February 7, 2019

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TXPR closed at 629.23, down 0.56% on the day. Volume of 1.93-million was on the low side in the context of the past thirty days.

CPD closed at 12.60, down 0.32% on the day. Volume of 192,567 was on the high side in the context of the past thirty days.

ZPR closed at 10.22, down 0.87% on the day. Volume of 244,707 was high in the context of the past thirty days.

One may speculate that all this was in reaction to changes in the five-year Canada yield, which was down 5bp to 1.79% today.

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 -2.4548 % 2,241.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.4548 % 4,112.8
Floater 5.23 % 5.51 % 30,913 14.61 4 -2.4548 % 2,370.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1098 % 3,222.8
SplitShare 4.91 % 5.00 % 65,457 3.97 8 -0.1098 % 3,848.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1098 % 3,002.9
Perpetual-Premium 5.85 % -0.71 % 88,580 0.08 4 0.0993 % 2,889.7
Perpetual-Discount 5.58 % 5.70 % 72,371 14.31 31 -0.1402 % 2,978.8
FixedReset Disc 5.09 % 5.46 % 215,664 14.73 65 -0.7113 % 2,229.8
Deemed-Retractible 5.36 % 6.22 % 97,793 8.15 27 -0.1164 % 2,962.9
FloatingReset 4.34 % 5.47 % 64,348 8.47 6 -0.7363 % 2,428.2
FixedReset Prem 5.14 % 4.28 % 265,135 2.29 18 -0.0044 % 2,531.7
FixedReset Bank Non 2.79 % 4.00 % 158,940 2.86 5 0.0331 % 2,599.5
FixedReset Ins Non 5.04 % 6.91 % 129,821 8.24 22 -0.1950 % 2,208.2
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -5.52 % A nonsensical quote provided at high cost by Nonsense Central, as the issue traded 1,700 shares today in a range of 12.69-87 before being quoted at 12.15-70. The closing price was 12.70.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 5.77 %

BAM.PR.N Perpetual-Discount -3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 5.98 %
BAM.PR.M Perpetual-Discount -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 5.95 %
BAM.PF.F FixedReset Disc -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.02 %
BAM.PR.C Floater -2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 5.56 %
BAM.PR.X FixedReset Disc -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 14.81
Evaluated at bid price : 14.81
Bid-YTW : 5.95 %
HSE.PR.A FixedReset Disc -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 6.32 %
PWF.PR.P FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 5.87 %
TRP.PR.H FloatingReset -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 5.80 %
BAM.PR.B Floater -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 12.71
Evaluated at bid price : 12.71
Bid-YTW : 5.51 %
BMO.PR.W FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.39 %
BAM.PF.A FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 5.71 %
NA.PR.W FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.68 %
BMO.PR.T FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 5.42 %
BAM.PF.B FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.85 %
BAM.PR.R FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.96 %
RY.PR.M FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.31 %
TRP.PR.F FloatingReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 5.78 %
EML.PR.A FixedReset Ins Non -1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.16 %
BAM.PR.Z FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 5.76 %
HSE.PR.C FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.30 %
RY.PR.Z FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 5.29 %
MFC.PR.F FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.18
Bid-YTW : 9.47 %
PWF.PR.L Perpetual-Discount -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 22.09
Evaluated at bid price : 22.37
Bid-YTW : 5.73 %
HSE.PR.G FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 6.41 %
BMO.PR.S FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.40 %
EMA.PR.F FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.77 %
CM.PR.O FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.52 %
TD.PF.C FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.37 %
RY.PR.J FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.34 %
SLF.PR.J FloatingReset -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.65
Bid-YTW : 9.21 %
TD.PF.B FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.32 %
TD.PF.E FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 5.29 %
RY.PR.H FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.27 %
NA.PR.S FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 5.64 %
TRP.PR.B FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 6.00 %
BAM.PR.T FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 6.04 %
TD.PF.A FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.29 %
SLF.PR.I FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.41
Bid-YTW : 6.84 %
IFC.PR.G FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.45
Bid-YTW : 7.18 %
TRP.PR.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.88 %
MFC.PR.B Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.58
Bid-YTW : 7.12 %
CCS.PR.C Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.42
Bid-YTW : 6.43 %
TRP.PR.C FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 6.02 %
MFC.PR.M FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.96
Bid-YTW : 7.60 %
IFC.PR.A FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.00
Bid-YTW : 8.76 %
BIP.PR.E FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 5.83 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 170,315 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 22.66
Evaluated at bid price : 23.48
Bid-YTW : 5.39 %
MFC.PR.H FixedReset Ins Non 82,790 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.45
Bid-YTW : 6.17 %
BMO.PR.D FixedReset Disc 43,702 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 22.50
Evaluated at bid price : 23.21
Bid-YTW : 5.27 %
TRP.PR.D FixedReset Disc 39,820 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.91 %
RY.PR.S FixedReset Disc 37,610 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 21.64
Evaluated at bid price : 22.00
Bid-YTW : 4.99 %
CM.PR.Q FixedReset Disc 37,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 5.42 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.I FixedReset Ins Non Quote: 20.99 – 22.80
Spot Rate : 1.8100
Average : 1.2011

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.99
Bid-YTW : 6.79 %

MFC.PR.K FixedReset Ins Non Quote: 19.25 – 20.65
Spot Rate : 1.4000
Average : 0.8283

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.25
Bid-YTW : 7.48 %

MFC.PR.F FixedReset Ins Non Quote: 14.18 – 15.50
Spot Rate : 1.3200
Average : 0.8363

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.18
Bid-YTW : 9.47 %

PWF.PR.P FixedReset Disc Quote: 14.32 – 15.75
Spot Rate : 1.4300
Average : 0.9540

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 5.87 %

SLF.PR.G FixedReset Ins Non Quote: 14.50 – 15.50
Spot Rate : 1.0000
Average : 0.6716

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 9.40 %

BAM.PR.M Perpetual-Discount Quote: 20.26 – 21.10
Spot Rate : 0.8400
Average : 0.5219

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-07
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 5.95 %

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