Archive for the ‘Uncategorized’ Category

October 5, 2022

Wednesday, October 5th, 2022

TXPR closed at 572.75, up 0.53% on the day. Volume today was 1.43-million, fifth-highest of the past 21 trading days.

CPD closed at 11.35, up 0.35% on the day. Volume was 81,670, near the median of the past 21 trading days.

ZPR closed at 9.51, up 0.21% on the day. Volume was 233,840, well above the median of the past 21 trading days.

Five-year Canada yields were up sharply to 3.46% today.

Apparently:

U.S. private employers stepped up hiring in September, the ADP National Employment report on Wednesday showed, suggesting rising rates and tighter financial conditions have yet to curb labor demand as the Fed battles high inflation.

The Institute for Supply Management’s services industry employment gauge shot up in another sign labour remains strong as the overall industry slowed modestly in September.

The Fed is expected to deliver a fourth straight 75-basis-point rate hike when policymakers meet Nov. 1-2, the pricing of fed fund futures shows, according to CME’s FedWatch tool.

San Francisco Fed President Mary Daly told Bloomberg TV in an interview that inflation is problematic and that the U.S. central bank would stay the course.

“The path is clear: we are going to raise rates to restrictive territory, then hold them there for a while,” she said. “We are committed to bringing inflation down, staying course until we are well and truly done.”

PerpetualDiscounts now yield 6.48%, equivalent to 8.42% interest at the standard equivalency factor of 1.3x. Long corporates continue to yield 5.00%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has eased to 340bp from the 355bp reported September 28.

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 -3.1809 % 2,340.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -3.1809 % 4,488.4
Floater 7.83 % 7.71 % 49,035 11.72 2 -3.1809 % 2,586.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.3333 % 3,392.8
SplitShare 4.95 % 6.34 % 33,747 3.08 7 0.3333 % 4,051.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3333 % 3,161.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0254 % 2,685.9
Perpetual-Discount 6.34 % 6.48 % 72,869 13.21 33 -0.0254 % 2,928.9
FixedReset Disc 5.21 % 6.94 % 90,643 12.79 63 0.3461 % 2,295.5
Insurance Straight 6.28 % 6.33 % 74,631 13.43 19 0.1734 % 2,866.2
FloatingReset 8.62 % 8.92 % 36,148 10.49 2 0.4537 % 2,516.1
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.3461 % 2,429.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3461 % 2,346.5
FixedReset Ins Non 5.41 % 7.50 % 43,201 12.46 14 0.5233 % 2,328.6
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -6.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 8.14 %
MIC.PR.A Perpetual-Discount -3.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 7.08 %
MFC.PR.B Insurance Straight -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 6.33 %
NA.PR.G FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 21.31
Evaluated at bid price : 21.59
Bid-YTW : 6.89 %
IFC.PR.C FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.01 %
TRP.PR.B FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 11.56
Evaluated at bid price : 11.56
Bid-YTW : 8.65 %
TD.PF.J FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 6.85 %
BAM.PF.G FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 8.56 %
MFC.PR.C Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 6.24 %
CU.PR.F Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 6.35 %
IFC.PR.K Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 6.28 %
BAM.PR.M Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 6.64 %
CU.PR.J Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.46 %
RY.PR.J FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 6.93 %
BAM.PR.Z FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 7.47 %
GWO.PR.R Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.41 %
IAF.PR.I FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 21.48
Evaluated at bid price : 21.80
Bid-YTW : 6.89 %
PWF.PR.P FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 12.68
Evaluated at bid price : 12.68
Bid-YTW : 8.35 %
PWF.PR.F Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 6.50 %
CCS.PR.C Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.00 %
GWO.PR.P Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.49 %
POW.PR.B Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.55 %
FTS.PR.M FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 7.75 %
IFC.PR.E Insurance Straight 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.10 %
TRP.PR.G FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.86 %
PWF.PR.R Perpetual-Discount 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 6.50 %
RY.PR.H FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.94 %
TD.PF.M FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 23.39
Evaluated at bid price : 24.40
Bid-YTW : 6.87 %
BAM.PF.J FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 22.53
Evaluated at bid price : 23.50
Bid-YTW : 6.75 %
CU.PR.H Perpetual-Discount 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 6.29 %
RY.PR.M FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.84 %
BAM.PR.R FixedReset Disc 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 8.41 %
MFC.PR.N FixedReset Ins Non 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.79 %
BMO.PR.Y FixedReset Disc 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.83 %
BMO.PR.T FixedReset Disc 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 19.24
Evaluated at bid price : 19.24
Bid-YTW : 6.95 %
CM.PR.P FixedReset Disc 4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 107,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 19.24
Evaluated at bid price : 19.24
Bid-YTW : 6.95 %
IFC.PR.A FixedReset Ins Non 63,040 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 7.55 %
TRP.PR.D FixedReset Disc 55,825 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 8.34 %
PWF.PR.P FixedReset Disc 47,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 12.68
Evaluated at bid price : 12.68
Bid-YTW : 8.35 %
BMO.PR.S FixedReset Disc 36,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 6.96 %
BAM.PF.F FixedReset Disc 35,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 8.24 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.R FixedReset Disc Quote: 14.80 – 16.80
Spot Rate : 2.0000
Average : 1.1793

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 8.41 %

TRP.PR.B FixedReset Disc Quote: 11.56 – 13.05
Spot Rate : 1.4900
Average : 0.8661

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 11.56
Evaluated at bid price : 11.56
Bid-YTW : 8.65 %

BAM.PR.M Perpetual-Discount Quote: 18.06 – 19.60
Spot Rate : 1.5400
Average : 1.1264

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 6.64 %

NA.PR.G FixedReset Disc Quote: 21.59 – 22.63
Spot Rate : 1.0400
Average : 0.6540

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 21.31
Evaluated at bid price : 21.59
Bid-YTW : 6.89 %

CM.PR.O FixedReset Disc Quote: 19.10 – 20.60
Spot Rate : 1.5000
Average : 1.1257

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.01 %

BAM.PR.B Floater Quote: 11.85 – 12.70
Spot Rate : 0.8500
Average : 0.4869

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-05
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 8.14 %