Nothing happened today, although at time of writing Asian markets are getting hit again:
Asian stocks slumped along with U.S. index futures after China weakened the yuan, underscoring concern the world’s second-largest economy is struggling. The won fell with shares in Seoul after North Korea conducted its fourth nuclear test.
Japanese equities dropped and contracts on the Standard & Poor’s 500 Indexslid 0.9 percent as of 2:22 p.m. in Tokyo. Kim Jong Un’s regime detonated a hydrogen device at an underground test site in the far northeast, the official Korean Central News Agency said. The yen advanced to a more than two-month high amid demand for safer assets, as Australian government bonds extended their climb and Treasuries advanced for a fifth session. Gold held gains, while zinc led industrial metals lower in London and Shanghai on concerns demand is ebbing in China.
…
The Bloomberg-JPMorgan Asia Dollar Index fell to the lowest level since April 2009 as China’s central bank weakened the yuan’s reference rate for the seventh day in a row, heightening the risk of a currency war. The gap between the yuan rate inside China and that for the currency traded offshore expanded, underscoring speculation the government faces pressure to devalue its currency to aid the economy. China’s CSI 300 Index rose 0.4 percent, gaining for a second session after Monday’s 7 percent rout.
The Globe’s Rob Carrick touts preferred shares:
Avoid preferred shares then? Not necessarily. In fact, now may be the time to start buying. In a recent note to clients, the independent analyst Harry Levant of IncomeResearch.ca argues that the preferred market may have bottomed late in 2015. His suggestion for locking in a solid yield and possibly profiting from a rebound in prices is to buy an exchange-traded fund called the iShares Preferred Share Index ETF (CPD-T).
…
Mr. Levant notes that CPD wasn’t a great choice last year because its portfolio weights rate resets more heavily than the fixed-rate preferred shares that held up comparatively well. With rate resets looking like they may have hit bottom, CPD becomes more attractive.The distribution yield for CPD in early January was 4.95 per cent. That’s 4.5 per cent on an after-fee basis, which is roughly double the yield on a 30-year Government of Canada bond. Safe, preferred shares are most assuredly not. But they do have rebound potential now, and a pretty fine yield as well.
I’ll note that the distribution yield of 4.95% (or 4.5% after fees) quoted in the article will be as difficult to really understand as anything else with preferred shares these days. On a cash basis, it will overestimate sustainable yield, because there are still a LOT of dividend cuts yet to come although [given a constant GOC-5 yield] we have just about finished with the 40%+ cuts. On the other hand, the calculation of Distribution Yield will not take any account of the special case of insurance company NVCC non-compliant issues – that is, the probability assigned to an extension of the NVCC rules is zero. So prospective buyers should ensure they understand how the quoted yield may change in the future given various interest-rate and regulatory scenarios.
It looked like it was going to be another horrific day for Canadian preferred shares, but a late afternoon rally upgraded the status to merely appalling.
Here’s TXPR:
Click for Big
Click for Big
So preferred share investors partied in the streets!
Click for Big
It was an appalling day for the Canadian preferred share market, with PerpetualDiscounts gaining 7bp, FixedResets down 207bp and DeemedRetractibles off 10bp. As might be expected, the Performance Highlights table is an almost solid wall of FixedReset losers, but there were a few winners bouncing back from yesterday. Volume picked up to just a little below average.
For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.
Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spread
Here’s TRP:
Click for Big
TRP.PR.E, which resets 2019-10-30 at +235, is bid at 18.65 to be $1.00 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $1.36 cheap at its bid price of 11.81.
Click for Big
A big jump in Implied Volatility today, as is usually the case when there is a dramatically poor day. Given this, and the high levels of Implied Volatility generally, I suspect that this means there is something else going on. Low-Spread FixedResets have a higher degree of leverage to future changes in the GOC-5 yield; I think that this is what is being paid for.
