Weakness since the BoC rate announcement on January 22 is continuing, with new chatter that global tourism will take a hit. Looks like all the speculators have decided that all yields are going to and through zero with familiar, but still perplexing, effects on FixedReset prices … the TXPR price index is now negative on the month, although the total return value is still barely positive.
The alarm is well-illustrated by Robert McLister in the Globe:
The Wuhan coronavirus, which at last count has killed more than 80 people and infected more than 2,800 in China, is about to make fixed mortgage rates cheaper for Canadians.
The new coronavirus is spreading fear throughout financial markets, conjuring memories of the 2003 SARS epidemic that killed 774 and knocked at least one-10th of a percentage point off Canada’s GDP.
The present contagion creates yet another risk for Canada’s economy. Investors worry it’ll disrupt Asian trade and hurt confidence, spending and oil prices. That would create deflationary pressure, and inflation expectations are the No. 1 driver of interest rates.
The timing for a potential pandemic is never good, but this news is particularly ill-timed. It comes as fears of an economic slowdown intensified after last Wednesday’s somewhat gloomy Bank of Canada statement.
| 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 | -3.2794 % | 2,061.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -3.2794 % | 3,783.3 |
| Floater | 5.93 % | 6.06 % | 48,158 | 13.80 | 4 | -3.2794 % | 2,180.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0195 % | 3,457.4 |
| SplitShare | 4.76 % | 4.50 % | 34,810 | 3.71 | 6 | -0.0195 % | 4,128.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0195 % | 3,221.5 |
| Perpetual-Premium | 5.58 % | 0.61 % | 59,657 | 0.09 | 11 | -0.0036 % | 3,061.2 |
| Perpetual-Discount | 5.25 % | 5.33 % | 69,036 | 14.89 | 24 | -0.1983 % | 3,312.8 |
| FixedReset Disc | 5.50 % | 5.38 % | 196,949 | 14.81 | 64 | -0.7193 % | 2,171.7 |
| Deemed-Retractible | 5.14 % | 5.23 % | 66,440 | 14.86 | 27 | 0.0124 % | 3,255.6 |
| FloatingReset | 6.05 % | 5.93 % | 68,120 | 14.00 | 3 | -1.0457 % | 2,521.5 |
| FixedReset Prem | 5.09 % | 3.54 % | 129,678 | 1.49 | 22 | 0.0730 % | 2,647.5 |
| FixedReset Bank Non | 1.94 % | 3.70 % | 66,695 | 1.96 | 3 | -0.0953 % | 2,737.8 |
| FixedReset Ins Non | 5.35 % | 5.38 % | 125,476 | 14.79 | 22 | -0.9383 % | 2,191.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.B | Floater | -5.44 % | The closing quote was 11.30-60; not completely ridiculous because the closing price was 11.53, down 4% (close/close) on good volume for this issue of 26,715. But still, a pretty suspicious closing bid.
YTW SCENARIO |
| TRP.PR.C | FixedReset Disc | -3.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 12.06 Evaluated at bid price : 12.06 Bid-YTW : 5.92 % |
| BAM.PR.K | Floater | -3.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 11.55 Evaluated at bid price : 11.55 Bid-YTW : 6.06 % |
| BAM.PR.C | Floater | -3.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 11.49 Evaluated at bid price : 11.49 Bid-YTW : 6.09 % |
| SLF.PR.G | FixedReset Ins Non | -3.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 12.82 Evaluated at bid price : 12.82 Bid-YTW : 5.39 % |
| TRP.PR.B | FixedReset Disc | -2.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 11.22 Evaluated at bid price : 11.22 Bid-YTW : 5.87 % |
| TRP.PR.E | FixedReset Disc | -2.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 16.02 Evaluated at bid price : 16.02 Bid-YTW : 5.82 % |
| PWF.PR.P | FixedReset Disc | -2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 13.22 Evaluated at bid price : 13.22 Bid-YTW : 5.51 % |
| GWO.PR.N | FixedReset Ins Non | -2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 13.36 Evaluated at bid price : 13.36 Bid-YTW : 4.93 % |
| TD.PF.E | FixedReset Disc | -1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 19.53 Evaluated at bid price : 19.53 Bid-YTW : 5.39 % |
| TRP.PR.D | FixedReset Disc | -1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 16.44 Evaluated at bid price : 16.44 Bid-YTW : 5.75 % |
| SLF.PR.I | FixedReset Ins Non | -1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 18.91 Evaluated at bid price : 18.91 Bid-YTW : 5.39 % |
