Click for Big
TXPR closed at 623.12, down 0.89% on the day. Volume was a staggering 5.02-million, by far the highest of the past thirty days.
CPD closed at 12.45, down 1.11% on the day. Volume of 144,771 was more or less average in the context of the past thirty days.
ZPR closed at 10.10, down 0.98% on the day. Volume of 180,470 was average in the context of the past thirty days.
Something of this size is almost definitely a big player shifting position, and it looks like a reasonably well executed take-down, provided you ignore the fact that doing it all in one day cost them good money. TXPR was actually up a little on the day until 1:05, when a wave of selling took it down 40bp in a span of 15 minutes. It was then stable until 2:45pm, when another wave took it down 51bp in 20 minutes; it was then fairly stable through the close with no MOC orders.
Click for BigThe first wave, I’d guess, had the purpose of attracting buyers, who were able to satiate their appetites in the second wave.
It doesn’t look like this was in reaction to sudden changes in the five-year Canada yield, which was up 2bp to 1.84% today.
PerpetualDiscounts now yield 5.72%, equivalent to 7.44% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 350bp, a significant widening from the 340bp reported February 6.
| 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 | 0.1331 % | 2,234.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1331 % | 4,099.6 |
| Floater | 5.25 % | 5.45 % | 30,016 | 14.70 | 4 | 0.1331 % | 2,362.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1246 % | 3,232.8 |
| SplitShare | 4.89 % | 4.93 % | 59,836 | 3.95 | 8 | 0.1246 % | 3,860.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1246 % | 3,012.2 |
| Perpetual-Premium | 5.86 % | -0.02 % | 85,692 | 0.08 | 4 | -0.0794 % | 2,887.7 |
| Perpetual-Discount | 5.58 % | 5.72 % | 74,278 | 14.29 | 31 | -0.3412 % | 2,980.9 |
| FixedReset Disc | 5.18 % | 5.48 % | 213,762 | 14.69 | 65 | -1.7059 % | 2,189.6 |
| Deemed-Retractible | 5.35 % | 6.23 % | 97,609 | 8.14 | 27 | -0.1323 % | 2,968.5 |
| FloatingReset | 4.35 % | 5.62 % | 58,913 | 8.45 | 6 | -0.2064 % | 2,424.8 |
| FixedReset Prem | 5.15 % | 4.25 % | 309,800 | 2.28 | 18 | -0.1265 % | 2,527.4 |
| FixedReset Bank Non | 2.79 % | 4.22 % | 156,863 | 2.84 | 5 | -0.1572 % | 2,597.1 |
| FixedReset Ins Non | 5.05 % | 6.99 % | 131,727 | 8.23 | 22 | -0.7318 % | 2,203.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.E | FixedReset Disc | -5.40 % | A reasonable quote. The issue traded 30,015 shares in a range of 19.77-21.08 (closing at 19.80) and was quoted at 19.80-86.
YTW SCENARIO |
| HSE.PR.G | FixedReset Disc | -5.09 % | Another reasonable quote. The issue traded 4,241 shares in a range of 19.75-20.80 (closing at 19.75) before being quoted at 19.75-06.
