September 30, 2020

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TXPR closed at 582.42, up 1.42% on the day. Volume today was 3.48-million, highest of the past thirty days and well ahead of second-place September 9.

CPD closed at 11.58, up 1.14% on the day. Volume was 74,620, well above the median of the past 30 trading days.

ZPR closed at 9.12, up 1.56% on the day. Volume of 155,437 was well below the median of the past 30 trading days.

Five-year Canada yields were up 1bp to 0.35% today.

PerpetualDiscounts now yield 5.24%, equivalent to 6.81% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.86%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 395bp from the 405bp reported September 23.

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 0.0000 % 1,634.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,998.3
Floater 5.21 % 5.21 % 53,678 15.13 3 0.0000 % 1,727.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0514 % 3,502.7
SplitShare 4.85 % 4.80 % 52,527 3.61 7 0.0514 % 4,182.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0514 % 3,263.7
Perpetual-Premium 5.31 % 4.25 % 77,382 3.52 17 0.3244 % 3,154.5
Perpetual-Discount 5.21 % 5.24 % 94,438 14.96 17 0.2448 % 3,532.7
FixedReset Disc 5.51 % 4.25 % 119,803 16.35 68 1.3536 % 2,081.4
Deemed-Retractible 5.02 % 4.90 % 121,274 15.20 27 0.2386 % 3,457.5
FloatingReset 2.86 % 2.13 % 49,756 1.31 3 0.6328 % 1,795.3
FixedReset Prem 5.23 % 4.19 % 282,098 0.79 11 0.3121 % 2,629.0
FixedReset Bank Non 1.95 % 2.25 % 138,142 1.31 2 -0.0201 % 2,844.0
FixedReset Ins Non 5.67 % 4.39 % 82,273 16.20 22 1.5754 % 2,130.2
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 5.91 %
EML.PR.A FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.89 %
MFC.PR.I FixedReset Ins Non 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.38 %
IFC.PR.C FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 4.66 %
W.PR.M FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 24.55
Evaluated at bid price : 24.90
Bid-YTW : 5.22 %
NA.PR.C FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 23.33
Evaluated at bid price : 23.65
Bid-YTW : 4.10 %
TD.PF.A FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.06 %
IFC.PR.G FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.49 %
TD.PF.B FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 4.10 %
NA.PR.G FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.35 %
BMO.PR.Y FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.13 %
BMO.PR.F FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 23.35
Evaluated at bid price : 25.20
Bid-YTW : 3.97 %
NA.PR.S FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 4.35 %
MFC.PR.N FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 4.39 %
BIP.PR.C FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 22.98
Evaluated at bid price : 23.54
Bid-YTW : 5.69 %
CM.PR.T FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 22.81
Evaluated at bid price : 23.80
Bid-YTW : 4.08 %
GWO.PR.N FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 4.07 %
NA.PR.E FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 18.87
Evaluated at bid price : 18.87
Bid-YTW : 4.25 %
MFC.PR.H FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 4.42 %
BAM.PF.B FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 15.57
Evaluated at bid price : 15.57
Bid-YTW : 5.32 %
BAM.PF.G FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 5.31 %
BAM.PF.I FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 23.74
Evaluated at bid price : 24.14
Bid-YTW : 4.98 %
PWF.PR.T FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 4.58 %
BAM.PR.R FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 12.59
Evaluated at bid price : 12.59
Bid-YTW : 5.32 %
TD.PF.L FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 22.90
Evaluated at bid price : 24.00
Bid-YTW : 4.06 %
BAM.PF.J FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 23.06
Evaluated at bid price : 23.91
Bid-YTW : 4.94 %
TRP.PR.A FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 11.87
Evaluated at bid price : 11.87
Bid-YTW : 5.48 %
SLF.PR.G FixedReset Ins Non 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 10.24
Evaluated at bid price : 10.24
Bid-YTW : 4.36 %
BAM.PF.H FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 23.98
Evaluated at bid price : 24.80
Bid-YTW : 5.02 %
BAM.PF.E FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.31 %
TRP.PR.E FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 13.59
Evaluated at bid price : 13.59
Bid-YTW : 5.42 %
MFC.PR.Q FixedReset Ins Non 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.32 %
SLF.PR.J FloatingReset 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 9.52
Evaluated at bid price : 9.52
Bid-YTW : 4.07 %
BAM.PF.F FixedReset Disc 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 5.29 %
IFC.PR.I Perpetual-Premium 2.48 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 5.06 %
IFC.PR.A FixedReset Ins Non 3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 4.60 %
TRP.PR.G FixedReset Disc 6.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 5.51 %
MFC.PR.G FixedReset Ins Non 21.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.39 %
RY.PR.M FixedReset Disc 56.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.G FixedReset Prem 213,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.49
Bid-YTW : 4.29 %
BNS.PR.Z FixedReset Bank Non 103,144 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 2.25 %
BMO.PR.F FixedReset Disc 78,986 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 23.35
Evaluated at bid price : 25.20
Bid-YTW : 3.97 %
TD.PF.M FixedReset Disc 66,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 23.20
Evaluated at bid price : 24.80
Bid-YTW : 4.14 %
TD.PF.A FixedReset Disc 60,101 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.06 %
BNS.PR.H FixedReset Prem 58,871 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 23.91
Evaluated at bid price : 25.33
Bid-YTW : 4.49 %
There were 77 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.I FixedReset Ins Non Quote: 18.24 – 19.46
Spot Rate : 1.2200
Average : 0.7805

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 4.32 %

BMO.PR.Q FixedReset Bank Non Quote: 24.71 – 25.66
Spot Rate : 0.9500
Average : 0.5487

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.71
Bid-YTW : 2.72 %

MFC.PR.N FixedReset Ins Non Quote: 16.58 – 17.50
Spot Rate : 0.9200
Average : 0.6288

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 4.39 %

PWF.PR.R Perpetual-Premium Quote: 25.20 – 25.91
Spot Rate : 0.7100
Average : 0.4330

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 24.92
Evaluated at bid price : 25.20
Bid-YTW : 5.54 %

TRP.PR.D FixedReset Disc Quote: 13.63 – 14.44
Spot Rate : 0.8100
Average : 0.5522

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 5.45 %

BNS.PR.I FixedReset Disc Quote: 20.20 – 20.89
Spot Rate : 0.6900
Average : 0.4391

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-09-30
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.95 %

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