| HSE.PR.A | FixedReset Disc | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 11.41 Evaluated at bid price : 11.41 Bid-YTW : 6.69 % |
| IAF.PR.G | FixedReset Ins Non | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 19.07 Evaluated at bid price : 19.07 Bid-YTW : 5.47 % |
| CM.PR.Q | FixedReset Disc | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 18.68 Evaluated at bid price : 18.68 Bid-YTW : 5.52 % |
| MFC.PR.K | FixedReset Ins Non | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 5.32 % |
| IFC.PR.A | FixedReset Ins Non | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 14.43 Evaluated at bid price : 14.43 Bid-YTW : 5.45 % |
| SLF.PR.J | FloatingReset | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 13.03 Evaluated at bid price : 13.03 Bid-YTW : 5.92 % |
| TRP.PR.G | FixedReset Disc | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 5.87 % |
| PWF.PR.S | Perpetual-Discount | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 22.20 Evaluated at bid price : 22.50 Bid-YTW : 5.35 % |
| TD.PF.I | FixedReset Disc | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 20.88 Evaluated at bid price : 20.88 Bid-YTW : 5.26 % |
| BAM.PF.G | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 5.68 % |
| HSE.PR.G | FixedReset Disc | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 18.49 Evaluated at bid price : 18.49 Bid-YTW : 6.64 % |
| CM.PR.O | FixedReset Disc | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 5.47 % |
| BAM.PF.E | FixedReset Disc | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 5.76 % |
| TRP.PR.F | FloatingReset | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 13.95 Evaluated at bid price : 13.95 Bid-YTW : 6.46 % |
| MFC.PR.Q | FixedReset Ins Non | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 19.26 Evaluated at bid price : 19.26 Bid-YTW : 5.32 % |
| PWF.PR.A | Floater | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 12.26 Evaluated at bid price : 12.26 Bid-YTW : 5.64 % |
| PWF.PR.Z | Perpetual-Discount | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 23.48 Evaluated at bid price : 23.86 Bid-YTW : 5.41 % |
| MFC.PR.F | FixedReset Ins Non | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 12.70 Evaluated at bid price : 12.70 Bid-YTW : 5.38 % |
| MFC.PR.H | FixedReset Ins Non | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.39 % |
| BAM.PR.R | FixedReset Disc | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 15.64 Evaluated at bid price : 15.64 Bid-YTW : 5.79 % |
| MFC.PR.N | FixedReset Ins Non | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 17.02 Evaluated at bid price : 17.02 Bid-YTW : 5.41 % |
| TD.PF.K | FixedReset Disc | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.23 % |
| IAF.PR.B | Deemed-Retractible | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 22.10 Evaluated at bid price : 22.38 Bid-YTW : 5.18 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PR.K | Floater | 52,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 11.55 Evaluated at bid price : 11.55 Bid-YTW : 6.06 % |
| BIP.PR.C | FixedReset Prem | 46,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.87 % |
| RY.PR.H | FixedReset Disc | 43,350 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 17.86 Evaluated at bid price : 17.86 Bid-YTW : 5.05 % |
| CM.PR.O | FixedReset Disc | 42,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 5.47 % |
| BAM.PF.A | FixedReset Disc | 39,550 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 20.41 Evaluated at bid price : 20.41 Bid-YTW : 5.46 % |
| TD.PF.M | FixedReset Disc | 28,828 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-27 Maturity Price : 22.98 Evaluated at bid price : 24.41 Bid-YTW : 5.00 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| NA.PR.G | FixedReset Disc | Quote: 19.72 – 20.18 Spot Rate : 0.4600 Average : 0.3068 YTW SCENARIO |
| BNS.PR.I | FixedReset Disc | Quote: 20.04 – 20.51 Spot Rate : 0.4700 Average : 0.3281 YTW SCENARIO |
| ELF.PR.G | Perpetual-Discount | Quote: 22.06 – 22.53 Spot Rate : 0.4700 Average : 0.3628 YTW SCENARIO |
| SLF.PR.I | FixedReset Ins Non | Quote: 18.91 – 19.25 Spot Rate : 0.3400 Average : 0.2360 YTW SCENARIO |
| CM.PR.Y | FixedReset Disc | Quote: 24.36 – 24.70 Spot Rate : 0.3400 Average : 0.2363 YTW SCENARIO |
| CM.PR.Q | FixedReset Disc | Quote: 18.68 – 18.98 Spot Rate : 0.3000 Average : 0.1975 YTW SCENARIO |