July 3, 2020

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TXPR closed at 531.65, down 0.54% on the day. Volume today was 738,545, the lowest of the past thirty days and far less than second-lowest June 30.

CPD closed at 10.67, up 0.19% on the day. Volume was 37,317, the lowest of the past 30 trading days and less than second-lowest June 30.

ZPR closed at 8.31, down 0.12% on the day. Volume of 539,852 was very high in the context of the past 30 trading days.

Five-year Canada yields were unchanged at 0.38% today.

Marc Jones notes in the Globe:

Canada’s main stock index gave back a small part of this week’s rally on Friday, as a record surge in COVID-19 cases in the United States raised fears of another round of lockdowns.

The United States reported more than 55,000 new COVID-19 cases on Thursday, a new daily global record for the pandemic.

The Toronto Stock Exchange’s S&P/TSX composite index closed down 0.2% at 15,596.75. With U.S. stock markets closed for a public holiday, trading volumes were lower than usual.

Coronavirus? Well, in Arizona:

As known virus cases reached above 91,000 statewide, [Governor] Mr. Ducey this week activated crisis protocols that could permit overwhelmed hospitals to deny care to patients whose age or health history make them poor candidates for recovery. When Vice President Mike Pence visited Phoenix on Wednesday, Mr. Ducey asked him to send another 500 medical workers to the state to help hospital teams depleted by exhaustion and illness.

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 -1.3845 % 1,432.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.3845 % 2,628.1
Floater 5.47 % 5.78 % 48,474 14.27 4 -1.3845 % 1,514.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0972 % 3,454.3
SplitShare 4.86 % 5.02 % 67,077 3.80 7 -0.0972 % 4,125.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0972 % 3,218.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3218 % 3,012.9
Perpetual-Discount 5.60 % 5.78 % 74,684 14.26 35 -0.3218 % 3,231.7
FixedReset Disc 6.17 % 5.11 % 145,345 15.07 83 -0.0456 % 1,841.7
Deemed-Retractible 5.33 % 5.58 % 90,017 14.37 27 -0.1994 % 3,212.0
FloatingReset 5.16 % 5.14 % 41,572 15.31 3 -0.9758 % 1,715.7
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.0456 % 2,547.0
FixedReset Bank Non 1.98 % 3.14 % 121,614 1.54 2 -0.2449 % 2,785.6
FixedReset Ins Non 6.48 % 5.21 % 108,582 14.71 22 0.3322 % 1,838.0
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -4.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 7.13
Evaluated at bid price : 7.13
Bid-YTW : 6.06 %
RY.PR.J FixedReset Disc -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 16.02
Evaluated at bid price : 16.02
Bid-YTW : 4.96 %
BAM.PF.E FixedReset Disc -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 6.12 %
CU.PR.E Perpetual-Discount -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 22.18
Evaluated at bid price : 22.60
Bid-YTW : 5.46 %
CU.PR.H Perpetual-Discount -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 23.72
Evaluated at bid price : 24.00
Bid-YTW : 5.52 %
CM.PR.Q FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 5.31 %
BMO.PR.C FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.05 %
BMO.PR.B FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 22.34
Evaluated at bid price : 22.70
Bid-YTW : 4.96 %
TRP.PR.E FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 12.56
Evaluated at bid price : 12.56
Bid-YTW : 5.95 %
SLF.PR.G FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 8.90
Evaluated at bid price : 8.90
Bid-YTW : 5.03 %
RY.PR.M FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 15.79
Evaluated at bid price : 15.79
Bid-YTW : 4.81 %
BAM.PR.X FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 9.61
Evaluated at bid price : 9.61
Bid-YTW : 5.86 %
SLF.PR.J FloatingReset -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 8.52
Evaluated at bid price : 8.52
Bid-YTW : 4.78 %
BAM.PF.D Perpetual-Discount -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 5.79 %
HSE.PR.E FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 9.37 %
BMO.PR.D FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.99 %
MFC.PR.F FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 8.99
Evaluated at bid price : 8.99
Bid-YTW : 5.05 %
CU.PR.G Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.32 %
BAM.PF.F FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 6.09 %
TRP.PR.H FloatingReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 7.30
Evaluated at bid price : 7.30
Bid-YTW : 5.14 %
CM.PR.R FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 5.14 %
HSE.PR.G FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 10.55
Evaluated at bid price : 10.55
Bid-YTW : 9.33 %
TRP.PR.D FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 5.91 %
CIU.PR.A Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.55 %
MFC.PR.I FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 5.28 %
IFC.PR.I Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 23.43
Evaluated at bid price : 23.75
Bid-YTW : 5.71 %
CM.PR.P FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 4.93 %
TD.PF.C FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 4.79 %
TRP.PR.C FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 8.58
Evaluated at bid price : 8.58
Bid-YTW : 5.59 %
NA.PR.A FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 23.88
Evaluated at bid price : 24.34
Bid-YTW : 5.15 %
NA.PR.E FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.78 %
BMO.PR.E FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.84 %
NA.PR.S FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 15.49
Evaluated at bid price : 15.49
Bid-YTW : 4.88 %
NA.PR.G FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.83 %
NA.PR.C FixedReset Disc 2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 4.91 %
TD.PF.J FixedReset Disc 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 4.73 %
TD.PF.D FixedReset Disc 4.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.86 %
MFC.PR.Q FixedReset Ins Non 10.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 5.10 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.G Perpetual-Discount 23,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.32 %
CU.PR.H Perpetual-Discount 20,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 23.72
Evaluated at bid price : 24.00
Bid-YTW : 5.52 %
IFC.PR.G FixedReset Ins Non 20,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 5.30 %
BNS.PR.G FixedReset Disc 19,095 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 23.98
Evaluated at bid price : 25.22
Bid-YTW : 5.09 %
NA.PR.X FixedReset Disc 18,357 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 24.00
Evaluated at bid price : 24.51
Bid-YTW : 5.35 %
POW.PR.C Perpetual-Discount 13,130 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 6.01 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.H Perpetual-Discount Quote: 24.00 – 25.25
Spot Rate : 1.2500
Average : 0.7491

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 23.72
Evaluated at bid price : 24.00
Bid-YTW : 5.52 %

CU.PR.E Perpetual-Discount Quote: 22.60 – 23.64
Spot Rate : 1.0400
Average : 0.6142

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 22.18
Evaluated at bid price : 22.60
Bid-YTW : 5.46 %

IFC.PR.I Perpetual-Discount Quote: 23.75 – 24.50
Spot Rate : 0.7500
Average : 0.4452

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 23.43
Evaluated at bid price : 23.75
Bid-YTW : 5.71 %

RY.PR.E Deemed-Retractible Quote: 25.28 – 26.00
Spot Rate : 0.7200
Average : 0.4205

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-02
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : -3.08 %

BAM.PF.E FixedReset Disc Quote: 12.81 – 13.49
Spot Rate : 0.6800
Average : 0.4539

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-03
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 6.12 %

EIT.PR.B SplitShare Quote: 25.00 – 26.00
Spot Rate : 1.0000
Average : 0.7862

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.88 %

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