Yeah, so it was a Friday to be remembered:
Oil prices surged as much as 10 per cent on Friday, one of the biggest daily rallies ever, as bearish traders who had taken out record short positions scrambled to close them, betting the market’s long rout may finally be over.
The onset of a massive snowstorm on the U.S. East Coast sent heating oil up more than 10 per cent. This helped fuel a 15 per cent gain in crude prices over two days, reversing nearly half of the relentless, fund-driven selloff that had pushed crude below $30 (U.S.) a barrel for the first time in 12 years.
… and headline inflation and retail sales both rose:
Canadians are still buying new cars and vegetables even as they become more expensive, supporting the central bank’s view the economy will recover from a commodity crash without further interest-rate cuts.
December inflation climbed at the fastest pace in a year at 1.6 per cent, led by double-digit gains for fruit and vegetables and a reduced drag from gasoline, Ottawa-based Statistics Canada said Friday. The agency also reported retail sales rose 1.7 per cent in November, almost triple the highest estimate in a Bloomberg economist survey
…
Fresh fruit and vegetable prices rose 13 per cent in December from a year earlier, pushing up total food costs 3.7 per cent. Most fresh produce is imported from the U.S. or Latin America during winter. Canada’s dollar fell 16 per cent last year versus the U.S. currency.
… which made it a hot day for equities:
The Standard & Poor’s/TSX Index jumped 2.9 percent to 12,389.58 at 4 p.m. in Toronto, capping the gauge’s first weekly gain of the year. Nine of the index’s 10 main industries rose more than 1.1 percent, with energy, utility and industrial shares the biggest gainers. The S&P/TSX, which entered a bear market two weeks ago, fell on Wednesday to its lowest level since August 2012. It’s down 4.8 percent in 2016.
Canada joined a rebound among global equities sparked by speculation the European Central Bank and Bank of Japan are poised to add to stimulus at the same time China reassured investors it would do more to damp volatility. Crude oil surged 8.9 percent, bringing its two-day increase past 20 percent.
…
All but one of the 55 companies in the S&P/TSX energy index rose as the gauge climbed 5.5 percent. Baytex Energy Corp. surged 15 percent, while Paramount Resources Ltd. and Enerplus Corp. climbed at least 9.3 percent. Penn West Petroleum Ltd. rose 15 percent to the highest level in more than two weeks.
And as for preferred shares …
Click for Big
The Canadian preferred share market had a superb day today, with PerpetualDiscounts gaining 193bp, FixedResets winning 328bp and DeemedRetractibles up 223bp. The Performance Highlights table is ridiculous. Volume was very high.
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 16.72 to be $1.00 rich, while TRP.PR.B, resetting 2020-6-30 at +128, is $0.82 cheap at its bid price of 9.52.
Click for Big
Most expensive is MFC.PR.N, resetting at +230bp on 2020-3-19, bid at 17.00 to be 0.81 rich, while MFC.PR.G, resetting at +290bp on 2016-12-19, is bid at 17.68 to be 0.82 cheap.
Click for Big
The cheapest issue relative to its peers is BAM.PR.R, resetting at +230bp on 2016-6-30, bid at 13.43 to be $1.88 cheap. BAM.PF.F, resetting at +286bp on 2019-9-30 is bid at 19.45 and appears to be $1.33 rich.
Click for Big
FTS.PR.K, with a spread of +205bp, and bid at 15.75, looks $0.50 expensive and resets 2019-3-1. FTS.PR.G, with a spread of +213bp and resetting 2018-9-1, is bid at 15.17 and is $0.48 cheap.
