August 7, 2019

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Well, if Trump loses his trade war and tips the US into a recession, he’s got his excuse prepared:

Donald Trump lashed out at the U.S. central bank on Wednesday, accusing the Federal Reserve’s interest rate policy with holding back the economy from winning a trade war he is trying to wage with China.

In a series of tweets on Wednesday, U.S. President Donald Trump blamed the central bank for not initiating interest rate cuts that are “bigger and faster” for the current turmoil in financial markets.

“Our problem is a Federal Reserve that is too proud to admit their mistake of acting too fast and tightening too much (and that I was right!). They must Cut Rates bigger and faster, and stop their ridiculous quantitative tightening NOW,” he said.

TXPR closed at 599.18, down 1.11% on the day. Volume was 2.63-million, second only to July 19 in the past 30 days.

CPD closed at 11.96, down 1.24% on the day. Volume of 267,654 was the highest of the past thirty days, edging out July 31‘s 258,950.

ZPR closed at 9.56, down 1.54% on the day. Volume of 242,011 was the highest of the past 30 days, trouncing July 18‘s volume of 177,940.

Five-year Canada yields were up 1bp to 1.23% today.

PerpetualDiscounts now yield 5.57%, equivalent to 7.24% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.33%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) remains at an amazing 390bp, the same as that reported July 31.