YTW SCENARIO |
| HSE.PR.A | FixedReset Disc | -4.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 13.15 Evaluated at bid price : 13.15 Bid-YTW : 6.50 % |
| NA.PR.G | FixedReset Disc | -3.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 21.32 Evaluated at bid price : 21.60 Bid-YTW : 5.42 % |
| HSE.PR.C | FixedReset Disc | -3.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 6.62 % |
| CM.PR.P | FixedReset Disc | -3.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 5.55 % |
| TD.PF.J | FixedReset Disc | -3.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 21.39 Evaluated at bid price : 21.71 Bid-YTW : 5.25 % |
| RY.PR.J | FixedReset Disc | -2.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 5.41 % |
| PWF.PR.P | FixedReset Disc | -2.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 13.85 Evaluated at bid price : 13.85 Bid-YTW : 5.95 % |
| NA.PR.W | FixedReset Disc | -2.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 5.80 % |
| BMO.PR.D | FixedReset Disc | -2.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 22.25 Evaluated at bid price : 22.78 Bid-YTW : 5.31 % |
| TD.PF.C | FixedReset Disc | -2.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 18.89 Evaluated at bid price : 18.89 Bid-YTW : 5.38 % |
| BAM.PR.Z | FixedReset Disc | -2.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 20.89 Evaluated at bid price : 20.89 Bid-YTW : 5.76 % |
| CM.PR.Q | FixedReset Disc | -2.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 20.72 Evaluated at bid price : 20.72 Bid-YTW : 5.46 % |
| TD.PF.B | FixedReset Disc | -2.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.39 % |
| BNS.PR.I | FixedReset Disc | -2.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 21.90 Evaluated at bid price : 22.38 Bid-YTW : 4.93 % |
| BIP.PR.D | FixedReset Disc | -2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 21.92 Evaluated at bid price : 22.24 Bid-YTW : 6.22 % |
| NA.PR.S | FixedReset Disc | -2.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 18.36 Evaluated at bid price : 18.36 Bid-YTW : 5.75 % |
| BAM.PR.M | Perpetual-Discount | -2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.89 % |
| TD.PF.A | FixedReset Disc | -2.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 18.93 Evaluated at bid price : 18.93 Bid-YTW : 5.37 % |
| CM.PR.S | FixedReset Disc | -2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 5.40 % |
| MFC.PR.I | FixedReset Ins Non | -2.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.55 Bid-YTW : 7.01 % |
| BAM.PR.N | Perpetual-Discount | -2.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 20.58 Evaluated at bid price : 20.58 Bid-YTW : 5.86 % |
| NA.PR.C | FixedReset Disc | -2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 21.99 Evaluated at bid price : 22.41 Bid-YTW : 5.65 % |
| MFC.PR.N | FixedReset Ins Non | -2.35 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.31 Bid-YTW : 7.86 % |
| CM.PR.O | FixedReset Disc | -2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 5.51 % |
| BMO.PR.W | FixedReset Disc | -2.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 5.41 % |
| RY.PR.H | FixedReset Disc | -2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 19.17 Evaluated at bid price : 19.17 Bid-YTW : 5.30 % |
| IAF.PR.I | FixedReset Ins Non | -2.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.83 Bid-YTW : 6.97 % |
| BMO.PR.T | FixedReset Disc | -1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.41 % |
| MFC.PR.M | FixedReset Ins Non | -1.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.65 Bid-YTW : 7.73 % |
| BIP.PR.A | FixedReset Disc | -1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 20.69 Evaluated at bid price : 20.69 Bid-YTW : 6.48 % |
| TD.PF.D | FixedReset Disc | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 5.38 % |
| BAM.PF.D | Perpetual-Discount | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 21.75 Evaluated at bid price : 21.75 Bid-YTW : 5.72 % |
| CM.PR.R | FixedReset Disc | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 22.46 Evaluated at bid price : 23.12 Bid-YTW : 5.42 % |
| RY.PR.Z | FixedReset Disc | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 19.17 Evaluated at bid price : 19.17 Bid-YTW : 5.24 % |
| BMO.PR.Y | FixedReset Disc | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 5.30 % |
| TD.PF.I | FixedReset Disc | -1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 22.31 Evaluated at bid price : 22.90 Bid-YTW : 5.18 % |
| BAM.PF.C | Perpetual-Discount | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.78 % |
| TD.PF.E | FixedReset Disc | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.41 % |
| TRP.PR.D | FixedReset Disc | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 5.87 % |