Click for Big
Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.31%, with two outliers below -1.00%. There are five junk outliers below -1.00% and one above +1.00%
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 | 5.28 % | 6.43 % | 21,005 | 16.13 | 1 | 4.0486 % | 1,473.4 |
| FixedFloater | 7.63 % | 6.66 % | 30,560 | 15.64 | 1 | 2.0492 % | 2,605.5 |
| Floater | 4.81 % | 4.96 % | 75,045 | 15.58 | 4 | 1.6542 % | 1,590.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0767 % | 2,692.7 |
| SplitShare | 4.91 % | 6.68 % | 78,140 | 2.72 | 6 | 0.0767 % | 3,151.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0767 % | 2,458.5 |
| Perpetual-Premium | 5.93 % | 5.88 % | 92,778 | 13.98 | 6 | 1.3403 % | 2,489.4 |
| Perpetual-Discount | 5.89 % | 5.86 % | 102,418 | 14.11 | 33 | 1.9332 % | 2,447.4 |
| FixedReset | 5.73 % | 4.94 % | 245,812 | 14.89 | 83 | 3.2774 % | 1,801.1 |
| Deemed-Retractible | 5.32 % | 5.94 % | 132,488 | 6.93 | 34 | 2.2257 % | 2,538.1 |
| FloatingReset | 2.77 % | 4.75 % | 62,927 | 5.60 | 13 | 2.4144 % | 2,007.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BIP.PR.B | FixedReset | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.71 Evaluated at bid price : 22.10 Bid-YTW : 6.31 % |
| PWF.PR.K | Perpetual-Discount | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.86 % |
| BMO.PR.L | Deemed-Retractible | 1.26 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-05-25 Maturity Price : 25.25 Evaluated at bid price : 25.77 Bid-YTW : 2.31 % |
| RY.PR.B | Deemed-Retractible | 1.26 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.08 Bid-YTW : 5.37 % |
| RY.PR.F | Deemed-Retractible | 1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.92 Bid-YTW : 5.25 % |
| IGM.PR.B | Perpetual-Premium | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.77 Evaluated at bid price : 24.21 Bid-YTW : 6.11 % |
| BMO.PR.Z | Perpetual-Discount | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 22.04 Evaluated at bid price : 22.34 Bid-YTW : 5.68 % |
| RY.PR.A | Deemed-Retractible | 1.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 5.26 % |
| RY.PR.O | Perpetual-Discount | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.70 Evaluated at bid price : 21.99 Bid-YTW : 5.56 % |
| PWF.PR.A | Floater | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 11.05 Evaluated at bid price : 11.05 Bid-YTW : 4.33 % |
| BNS.PR.O | Deemed-Retractible | 1.40 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-04-27 Maturity Price : 25.25 Evaluated at bid price : 25.39 Bid-YTW : 2.85 % |
| RY.PR.E | Deemed-Retractible | 1.43 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.96 Bid-YTW : 5.27 % |
| CU.PR.H | Perpetual-Discount | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.98 Evaluated at bid price : 22.26 Bid-YTW : 5.98 % |
| RY.PR.C | Deemed-Retractible | 1.49 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.06 Bid-YTW : 5.29 % |
| RY.PR.D | Deemed-Retractible | 1.56 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.95 Bid-YTW : 5.27 % |
| BNS.PR.R | FixedReset | 1.57 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.65 Bid-YTW : 5.01 % |
| BMO.PR.K | Deemed-Retractible | 1.58 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.14 Bid-YTW : 5.34 % |
| TRP.PR.B | FixedReset | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 9.52 Evaluated at bid price : 9.52 Bid-YTW : 5.09 % |
| GWO.PR.L | Deemed-Retractible | 1.61 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 5.94 % |
| BNS.PR.B | FloatingReset | 1.62 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 4.75 % |
| ELF.PR.F | Perpetual-Discount | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.49 Evaluated at bid price : 21.75 Bid-YTW : 6.13 % |
| CU.PR.D | Perpetual-Discount | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 20.69 Evaluated at bid price : 20.69 Bid-YTW : 6.03 % |
| RY.PR.G | Deemed-Retractible | 1.68 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.98 Bid-YTW : 5.25 % |