Most expensive is MFC.PR.L, resetting at +216bp on 2019-6-19, bid at 18.70 to be 0.35 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 20.66 to be 0.58 cheap.
Click for Big
The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 15.86 to be $1.40 cheap. BAM.PF.E, resetting at +255bp on 2020-3-31 is bid at 19.50 and appears to be $0.85 rich.
Click for Big
FTS.PR.K, with a spread of +205bp, and bid at 18.24, looks $0.65 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 17.50 and is $0.51 cheap.
Click for Big
Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -1.06%, with one outlier above 0.00%, and two below -2.00%. There is one junk outlier below -2.00% and two above 0.00%.
Click for Big
Shall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?
| 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 | 4.85 % | 5.88 % | 28,780 | 16.81 | 1 | -1.5471 % | 1,605.2 |
| FixedFloater | 6.82 % | 6.05 % | 34,824 | 16.14 | 1 | 0.0000 % | 2,859.5 |
| Floater | 4.21 % | 4.35 % | 79,991 | 16.74 | 4 | -0.4439 % | 1,813.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0795 % | 2,744.2 |
| SplitShare | 4.81 % | 5.75 % | 78,083 | 1.82 | 6 | -0.0795 % | 3,211.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0795 % | 2,505.5 |
| Perpetual-Premium | 5.79 % | -1.96 % | 90,870 | 0.08 | 6 | 0.0659 % | 2,525.8 |
| Perpetual-Discount | 5.62 % | 5.67 % | 98,669 | 14.37 | 34 | 0.0706 % | 2,558.7 |
| FixedReset | 5.18 % | 4.51 % | 252,463 | 14.84 | 81 | -2.0716 % | 1,990.1 |
| Deemed-Retractible | 5.21 % | 5.11 % | 123,037 | 5.30 | 34 | -0.0986 % | 2,582.6 |
| FloatingReset | 2.87 % | 4.47 % | 66,091 | 5.61 | 13 | -1.4372 % | 2,099.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.K | FixedReset | -5.67 % | Reasonably real, as the issue traded 5,022 shares in a range of 18.36-22 before closing at 18.29-82, 1×2. VWAP was 18.62; the last trade of the day was at 2:45pm. We’ll give the market maker a pass on this, even though the closing spread is ridiculous. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.29 Bid-YTW : 7.40 % |
| MFC.PR.L | FixedReset | -4.93 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.70 Bid-YTW : 7.21 % |
| IFC.PR.C | FixedReset | -4.75 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.05 Bid-YTW : 7.07 % |
| SLF.PR.H | FixedReset | -4.71 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.01 Bid-YTW : 8.03 % |
| CM.PR.P | FixedReset | -4.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 4.34 % |
| CM.PR.O | FixedReset | -4.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.32 % |
| TD.PF.E | FixedReset | -4.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 20.92 Evaluated at bid price : 20.92 Bid-YTW : 4.38 % |
| HSE.PR.A | FixedReset | -4.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 12.23 Evaluated at bid price : 12.23 Bid-YTW : 5.02 % |
| MFC.PR.N | FixedReset | -4.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.09 Bid-YTW : 7.05 % |
| BAM.PF.F | FixedReset | -4.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 20.57 Evaluated at bid price : 20.57 Bid-YTW : 4.59 % |
| FTS.PR.M | FixedReset | -3.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 4.38 % |
| TD.PF.A | FixedReset | -3.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 4.31 % |
| TD.PF.B | FixedReset | -3.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 4.33 % |
| PWF.PR.P | FixedReset | -3.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 13.85 Evaluated at bid price : 13.85 Bid-YTW : 4.25 % |
| MFC.PR.M | FixedReset | -3.75 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.51 Bid-YTW : 6.82 % |
| TD.PF.D | FixedReset | -3.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.84 Evaluated at bid price : 19.84 Bid-YTW : 4.51 % |
| TRP.PR.C | FixedReset | -3.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 11.81 Evaluated at bid price : 11.81 Bid-YTW : 4.78 % |
| MFC.PR.I | FixedReset | -3.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.27 Bid-YTW : 5.95 % |
| NA.PR.S | FixedReset | -3.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.46 % |
