Attack of the corona virus … Day 2:
A day after its worst one-day slide in two years, the S&P 500 closed down 3 percent on Tuesday, a decline that put the index deeper in the red for 2020.
…
Investors moved into the safety of government bonds, pushing their prices up and yields down. The yield on the 10-year Treasury note closed at a record low of 1.335 percent and the 30-year bond also dropped to a record of 1.81 percent — two signals that investors expect growth in the United States to slow.
…
In comments on Tuesday, [Federal Reserve] Vice Chairman Richard H. Clarida signaled that Fed was not yet ready to act, though it is monitoring economic developments related to the virus.But in recent days, the market-based probability — derived from prices in the Fed funds futures market — of a rate cut at the Fed’s April meeting jumped to over 60 percent, according to data from CME. Last Wednesday, when markets were at record highs, the market was putting odds of a cut at the April meeting at less than 25 percent.
TXPR closed at 607.70, down 0.70% on the day. Volume was 1.83-million, about average in the context of the past thirty days.
CPD closed at 12.13, down 0.82% on the day. Volume of 109,537 was the fourth-highest of the past 30 days.
ZPR closed at 9.72, down 1.32% on the day. Volume of 301,864 was fifth-highest of the past 30 days.
Five-year Canada yields were unchanged at 1.22% today.
So … players are still using preferred shares to speculate on interest rates. Damned if I understand it.
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 | -1.2947 % | 1,990.1 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.2947 % | 3,651.8 |
Floater | 6.15 % | 6.40 % | 52,791 | 13.25 | 4 | -1.2947 % | 2,104.6 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2215 % | 3,483.4 |
SplitShare | 4.78 % | 4.28 % | 45,919 | 4.12 | 6 | -0.2215 % | 4,159.9 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2215 % | 3,245.7 |
Perpetual-Premium | 5.55 % | 1.13 % | 59,905 | 0.09 | 12 | -0.0460 % | 3,067.5 |
Perpetual-Discount | 5.19 % | 5.27 % | 67,777 | 15.01 | 24 | -0.1166 % | 3,368.0 |
FixedReset Disc | 5.63 % | 5.40 % | 173,953 | 14.72 | 64 | -1.4369 % | 2,128.1 |
Deemed-Retractible | 5.11 % | 5.22 % | 74,848 | 14.85 | 27 | -0.2404 % | 3,275.3 |
FloatingReset | 6.23 % | 6.22 % | 59,543 | 13.57 | 3 | -2.1436 % | 2,432.9 |
FixedReset Prem | 5.08 % | 3.62 % | 128,758 | 1.41 | 22 | -0.0053 % | 2,660.3 |
FixedReset Bank Non | 1.93 % | 3.45 % | 88,314 | 1.88 | 3 | 0.1088 % | 2,750.2 |
FixedReset Ins Non | 5.50 % | 5.36 % | 104,988 | 14.79 | 22 | -1.8015 % | 2,150.7 |
Performance Highlights | |||
Issue | Index | Change | Notes |
TRP.PR.B | FixedReset Disc | -4.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 10.80 Evaluated at bid price : 10.80 Bid-YTW : 5.88 % |
TRP.PR.F | FloatingReset | -4.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 13.51 Evaluated at bid price : 13.51 Bid-YTW : 6.67 % |
HSE.PR.E | FixedReset Disc | -4.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.79 % |
BAM.PF.E | FixedReset Disc | -4.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 15.89 Evaluated at bid price : 15.89 Bid-YTW : 6.04 % |
TRP.PR.E | FixedReset Disc | -3.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 5.78 % |
TRP.PR.C | FixedReset Disc | -3.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 11.47 Evaluated at bid price : 11.47 Bid-YTW : 6.03 % |
HSE.PR.A | FixedReset Disc | -3.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 10.75 Evaluated at bid price : 10.75 Bid-YTW : 6.90 % |
TRP.PR.D | FixedReset Disc | -3.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.81 % |
TRP.PR.A | FixedReset Disc | -3.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 5.78 % |
SLF.PR.H | FixedReset Ins Non | -2.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 15.69 Evaluated at bid price : 15.69 Bid-YTW : 5.41 % |
IFC.PR.C | FixedReset Ins Non | -2.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 5.64 % |