| CCS.PR.C | Deemed-Retractible | 1.69 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.10 Bid-YTW : 7.50 % |
| BAM.PR.Z | FixedReset | 1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.93 Evaluated at bid price : 17.93 Bid-YTW : 5.16 % |
| PWF.PR.H | Perpetual-Premium | 1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 24.25 Evaluated at bid price : 24.54 Bid-YTW : 5.88 % |
| RY.PR.W | Perpetual-Discount | 1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 22.01 Evaluated at bid price : 22.25 Bid-YTW : 5.50 % |
| PWF.PR.O | Perpetual-Premium | 1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 24.26 Evaluated at bid price : 24.76 Bid-YTW : 5.86 % |
| FTS.PR.F | Perpetual-Discount | 1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.38 Evaluated at bid price : 21.38 Bid-YTW : 5.83 % |
| CU.PR.F | Perpetual-Discount | 1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 5.99 % |
| RY.PR.N | Perpetual-Discount | 1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.59 Evaluated at bid price : 21.92 Bid-YTW : 5.57 % |
| CU.PR.G | Perpetual-Discount | 1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 19.04 Evaluated at bid price : 19.04 Bid-YTW : 6.01 % |
| TD.PF.C | FixedReset | 1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 4.50 % |
| CU.PR.E | Perpetual-Discount | 1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 6.02 % |
| W.PR.J | Perpetual-Discount | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 22.00 Evaluated at bid price : 22.23 Bid-YTW : 6.34 % |
| NA.PR.Q | FixedReset | 1.87 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.76 Bid-YTW : 5.81 % |
| BNS.PR.Y | FixedReset | 1.92 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.13 Bid-YTW : 6.53 % |
| BNS.PR.C | FloatingReset | 1.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.41 Bid-YTW : 4.89 % |
| PWF.PR.R | Perpetual-Discount | 1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.10 Evaluated at bid price : 23.52 Bid-YTW : 5.86 % |
| W.PR.H | Perpetual-Discount | 2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.78 Evaluated at bid price : 22.02 Bid-YTW : 6.29 % |
| BAM.PR.G | FixedFloater | 2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 25.00 Evaluated at bid price : 12.45 Bid-YTW : 6.66 % |
| BNS.PR.N | Deemed-Retractible | 2.06 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-01-27 Maturity Price : 25.00 Evaluated at bid price : 25.22 Bid-YTW : 4.24 % |
| BMO.PR.R | FloatingReset | 2.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.70 Bid-YTW : 4.50 % |
| BNS.PR.L | Deemed-Retractible | 2.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.05 Bid-YTW : 5.25 % |
| PWF.PR.F | Perpetual-Discount | 2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 22.18 Evaluated at bid price : 22.46 Bid-YTW : 5.86 % |
| MFC.PR.I | FixedReset | 2.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.98 Bid-YTW : 8.20 % |
| PWF.PR.E | Perpetual-Discount | 2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.27 Evaluated at bid price : 23.57 Bid-YTW : 5.85 % |
| RY.PR.L | FixedReset | 2.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 4.49 % |
| TD.PR.Y | FixedReset | 2.25 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 4.65 % |
| ELF.PR.G | Perpetual-Discount | 2.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 5.87 % |
| BAM.PR.C | Floater | 2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 9.45 Evaluated at bid price : 9.45 Bid-YTW : 5.05 % |
| BNS.PR.M | Deemed-Retractible | 2.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.09 Bid-YTW : 5.22 % |
| FTS.PR.J | Perpetual-Discount | 2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 5.85 % |
| BAM.PR.B | Floater | 2.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 9.62 Evaluated at bid price : 9.62 Bid-YTW : 4.96 % |
| BAM.PF.B | FixedReset | 2.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 4.96 % |
| TD.PR.Z | FloatingReset | 2.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.76 Bid-YTW : 4.39 % |