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 0.0448 % 1,927.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0448 % 3,537.4
Floater 6.20 % 6.26 % 39,142 13.47 4 0.0448 % 2,038.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2088 % 3,332.3
SplitShare 4.67 % 4.85 % 71,645 4.08 7 -0.2088 % 3,979.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2088 % 3,105.0
Perpetual-Premium 5.61 % -16.33 % 56,432 0.09 7 0.0336 % 2,990.7
Perpetual-Discount 5.45 % 5.57 % 59,043 14.54 25 0.1287 % 3,135.4
FixedReset Disc 5.57 % 5.15 % 161,307 15.09 69 -1.5689 % 2,067.8
Deemed-Retractible 5.24 % 5.95 % 59,666 7.91 27 -0.1675 % 3,111.0
FloatingReset 4.10 % 4.47 % 36,135 2.39 4 -0.6772 % 2,322.6
FixedReset Prem 5.16 % 4.06 % 156,903 1.86 17 -0.2865 % 2,587.7
FixedReset Bank Non 1.98 % 4.05 % 84,953 2.41 3 -0.1253 % 2,653.2
FixedReset Ins Non 5.39 % 7.58 % 90,393 8.04 22 -1.1943 % 2,116.4
Performance Highlights
Issue Index Change Notes
BAM.PF.A FixedReset Disc -4.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.02 %
TRP.PR.B FixedReset Disc -4.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 10.65
Evaluated at bid price : 10.65
Bid-YTW : 5.71 %
TRP.PR.A FixedReset Disc -3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 6.11 %
IAF.PR.G FixedReset Ins Non -3.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 7.06 %
TRP.PR.C FixedReset Disc -3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 11.12
Evaluated at bid price : 11.12
Bid-YTW : 5.98 %
RY.PR.M FixedReset Disc -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 5.20 %
IFC.PR.C FixedReset Ins Non -3.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.45
Bid-YTW : 8.09 %
RY.PR.J FixedReset Disc -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.19 %
MFC.PR.N FixedReset Ins Non -2.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.39
Bid-YTW : 8.62 %
BIP.PR.A FixedReset Disc -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 6.44 %
BMO.PR.Y FixedReset Disc -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 5.05 %
NA.PR.W FixedReset Disc -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 5.32 %
BAM.PR.Z FixedReset Disc -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.02 %
BMO.PR.T FixedReset Disc -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 5.02 %
IFC.PR.A FixedReset Ins Non -2.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.40
Bid-YTW : 9.72 %
CM.PR.R FixedReset Disc -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.27 %
TD.PF.A FixedReset Disc -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.96 %
PWF.PR.P FixedReset Disc -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 12.92
Evaluated at bid price : 12.92
Bid-YTW : 5.26 %
BAM.PF.F FixedReset Disc -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.90 %
TD.PF.E FixedReset Disc -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.08 %
NA.PR.E FixedReset Disc -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 5.27 %
TRP.PR.D FixedReset Disc -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 15.37
Evaluated at bid price : 15.37
Bid-YTW : 5.94 %
BMO.PR.D FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.08 %
BMO.PR.W FixedReset Disc -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 5.00 %
NA.PR.C FixedReset Disc -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.37 %
HSE.PR.E FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.54 %
HSE.PR.G FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.47 %
CM.PR.P FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 5.18 %
NA.PR.G FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 5.13 %
TD.PF.D FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.07 %
BAM.PF.B FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 6.03 %
TRP.PR.E FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 5.85 %
TD.PF.B FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.97 %
EMA.PR.F FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 5.64 %
BAM.PF.G FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 5.95 %
HSE.PR.C FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.26 %
CM.PR.O FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 5.23 %
RY.PR.S FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.77 %
BMO.PR.E FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.98 %
MFC.PR.M FixedReset Ins Non -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.05
Bid-YTW : 8.19 %
BNS.PR.I FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.88 %
BAM.PR.T FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.93 %
HSE.PR.A FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 5.98 %
PWF.PR.T FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.18 %
TRP.PR.F FloatingReset -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 13.16
Evaluated at bid price : 13.16
Bid-YTW : 6.89 %
BMO.PR.C FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 22.24
Evaluated at bid price : 22.65
Bid-YTW : 4.92 %
IAF.PR.I FixedReset Ins Non -1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.20
Bid-YTW : 7.00 %
SLF.PR.I FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.81
Bid-YTW : 7.36 %
CU.PR.C FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 16.53
Evaluated at bid price : 16.53
Bid-YTW : 5.32 %
SLF.PR.G FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.40
Bid-YTW : 9.74 %
TD.PF.J FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.86 %
TD.PF.K FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.98 %
MFC.PR.J FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.65
Bid-YTW : 7.89 %
MFC.PR.I FixedReset Ins Non -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.53 %
BIP.PR.F FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 5.94 %
BMO.PR.S FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.10 %
RY.PR.Z FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 4.85 %
MFC.PR.Q FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.06
Bid-YTW : 7.58 %
CM.PR.Y FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 23.04
Evaluated at bid price : 24.64
Bid-YTW : 4.93 %
BIP.PR.C FixedReset Prem -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 23.46
Evaluated at bid price : 24.76
Bid-YTW : 5.79 %
SLF.PR.J FloatingReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.25
Bid-YTW : 10.70 %
RY.PR.H FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.80 %
SLF.PR.C Deemed-Retractible -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.77
Bid-YTW : 6.84 %
SLF.PR.E Deemed-Retractible -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.87
Bid-YTW : 6.83 %
NA.PR.S FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 5.29 %
CM.PR.T FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 22.96
Evaluated at bid price : 24.40
Bid-YTW : 4.70 %
PWF.PR.A Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 11.49
Evaluated at bid price : 11.49
Bid-YTW : 6.03 %
CU.PR.I FixedReset Prem 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.72 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.G Perpetual-Discount 101,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.37 %
TRP.PR.D FixedReset Disc 95,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 15.37
Evaluated at bid price : 15.37
Bid-YTW : 5.94 %
BAM.PF.F FixedReset Disc 79,590 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.90 %
MFC.PR.M FixedReset Ins Non 58,425 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.05
Bid-YTW : 8.19 %
RY.PR.H FixedReset Disc 37,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.80 %
CM.PR.Y FixedReset Disc 35,152 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 23.04
Evaluated at bid price : 24.64
Bid-YTW : 4.93 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.C FixedReset Disc Quote: 11.12 – 11.75
Spot Rate : 0.6300
Average : 0.4151

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 11.12
Evaluated at bid price : 11.12
Bid-YTW : 5.98 %

IFC.PR.C FixedReset Ins Non Quote: 17.45 – 18.20
Spot Rate : 0.7500
Average : 0.5456

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.45
Bid-YTW : 8.09 %

NA.PR.G FixedReset Disc Quote: 20.31 – 20.83
Spot Rate : 0.5200
Average : 0.3306

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 5.13 %

IAF.PR.I FixedReset Ins Non Quote: 20.20 – 20.74
Spot Rate : 0.5400
Average : 0.3628

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.20
Bid-YTW : 7.00 %

TD.PF.A FixedReset Disc Quote: 17.10 – 17.67
Spot Rate : 0.5700
Average : 0.4137

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.96 %

HSE.PR.E FixedReset Disc Quote: 18.20 – 19.01
Spot Rate : 0.8100
Average : 0.6549

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-07
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.54 %

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