TD.PF.D | FixedReset Disc | -2.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 5.37 % |
BAM.PR.C | Floater | -2.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 10.80 Evaluated at bid price : 10.80 Bid-YTW : 6.52 % |
IFC.PR.G | FixedReset Ins Non | -2.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 18.52 Evaluated at bid price : 18.52 Bid-YTW : 5.49 % |
CM.PR.Q | FixedReset Disc | -2.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 18.16 Evaluated at bid price : 18.16 Bid-YTW : 5.57 % |
HSE.PR.G | FixedReset Disc | -2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 6.60 % |
MFC.PR.I | FixedReset Ins Non | -2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 18.77 Evaluated at bid price : 18.77 Bid-YTW : 5.50 % |
CU.PR.C | FixedReset Disc | -2.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 16.60 Evaluated at bid price : 16.60 Bid-YTW : 5.44 % |
MFC.PR.H | FixedReset Ins Non | -2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 5.40 % |
MFC.PR.M | FixedReset Ins Non | -2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 17.27 Evaluated at bid price : 17.27 Bid-YTW : 5.28 % |
RY.PR.M | FixedReset Disc | -2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 5.33 % |
TRP.PR.G | FixedReset Disc | -2.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 5.78 % |
MFC.PR.F | FixedReset Ins Non | -2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 12.06 Evaluated at bid price : 12.06 Bid-YTW : 5.40 % |
BMO.PR.Y | FixedReset Disc | -2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 18.31 Evaluated at bid price : 18.31 Bid-YTW : 5.40 % |
MFC.PR.N | FixedReset Ins Non | -2.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 16.47 Evaluated at bid price : 16.47 Bid-YTW : 5.36 % |
MFC.PR.R | FixedReset Ins Non | -2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 23.43 Evaluated at bid price : 23.75 Bid-YTW : 5.29 % |
PWF.PR.P | FixedReset Disc | -2.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 12.84 Evaluated at bid price : 12.84 Bid-YTW : 5.50 % |
SLF.PR.G | FixedReset Ins Non | -2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 12.51 Evaluated at bid price : 12.51 Bid-YTW : 5.33 % |
MFC.PR.K | FixedReset Ins Non | -2.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 17.28 Evaluated at bid price : 17.28 Bid-YTW : 5.27 % |
RY.PR.H | FixedReset Disc | -2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 17.17 Evaluated at bid price : 17.17 Bid-YTW : 5.16 % |
IFC.PR.A | FixedReset Ins Non | -2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 13.71 Evaluated at bid price : 13.71 Bid-YTW : 5.60 % |
RY.PR.J | FixedReset Disc | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 5.35 % |
MFC.PR.G | FixedReset Ins Non | -2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.49 % |
BMO.PR.W | FixedReset Disc | -2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 16.91 Evaluated at bid price : 16.91 Bid-YTW : 5.28 % |
MFC.PR.L | FixedReset Ins Non | -2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 5.43 % |
BAM.PR.R | FixedReset Disc | -1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 14.88 Evaluated at bid price : 14.88 Bid-YTW : 5.95 % |
BAM.PF.F | FixedReset Disc | -1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 17.37 Evaluated at bid price : 17.37 Bid-YTW : 5.96 % |
BAM.PR.X | FixedReset Disc | -1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 12.64 Evaluated at bid price : 12.64 Bid-YTW : 5.99 % |
MFC.PR.J | FixedReset Ins Non | -1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 5.30 % |
TD.PF.K | FixedReset Disc | -1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 19.39 Evaluated at bid price : 19.39 Bid-YTW : 5.22 % |
RY.PR.S | FixedReset Disc | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 19.53 Evaluated at bid price : 19.53 Bid-YTW : 4.98 % |
CM.PR.O | FixedReset Disc | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.50 % |
BAM.PR.T | FixedReset Disc | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 5.98 % |