| POW.PR.C | Perpetual-Premium | 2.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 24.50 Evaluated at bid price : 24.75 Bid-YTW : 5.90 % |
| GWO.PR.G | Deemed-Retractible | 2.52 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.75 Bid-YTW : 6.63 % |
| CM.PR.O | FixedReset | 2.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.56 % |
| MFC.PR.L | FixedReset | 2.53 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.19 Bid-YTW : 9.18 % |
| TD.PR.T | FloatingReset | 2.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.80 Bid-YTW : 4.27 % |
| POW.PR.D | Perpetual-Discount | 2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.28 Evaluated at bid price : 21.55 Bid-YTW : 5.83 % |
| PWF.PR.L | Perpetual-Discount | 2.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.55 Evaluated at bid price : 21.81 Bid-YTW : 5.86 % |
| POW.PR.G | Perpetual-Discount | 2.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.67 Evaluated at bid price : 24.16 Bid-YTW : 5.82 % |
| GWO.PR.H | Deemed-Retractible | 2.68 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.42 Bid-YTW : 7.11 % |
| CIU.PR.C | FixedReset | 2.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 10.46 Evaluated at bid price : 10.46 Bid-YTW : 4.74 % |
| BAM.PF.D | Perpetual-Discount | 2.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 6.39 % |
| BAM.PF.C | Perpetual-Discount | 2.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 6.38 % |
| POW.PR.B | Perpetual-Discount | 2.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 5.85 % |
| GWO.PR.I | Deemed-Retractible | 2.88 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.39 Bid-YTW : 7.42 % |
| MFC.PR.K | FixedReset | 2.88 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.70 Bid-YTW : 9.46 % |
| BAM.PF.E | FixedReset | 2.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.86 % |
| HSE.PR.C | FixedReset | 2.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 13.45 Evaluated at bid price : 13.45 Bid-YTW : 7.37 % |
| BAM.PR.R | FixedReset | 2.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 13.43 Evaluated at bid price : 13.43 Bid-YTW : 5.47 % |
| BAM.PR.N | Perpetual-Discount | 2.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 18.99 Evaluated at bid price : 18.99 Bid-YTW : 6.33 % |
| MFC.PR.H | FixedReset | 2.94 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.25 Bid-YTW : 7.47 % |
| POW.PR.A | Perpetual-Discount | 3.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.74 Evaluated at bid price : 24.05 Bid-YTW : 5.86 % |
| TRP.PR.C | FixedReset | 3.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 11.00 Evaluated at bid price : 11.00 Bid-YTW : 4.81 % |
| BAM.PR.M | Perpetual-Discount | 3.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 18.96 Evaluated at bid price : 18.96 Bid-YTW : 6.34 % |
| BIP.PR.A | FixedReset | 3.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 6.25 % |
| GWO.PR.S | Deemed-Retractible | 3.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.59 Bid-YTW : 6.16 % |
| BMO.PR.T | FixedReset | 3.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.28 Evaluated at bid price : 17.28 Bid-YTW : 4.43 % |
| NA.PR.S | FixedReset | 3.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 16.82 Evaluated at bid price : 16.82 Bid-YTW : 4.71 % |
| BMO.PR.S | FixedReset | 3.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 4.52 % |
| TD.PF.A | FixedReset | 3.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.03 Evaluated at bid price : 17.03 Bid-YTW : 4.45 % |
| CU.PR.I | FixedReset | 3.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.27 Evaluated at bid price : 25.30 Bid-YTW : 4.38 % |
| IFC.PR.A | FixedReset | 3.27 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.56 Bid-YTW : 11.01 % |
| BAM.PF.G | FixedReset | 3.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.91 % |
| GWO.PR.R | Deemed-Retractible | 3.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.35 Bid-YTW : 7.10 % |
| BAM.PR.X | FixedReset | 3.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 12.75 Evaluated at bid price : 12.75 Bid-YTW : 5.02 % |