| BMO.PR.T | FixedReset | -3.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 4.31 % |
| SLF.PR.I | FixedReset | -3.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.72 Bid-YTW : 6.71 % |
| MFC.PR.J | FixedReset | -3.37 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.10 Bid-YTW : 6.45 % |
| IAG.PR.G | FixedReset | -3.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.68 Bid-YTW : 6.25 % |
| BMO.PR.W | FixedReset | -3.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.29 % |
| BAM.PR.R | FixedReset | -3.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 15.86 Evaluated at bid price : 15.86 Bid-YTW : 4.84 % |
| TD.PF.C | FixedReset | -3.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.34 % |
| BAM.PR.Z | FixedReset | -3.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 20.19 Evaluated at bid price : 20.19 Bid-YTW : 4.72 % |
| BNS.PR.D | FloatingReset | -3.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 6.21 % |
| BMO.PR.S | FixedReset | -3.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 4.31 % |
| BAM.PR.K | Floater | -2.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 10.49 Evaluated at bid price : 10.49 Bid-YTW : 4.53 % |
| CU.PR.C | FixedReset | -2.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 4.34 % |
| RY.PR.H | FixedReset | -2.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 4.32 % |
| NA.PR.W | FixedReset | -2.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 17.86 Evaluated at bid price : 17.86 Bid-YTW : 4.41 % |
| RY.PR.Z | FixedReset | -2.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 4.28 % |
| MFC.PR.H | FixedReset | -2.83 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 5.75 % |
| FTS.PR.K | FixedReset | -2.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.24 Evaluated at bid price : 18.24 Bid-YTW : 4.11 % |
| BAM.PF.G | FixedReset | -2.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 4.57 % |
| BNS.PR.C | FloatingReset | -2.73 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.71 Bid-YTW : 4.77 % |
| BAM.PR.T | FixedReset | -2.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 4.60 % |
| BAM.PF.B | FixedReset | -2.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.38 Evaluated at bid price : 19.38 Bid-YTW : 4.53 % |
| RY.PR.J | FixedReset | -2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.84 Evaluated at bid price : 19.84 Bid-YTW : 4.45 % |
| BAM.PF.A | FixedReset | -2.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 20.56 Evaluated at bid price : 20.56 Bid-YTW : 4.58 % |
| RY.PR.M | FixedReset | -2.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 4.36 % |
| BNS.PR.Z | FixedReset | -2.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.75 Bid-YTW : 6.31 % |
| BMO.PR.R | FloatingReset | -2.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.20 Bid-YTW : 4.23 % |
| BMO.PR.Y | FixedReset | -2.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 4.37 % |
| TRP.PR.H | FloatingReset | -2.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 10.03 Evaluated at bid price : 10.03 Bid-YTW : 4.39 % |
| BNS.PR.Y | FixedReset | -2.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.67 Bid-YTW : 6.02 % |
| MFC.PR.G | FixedReset | -2.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.66 Bid-YTW : 6.30 % |
| TD.PR.T | FloatingReset | -2.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.90 Bid-YTW : 4.43 % |
| TD.PR.Z | FloatingReset | -2.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 4.47 % |
| NA.PR.Q | FixedReset | -2.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 3.66 % |
| BNS.PR.B | FloatingReset | -1.99 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.62 Bid-YTW : 4.66 % |
| IFC.PR.A | FixedReset | -1.90 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 9.21 % |
| CM.PR.Q | FixedReset | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 4.45 % |
| BAM.PR.E | Ratchet | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 25.00 Evaluated at bid price : 14.00 Bid-YTW : 5.88 % |
| TRP.PR.F | FloatingReset | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 13.20 Evaluated at bid price : 13.20 Bid-YTW : 4.55 % |
