Equities got creamed today:
Stocks have fallen for 13 of the past 15 trading days, including a 3.3 percent drop on Oct. 10 that was the market’s worst fall in eight months. The S.&P. 500 is now down more than 0.6 percent for the year.
…
The S.&P. 500 communications services sector — which includes tech giants like Google and Facebook — led the broad market lower.
- •The tech-heavy Nasdaq composite index dropped more than 4.4 percent, as shares in the tech heavyweights Amazon, Microsoft and Facebook all fell more than 5 percent.
- •Netflix stock fell more than 9 percent, after media reports said that Apple planned to announce a subscription television service that would go head-to-head with Amazon and Netflix.
- •Homebuilding stocks slumped again. The S.&P. 500 homebuilding index dropped 3 percent after new economic data showed home sales slumped for the fourth straight month. The sector has been battered this year, falling more than 36 percent, as rising mortgage rates showed signs of slowing the sector.
TXPR touched a new 52-week low today, just like yesterday. Note that that’s the price index being referred to, which does not account for the value of dividends received. CPD volume returned to high-ish, but reasonably normal levels.
PerpetualDiscounts now yield 5.76%, equivalent to 7.49% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.15%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 335bp, a significant widening from the 325bp reported October 17.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | 0.0152 % | 3,100.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0152 % | 5,689.7 |
| Floater | 3.51 % | 3.73 % | 41,428 | 18.01 | 4 | 0.0152 % | 3,279.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1269 % | 3,223.8 |
| SplitShare | 4.62 % | 4.85 % | 49,617 | 4.70 | 5 | -0.1269 % | 3,849.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1269 % | 3,003.8 |
| Perpetual-Premium | 5.66 % | 5.30 % | 79,001 | 14.02 | 12 | 0.0128 % | 2,895.9 |
| Perpetual-Discount | 5.63 % | 5.76 % | 76,907 | 14.27 | 21 | -0.1380 % | 2,917.6 |
| FixedReset Disc | 4.26 % | 5.17 % | 148,443 | 15.31 | 45 | -0.3978 % | 2,557.3 |
| Deemed-Retractible | 5.37 % | 6.78 % | 67,431 | 5.23 | 27 | -0.0458 % | 2,890.1 |
| FloatingReset | 3.68 % | 3.83 % | 44,592 | 5.51 | 4 | -0.3034 % | 2,827.0 |
| FixedReset Prem | 4.90 % | 4.29 % | 254,520 | 3.05 | 34 | -0.0696 % | 2,557.4 |
| FixedReset Bank Non | 3.12 % | 3.30 % | 85,864 | 0.33 | 8 | 0.0541 % | 2,579.1 |
| FixedReset Ins Non | 4.47 % | 5.82 % | 118,302 | 5.34 | 22 | -0.2752 % | 2,508.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.E | FixedReset Disc | -2.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-24 Maturity Price : 21.68 Evaluated at bid price : 22.10 Bid-YTW : 5.33 % |
| TRP.PR.G | FixedReset Disc | -2.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-24 Maturity Price : 23.36 Evaluated at bid price : 23.68 Bid-YTW : 5.51 % |
| GWO.PR.L | Deemed-Retractible | -2.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.61 Bid-YTW : 6.07 % |
| TRP.PR.D | FixedReset Disc | -1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-24 Maturity Price : 21.62 Evaluated at bid price : 22.00 Bid-YTW : 5.41 % |
| BAM.PF.J | FixedReset Prem | -1.75 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.76 Bid-YTW : 5.12 % |
| TRP.PR.B | FixedReset Disc | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-24 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 5.24 % |
| IFC.PR.A | FixedReset Ins Non | -1.62 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.99 Bid-YTW : 7.77 % |
| GWO.PR.T | Deemed-Retractible | -1.44 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 7.19 % |
| BAM.PR.X | FixedReset Disc | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-24 Maturity Price : 18.54 Evaluated at bid price : 18.54 Bid-YTW : 5.29 % |
| PWF.PR.P | FixedReset Disc | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-24 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 5.04 % |
| MFC.PR.F | FixedReset Ins Non | -1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.47 Bid-YTW : 9.63 % |
| PWF.PR.L | Perpetual-Discount | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-24 Maturity Price : 21.88 Evaluated at bid price : 22.12 Bid-YTW : 5.78 % |
| MFC.PR.M | FixedReset Ins Non | -1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.37 Bid-YTW : 6.79 % |
| RY.PR.O | Perpetual-Discount | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-24 Maturity Price : 23.35 Evaluated at bid price : 23.73 Bid-YTW : 5.14 % |
| PWF.PR.Q | FloatingReset | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-24 Maturity Price : 21.27 Evaluated at bid price : 21.27 Bid-YTW : 3.83 % |
| SLF.PR.H | FixedReset Ins Non | -1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.82 Bid-YTW : 7.14 % |
| MFC.PR.N | FixedReset Ins Non | -1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.12 Bid-YTW : 6.89 % |
| CU.PR.C | FixedReset Disc | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-24 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 5.38 % |
| TRP.PR.C | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-24 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 5.34 % |
| IFC.PR.F | Deemed-Retractible | 1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.49 Bid-YTW : 6.60 % |
| MFC.PR.G | FixedReset Ins Non | 1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.85 Bid-YTW : 5.54 % |
| HSE.PR.E | FixedReset Prem | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-24 Maturity Price : 24.09 Evaluated at bid price : 24.46 Bid-YTW : 5.99 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.C | FixedReset Prem | 132,650 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.43 Bid-YTW : 4.22 % |
| BAM.PF.B | FixedReset Disc | 85,550 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-24 Maturity Price : 22.52 Evaluated at bid price : 23.50 Bid-YTW : 5.31 % |
| TRP.PR.K | FixedReset Prem | 75,346 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 4.18 % |
| SLF.PR.A | Deemed-Retractible | 74,720 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.01 Bid-YTW : 8.16 % |
| CM.PR.R | FixedReset Prem | 74,258 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.11 Bid-YTW : 4.28 % |
| RY.PR.I | FixedReset Bank Non | 73,700 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 2.64 % |
| There were 40 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.G | FixedReset Disc | Quote: 23.68 – 24.26 Spot Rate : 0.5800 Average : 0.3848 YTW SCENARIO |
| GWO.PR.L | Deemed-Retractible | Quote: 24.61 – 25.16 Spot Rate : 0.5500 Average : 0.3675 YTW SCENARIO |
| RY.PR.O | Perpetual-Discount | Quote: 23.73 – 24.19 Spot Rate : 0.4600 Average : 0.2929 YTW SCENARIO |
| TRP.PR.E | FixedReset Disc | Quote: 22.10 – 22.55 Spot Rate : 0.4500 Average : 0.2904 YTW SCENARIO |
| TD.PF.G | FixedReset Prem | Quote: 25.76 – 26.08 Spot Rate : 0.3200 Average : 0.1812 YTW SCENARIO |
| TD.PF.A | FixedReset Disc | Quote: 22.76 – 23.20 Spot Rate : 0.4400 Average : 0.3048 YTW SCENARIO |