| GWO.PR.Q | Deemed-Retractible | 3.34 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.87 Bid-YTW : 6.50 % |
| RY.PR.P | Perpetual-Discount | 3.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.13 Evaluated at bid price : 23.55 Bid-YTW : 5.55 % |
| MFC.PR.M | FixedReset | 3.37 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.16 Bid-YTW : 8.57 % |
| MFC.PR.G | FixedReset | 3.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.68 Bid-YTW : 8.35 % |
| PWF.PR.P | FixedReset | 3.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 11.45 Evaluated at bid price : 11.45 Bid-YTW : 4.75 % |
| RY.PR.Z | FixedReset | 3.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.22 Evaluated at bid price : 17.22 Bid-YTW : 4.33 % |
| BAM.PR.T | FixedReset | 3.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 14.48 Evaluated at bid price : 14.48 Bid-YTW : 5.19 % |
| RY.PR.I | FixedReset | 3.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 5.11 % |
| GWO.PR.P | Deemed-Retractible | 3.58 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.01 Bid-YTW : 6.06 % |
| BNS.PR.Q | FixedReset | 3.60 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.74 Bid-YTW : 4.66 % |
| NA.PR.W | FixedReset | 3.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 4.66 % |
| TD.PF.B | FixedReset | 3.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.28 Evaluated at bid price : 17.28 Bid-YTW : 4.37 % |
| RY.PR.H | FixedReset | 3.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.36 % |
| TD.PR.S | FixedReset | 3.82 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.10 Bid-YTW : 4.13 % |
| MFC.PR.J | FixedReset | 3.83 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.34 Bid-YTW : 8.41 % |
| MFC.PR.C | Deemed-Retractible | 3.88 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.37 Bid-YTW : 7.46 % |
| MFC.PR.B | Deemed-Retractible | 3.91 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.74 Bid-YTW : 7.38 % |
| VNR.PR.A | FixedReset | 4.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 5.24 % |
| BAM.PR.E | Ratchet | 4.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 25.00 Evaluated at bid price : 12.85 Bid-YTW : 6.43 % |
| SLF.PR.G | FixedReset | 4.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.80 Bid-YTW : 10.80 % |
| BNS.PR.P | FixedReset | 4.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.70 Bid-YTW : 3.88 % |
| HSE.PR.G | FixedReset | 4.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 14.71 Evaluated at bid price : 14.71 Bid-YTW : 7.30 % |
| IFC.PR.C | FixedReset | 4.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.91 Bid-YTW : 9.45 % |
| SLF.PR.B | Deemed-Retractible | 4.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.56 Bid-YTW : 6.96 % |
| SLF.PR.E | Deemed-Retractible | 4.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.34 Bid-YTW : 7.46 % |
| SLF.PR.A | Deemed-Retractible | 4.43 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.43 Bid-YTW : 6.99 % |
| FTS.PR.M | FixedReset | 4.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 4.78 % |
| HSE.PR.A | FixedReset | 4.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 8.55 Evaluated at bid price : 8.55 Bid-YTW : 6.79 % |
| BMO.PR.W | FixedReset | 4.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 4.46 % |
| SLF.PR.D | Deemed-Retractible | 4.61 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.18 Bid-YTW : 7.51 % |
| SLF.PR.C | Deemed-Retractible | 4.62 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.38 Bid-YTW : 7.37 % |
| HSE.PR.E | FixedReset | 4.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 7.46 % |
| RY.PR.J | FixedReset | 4.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 4.65 % |
| RY.PR.M | FixedReset | 4.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.86 Evaluated at bid price : 17.86 Bid-YTW : 4.60 % |
| IAG.PR.G | FixedReset | 4.79 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.60 Bid-YTW : 7.62 % |