| TD.PR.Y | FixedReset | -1.43 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.05 Bid-YTW : 3.80 % |
| BAM.PF.E | FixedReset | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.53 % |
| TRP.PR.B | FixedReset | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 11.40 Evaluated at bid price : 11.40 Bid-YTW : 4.48 % |
| RY.PR.I | FixedReset | -1.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.72 Bid-YTW : 4.16 % |
| BNS.PR.Q | FixedReset | -1.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.79 Bid-YTW : 3.86 % |
| TRP.PR.E | FixedReset | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 4.42 % |
| HSE.PR.E | FixedReset | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 6.01 % |
| FTS.PR.J | Perpetual-Discount | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 22.07 Evaluated at bid price : 22.36 Bid-YTW : 5.36 % |
| BNS.PR.E | FixedReset | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 23.29 Evaluated at bid price : 25.47 Bid-YTW : 5.13 % |
| BMO.PR.Z | Perpetual-Discount | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 23.29 Evaluated at bid price : 23.60 Bid-YTW : 5.35 % |
| TRP.PR.G | FixedReset | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.76 Evaluated at bid price : 19.76 Bid-YTW : 4.74 % |
| RY.PR.L | FixedReset | -1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.83 Bid-YTW : 4.09 % |
| FTS.PR.G | FixedReset | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.32 % |
| HSE.PR.G | FixedReset | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 5.96 % |
| CU.PR.I | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.33 Bid-YTW : 4.32 % |
| BSC.PR.C | SplitShare | -1.05 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-22 Maturity Price : 19.71 Evaluated at bid price : 19.74 Bid-YTW : 4.01 % |
| GWO.PR.S | Deemed-Retractible | -1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.59 Bid-YTW : 5.53 % |
| ENB.PR.A | Perpetual-Discount | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 22.72 Evaluated at bid price : 23.01 Bid-YTW : 6.05 % |
| CU.PR.G | Perpetual-Discount | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 5.55 % |
| ELF.PR.G | Perpetual-Discount | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 5.68 % |
| GWO.PR.O | FloatingReset | 1.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.56 Bid-YTW : 10.38 % |
| HSE.PR.C | FixedReset | 2.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 5.59 % |
| VNR.PR.A | FixedReset | 4.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.31 Evaluated at bid price : 19.31 Bid-YTW : 4.77 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.Q | FixedReset | 647,883 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.67 Bid-YTW : 5.02 % |
| BNS.PR.E | FixedReset | 353,322 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 23.29 Evaluated at bid price : 25.47 Bid-YTW : 5.13 % |
| BIP.PR.A | FixedReset | 52,230 | Nesbitt crossed 50,000 at 19.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 5.59 % |
| TD.PF.C | FixedReset | 26,660 | Desjardins bought 14,000 from National at 18.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.34 % |
| RY.PR.Z | FixedReset | 25,416 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-05 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 4.28 % |
| BNS.PR.R | FixedReset | 24,926 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.27 Bid-YTW : 3.75 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BNS.PR.Z | FixedReset | Quote: 19.75 – 20.39 Spot Rate : 0.6400 Average : 0.3788 YTW SCENARIO |
| BMO.PR.R | FloatingReset | Quote: 22.20 – 22.83 Spot Rate : 0.6300 Average : 0.4149 YTW SCENARIO |
| BAM.PR.Z | FixedReset | Quote: 20.19 – 20.83 Spot Rate : 0.6400 Average : 0.4388 YTW SCENARIO |
| IFC.PR.C | FixedReset | Quote: 19.05 – 19.70 Spot Rate : 0.6500 Average : 0.4595 YTW SCENARIO |
| PWF.PR.T | FixedReset | Quote: 22.75 – 23.96 Spot Rate : 1.2100 Average : 1.0259 YTW SCENARIO |
| SLF.PR.H | FixedReset | Quote: 17.01 – 17.85 Spot Rate : 0.8400 Average : 0.6588 YTW SCENARIO |