReset Disc Quote: 13.52 – 16.50
Spot Rate : 2.9800
Average : 1.8339


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 13.52
Evaluated at bid price : 13.52
Bid-YTW : 6.49 %
PWF.PR.Q FloatingReset Quote: 9.00 – 12.00
Spot Rate : 3.0000
Average : 1.9286


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 6.17 %
BNS.PR.Z FixedReset Bank Non Quote: 21.52 – 24.00
Spot Rate : 2.4800
Average : 1.4548


YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.52
Bid-YTW : 10.48 %
PWF.PR.P FixedReset Disc Quote: 8.30 – 10.80
Spot Rate : 2.5000
Average : 1.5092


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-03-13
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 6.61 %

8 Responses to “March 13, 2020”

  1. skeptical says:

    “If the funding markets for banks get a little choppy — they’ve been a little choppy, but they could get tighter — then we’re in a position to help them with that,” Mr. Poloz said. As an example, he said, the central bank could start accepting parts of their mortgage book as collateral. “This was a capability we didn’t have back in 2008.”

    https://www.theglobeandmail.com/business/article-boc-cuts-rates-banking-regulator-loosens-buffers-to-free-up-30/

    James/others- when did this change Mr. Poloz is referring to come in effect?

  2. skeptical says:

    From the same article above:

    On a positive note for the banking industry, Mr. Poloz said that he was unlikely to resort to negative interest rates.

    Is that a thin thread on which hopes and aspiration of so many preferred shareholders rest?

    And as they say, nothing is totally confirmed until officially denied.

  3. jiHymas says:

    James/others- when did this change Mr. Poloz is referring to come in effect?

    Not sure, but here’s the start of a trail …

    The BoC’s Emergency Lending Assistance programme states:

    Because there are additional challenges inherent in accepting mortgages, the Bank expects FIs to consider preparing alternative forms of collateral to ensure that ELA can be readily accessed if needed. The Bank therefore generally expects to take mortgages as a last resort to maintain financial stability.

    This page refers to a 2010 paper titled The Bank of Canada as Lender of
    Last Resort
    , which states:

    For example, the Bank may provide loans against the security of the Canadian-dollar non-mortgage loan portfolio of the institution, which can make up a significant portion of the institution’s assets.[note]

    [note reads] Under the law, mortgages are considered to be a conveyance of “real property,” which the Bank cannot take as collateral. In cases where the primary assets available to an institution to secure Bank lending are mortgages, the security interest would have to be structured as an assignment of the mortgage receivables only, and not as an assignment of the mortgages themselves.

    Section 18 of the Bank of Canada Act states:

    The Bank may … make loans or advances for periods of not more than six months to any member of the Canadian Payments Association on taking

    (i) security in any property, including in any real property or immovable situated in Canada, or

    (ii) an assignment or transfer of the member’s right, title or interest in any real property or immovable situated in Canada, including any mortgage or hypothec on that real property or immovable;

    Section 18 was amended, according to the marked up version on

    R.S., 1985, c. B-2, s. 181992, c. 1, s. 1421997, c. 15, s. 981999, c. 28, s. 952001, c. 4, s. 58, c. 9, s. 1942004, c. 25, s. 6(E)2008, c. 28, s. 146 2014, c. 20, s. 108 2016, c. 12, s. 123 2017, c. 33, s. 185 2018, c. 12, s. 220

    You’ll have to ask a high-priced lawyer how much difference it makes, but clicking back on “Previous Version” twice brings you to the version in effect from 2016-12-15 to 2017-12-13 in which the relevant section read:

    The Bank may … make loans or advances for periods not exceeding six months to members of the Canadian Payments Association on taking security in any property that the institution to which the loan or advance is made is authorized to hold;

    .. which is unchanged from the 2008-08-05 to 2014-06-18 version.

  4. skeptical says:

    Awesome. Thanks so much for digging these up James.

  5. prefQC says:

    Hi James,
    Am I correct in presuming that the BoC would initiate such emergency lending to a bank before there is a significant risk that its preferred shares would be converted to common shares via the NVCC conversion mechanism?

  6. skeptical says:

    As far as I know, the NVCC conversion gets kicked in when there’s a ‘credit event’ at bank. The most recent such event happened in India last week when a major bank called Yes Bank blew up. They wiped out the AT1 bonds for some reason but kept common equity. Perhaps some internal scheming going on there.
    Here, things are so far much happier. I think the BoC operations are routine to provide liquidity to banks and improve lending to the masses (or the chosen ones. We’ll never know without a specific request)
    All our banks so far, knock on wood, have been making profits. Their market caps have fallen, but who has been spared.
    I think we’ll hear a lot and lot before any bank becomes ‘non-viable’.
    I think for the Big5/6, it’s not happening without causing a panic everywhere and an outright run. And it will have all sorts of CDIC issues and the unhappy talks.
    Remember HCG from 2017? Even that didn’t fail.
    This is my limited understanding.

  7. jiHymas says:

    In theory – and I must stress that this is the theory of how things should work – the Central Banks are supposed to supply liquidity to stressed but still solvent financial institutions only.

    In other words, say a bank has a lot of investments in long-term mortgages, but they experience a bank run. They have a lot of value but they lack cash. In such a case the Central Bank should stand by to lend them the needed cash, collateralized by perfectly good mortgages, at a penalty rate. The bank is solvent, but it is illiquid.

    On the other hand, if the mortgages are no good – abandoned commercial ventures, radioactive residential housing and so on – then the mortgages have little or no value and the bank is insolvent. In such a case, the Central Bank should not lend them so much as a dime and let bankruptcy take its course.

    In other words, central bank emergency lending and the NVCC rules address two separate things. In theory. In practice, of course, there are will always be disputes about how much those mortgages are really worth and it becomes more art than science … especially since such things tend to happen at times of maximum uncertainty, stress and political posturing.

  8. prefQC says:

    Thanks for the clarifications!

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