| TRP.PR.E | FixedReset | 4.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 4.78 % |
| GWO.PR.N | FixedReset | 4.98 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.23 Bid-YTW : 11.28 % |
| TRP.PR.F | FloatingReset | 5.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 11.50 Evaluated at bid price : 11.50 Bid-YTW : 4.89 % |
| TD.PF.D | FixedReset | 5.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.60 % |
| TD.PF.E | FixedReset | 5.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 4.48 % |
| FTS.PR.K | FixedReset | 5.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 4.59 % |
| CM.PR.P | FixedReset | 5.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 4.45 % |
| FTS.PR.G | FixedReset | 5.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 15.17 Evaluated at bid price : 15.17 Bid-YTW : 4.80 % |
| SLF.PR.I | FixedReset | 5.57 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.68 Bid-YTW : 8.92 % |
| SLF.PR.J | FloatingReset | 5.81 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.01 Bid-YTW : 10.96 % |
| MFC.PR.N | FixedReset | 5.92 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.00 Bid-YTW : 8.63 % |
| BMO.PR.Y | FixedReset | 6.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 19.08 Evaluated at bid price : 19.08 Bid-YTW : 4.53 % |
| CU.PR.C | FixedReset | 6.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 16.86 Evaluated at bid price : 16.86 Bid-YTW : 4.57 % |
| TRP.PR.G | FixedReset | 6.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 5.03 % |
| CM.PR.Q | FixedReset | 6.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 18.77 Evaluated at bid price : 18.77 Bid-YTW : 4.57 % |
| GWO.PR.O | FloatingReset | 6.67 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.00 Bid-YTW : 10.81 % |
| BNS.PR.D | FloatingReset | 6.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.61 Bid-YTW : 6.46 % |
| TRP.PR.D | FixedReset | 7.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 16.11 Evaluated at bid price : 16.11 Bid-YTW : 4.88 % |
| BAM.PF.F | FixedReset | 7.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 4.72 % |
| PWF.PR.T | FixedReset | 7.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 3.90 % |
| TRP.PR.A | FixedReset | 11.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 4.78 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| NA.PR.X | FixedReset | 796,852 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.09 Evaluated at bid price : 24.84 Bid-YTW : 5.48 % |
| TD.PF.G | FixedReset | 80,725 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 23.25 Evaluated at bid price : 25.34 Bid-YTW : 5.15 % |
| HSE.PR.G | FixedReset | 75,810 | RBC crossed 60,151 at 14.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 14.71 Evaluated at bid price : 14.71 Bid-YTW : 7.30 % |
| SLF.PR.H | FixedReset | 55,810 | RBC crossed 19,000 at 13.85 and bought 11,000 from TD at 14.20. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.80 Bid-YTW : 10.79 % |
| TRP.PR.B | FixedReset | 53,570 | TD crossed 31,000 at 9.65. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 9.52 Evaluated at bid price : 9.52 Bid-YTW : 5.09 % |
| CU.PR.H | Perpetual-Discount | 49,831 | TD bought blocks of 10,000 shares, 20,000 and 16,300 from National, all at 22.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-01-22 Maturity Price : 21.98 Evaluated at bid price : 22.26 Bid-YTW : 5.98 % |
| There were 64 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CM.PR.Q | FixedReset | Quote: 18.77 – 22.00 Spot Rate : 3.2300 Average : 1.9632 YTW SCENARIO |
| BAM.PF.A | FixedReset | Quote: 17.95 – 19.24 Spot Rate : 1.2900 Average : 0.8267 YTW SCENARIO |
| PWF.PR.S | Perpetual-Discount | Quote: 20.05 – 21.23 Spot Rate : 1.1800 Average : 0.7578 YTW SCENARIO |
| BAM.PF.B | FixedReset | Quote: 17.15 – 18.39 Spot Rate : 1.2400 Average : 0.8353 YTW SCENARIO |
| RY.PR.K | FloatingReset | Quote: 20.86 – 21.95 Spot Rate : 1.0900 Average : 0.7619 YTW SCENARIO |
| PVS.PR.B | SplitShare | Quote: 23.15 – 23.88 Spot Rate : 0.7300 Average : 0.4479 YTW SCENARIO |