| TRP.PR.A | FixedReset Disc | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 15.83 Evaluated at bid price : 15.83 Bid-YTW : 5.92 % |
| BMO.PR.C | FixedReset Disc | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 22.75 Evaluated at bid price : 23.61 Bid-YTW : 5.27 % |
| MFC.PR.L | FixedReset Ins Non | -1.59 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.91 Bid-YTW : 8.01 % |
| BAM.PF.B | FixedReset Disc | -1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 5.86 % |
| BIP.PR.F | FixedReset Disc | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 21.53 Evaluated at bid price : 21.85 Bid-YTW : 5.91 % |
| BMO.PR.S | FixedReset Disc | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 5.39 % |
| TD.PF.K | FixedReset Disc | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 21.32 Evaluated at bid price : 21.60 Bid-YTW : 5.21 % |
| MFC.PR.H | FixedReset Ins Non | -1.43 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.01 Bid-YTW : 6.37 % |
| CU.PR.C | FixedReset Disc | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 5.41 % |
| RY.PR.M | FixedReset Disc | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 5.36 % |
| MFC.PR.G | FixedReset Ins Non | -1.35 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.40 Bid-YTW : 6.99 % |
| SLF.PR.B | Deemed-Retractible | -1.34 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.41 Bid-YTW : 6.79 % |
| BAM.PF.E | FixedReset Disc | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 5.89 % |
| BMO.PR.E | FixedReset Disc | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 22.11 Evaluated at bid price : 22.70 Bid-YTW : 5.02 % |
| PWF.PR.S | Perpetual-Discount | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 5.70 % |
| BAM.PF.F | FixedReset Disc | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 5.94 % |
| MFC.PR.J | FixedReset Ins Non | -1.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 6.77 % |
| TRP.PR.G | FixedReset Disc | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 5.93 % |
| PWF.PR.L | Perpetual-Discount | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 22.11 Evaluated at bid price : 22.33 Bid-YTW : 5.75 % |
| MFC.PR.F | FixedReset Ins Non | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.30 Bid-YTW : 9.31 % |
| RY.PR.S | FixedReset Disc | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 21.65 Evaluated at bid price : 22.02 Bid-YTW : 4.93 % |
| SLF.PR.G | FixedReset Ins Non | -1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.60 Bid-YTW : 9.25 % |
| TRP.PR.C | FixedReset Disc | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 13.66 Evaluated at bid price : 13.66 Bid-YTW : 5.92 % |
| CU.PR.E | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 22.02 Evaluated at bid price : 22.02 Bid-YTW : 5.58 % |
| BAM.PR.C | Floater | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 12.86 Evaluated at bid price : 12.86 Bid-YTW : 5.45 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.C | FixedReset Disc | 259,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 22.75 Evaluated at bid price : 23.61 Bid-YTW : 5.27 % |
| CM.PR.T | FixedReset Disc | 174,132 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 23.20 Evaluated at bid price : 25.16 Bid-YTW : 5.04 % |
| CM.PR.R | FixedReset Disc | 150,630 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 22.46 Evaluated at bid price : 23.12 Bid-YTW : 5.42 % |
| CU.PR.G | Perpetual-Discount | 114,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 5.65 % |
| NA.PR.C | FixedReset Disc | 85,080 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 21.99 Evaluated at bid price : 22.41 Bid-YTW : 5.65 % |
| CU.PR.C | FixedReset Disc | 77,220 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-02-13 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 5.41 % |
| There were 99 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TD.PF.J | FixedReset Disc | Quote: 21.71 – 22.43 Spot Rate : 0.7200 Average : 0.4428 YTW SCENARIO |
| IAF.PR.I | FixedReset Ins Non | Quote: 20.83 – 21.41 Spot Rate : 0.5800 Average : 0.3487 YTW SCENARIO |
| BAM.PR.Z | FixedReset Disc | Quote: 20.89 – 21.40 Spot Rate : 0.5100 Average : 0.2978 YTW SCENARIO |
| PVS.PR.F | SplitShare | Quote: 25.10 – 25.59 Spot Rate : 0.4900 Average : 0.2799 YTW SCENARIO |
| BAM.PR.M | Perpetual-Discount | Quote: 20.50 – 21.25 Spot Rate : 0.7500 Average : 0.5405 YTW SCENARIO |
| BIP.PR.D | FixedReset Disc | Quote: 22.24 – 22.78 Spot Rate : 0.5400 Average : 0.3409 YTW SCENARIO |
Fixed resets might not ratchet higher. The purge at some cost for the last two days. It was a good day to be on the buy side w/ a longer term perspective. (imho).
[…] GOC-5 hit 1.84% today; we highesta in the BOC’s weekly series since 2019-2-13. […]