HSE.PR.C | FixedReset Disc | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 17.12 Evaluated at bid price : 17.12 Bid-YTW : 6.64 % |
BIP.PR.A | FixedReset Disc | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.06 % |
RY.PR.Z | FixedReset Disc | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 17.12 Evaluated at bid price : 17.12 Bid-YTW : 5.14 % |
TD.PF.E | FixedReset Disc | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 19.23 Evaluated at bid price : 19.23 Bid-YTW : 5.36 % |
CM.PR.R | FixedReset Disc | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.42 % |
BAM.PF.G | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 5.92 % |
TD.PF.A | FixedReset Disc | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 16.91 Evaluated at bid price : 16.91 Bid-YTW : 5.25 % |
NA.PR.C | FixedReset Disc | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 21.37 Evaluated at bid price : 21.37 Bid-YTW : 5.45 % |
SLF.PR.I | FixedReset Ins Non | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 18.41 Evaluated at bid price : 18.41 Bid-YTW : 5.43 % |
BAM.PR.K | Floater | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 10.92 Evaluated at bid price : 10.92 Bid-YTW : 6.44 % |
SLF.PR.J | FloatingReset | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 12.65 Evaluated at bid price : 12.65 Bid-YTW : 6.09 % |
IAF.PR.G | FixedReset Ins Non | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 18.82 Evaluated at bid price : 18.82 Bid-YTW : 5.44 % |
CM.PR.P | FixedReset Disc | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 5.49 % |
TD.PF.J | FixedReset Disc | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.21 % |
PWF.PR.T | FixedReset Disc | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 5.30 % |
EMA.PR.C | FixedReset Disc | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 5.67 % |
BMO.PR.C | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 21.46 Evaluated at bid price : 21.81 Bid-YTW : 5.22 % |
BMO.PR.S | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 5.27 % |
PWF.PR.A | Floater | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 12.26 Evaluated at bid price : 12.26 Bid-YTW : 5.69 % |
POW.PR.D | Perpetual-Discount | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 23.36 Evaluated at bid price : 23.65 Bid-YTW : 5.34 % |
MFC.PR.Q | FixedReset Ins Non | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 18.97 Evaluated at bid price : 18.97 Bid-YTW : 5.21 % |
BIP.PR.B | FixedReset Prem | 1.14 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.66 Bid-YTW : 3.34 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
TD.PF.H | FixedReset Prem | 41,047 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.59 Bid-YTW : 3.62 % |
TD.PF.D | FixedReset Disc | 31,592 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 5.37 % |
TD.PF.M | FixedReset Disc | 30,999 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 23.01 Evaluated at bid price : 24.45 Bid-YTW : 4.93 % |
BAM.PR.B | Floater | 26,856 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 11.00 Evaluated at bid price : 11.00 Bid-YTW : 6.40 % |
IFC.PR.I | Perpetual-Premium | 26,500 | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 5.37 % |
BAM.PR.C | Floater | 25,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-25 Maturity Price : 10.80 Evaluated at bid price : 10.80 Bid-YTW : 6.52 % |
There were 37 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
BAM.PF.E | FixedReset Disc | Quote: 15.89 – 16.43 Spot Rate : 0.5400 Average : 0.3222 YTW SCENARIO |
TD.PF.D | FixedReset Disc | Quote: 18.86 – 19.33 Spot Rate : 0.4700 Average : 0.2937 YTW SCENARIO |
MFC.PR.R | FixedReset Ins Non | Quote: 23.75 – 24.19 Spot Rate : 0.4400 Average : 0.2786 YTW SCENARIO |
MFC.PR.H | FixedReset Ins Non | Quote: 20.18 – 20.64 Spot Rate : 0.4600 Average : 0.3293 YTW SCENARIO |
CU.PR.F | Perpetual-Discount | Quote: 22.00 – 22.33 Spot Rate : 0.3300 Average : 0.2194 YTW SCENARIO |
TD.PF.K | FixedReset Disc | Quote: 19.39 – 19.77 Spot Rate : 0.3800 Average : 0.2717 YTW SCENARIO |