February 26, 2020

There was a respite from the losses today:

Stocks on Wall Street were unsteady on Wednesday, dropping slightly after rebounding from back-to-back losses this week that had wiped more than 6 percent off the S&P 500.

Oil prices edged lower. West Texas intermediate, the American benchmark, dipped under $50 a barrel. Brent crude, the international benchmark, was under $55 a barrel at 12 p.m.

The yield on the 10-year Treasury note fell even further on Wednesday after closing at a record low of 1.335 percent on Tuesday, a sign that investors expect growth in the United States to slow.

PerpetualDiscounts now yield 5.27%, equivalent to 6.85% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.00%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened dramatically to 385bp from the 360bp reported February 19.

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 0.6670 % 2,003.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6670 % 3,676.2
Floater 6.11 % 6.36 % 50,633 13.29 4 0.6670 % 2,118.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0914 % 3,480.2
SplitShare 4.79 % 4.23 % 46,995 4.12 6 -0.0914 % 4,156.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0914 % 3,242.7
Perpetual-Premium 5.56 % 1.31 % 61,274 0.09 12 -0.0394 % 3,066.3
Perpetual-Discount 5.20 % 5.27 % 68,137 15.03 24 -0.1450 % 3,363.1
FixedReset Disc 5.65 % 5.40 % 178,465 14.74 64 -0.2112 % 2,123.7
Deemed-Retractible 5.12 % 5.24 % 80,806 14.83 27 -0.1174 % 3,271.4
FloatingReset 6.25 % 6.31 % 64,212 13.44 3 -0.3057 % 2,425.4
FixedReset Prem 5.07 % 3.52 % 126,798 1.41 22 0.0940 % 2,662.8
FixedReset Bank Non 1.93 % 3.48 % 87,047 1.88 3 0.0272 % 2,750.9
FixedReset Ins Non 5.49 % 5.34 % 100,764 14.81 22 0.1659 % 2,154.3
Performance Highlights
Issue Index Change Notes
EMA.PR.C FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 5.80 %
CM.PR.Y FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 22.93
Evaluated at bid price : 24.27
Bid-YTW : 5.05 %
TD.PF.J FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.30 %
BAM.PR.N Perpetual-Discount -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 21.98
Evaluated at bid price : 22.21
Bid-YTW : 5.42 %
EMA.PR.E Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 22.09
Evaluated at bid price : 22.09
Bid-YTW : 5.13 %
PWF.PR.Q FloatingReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 12.92
Evaluated at bid price : 12.92
Bid-YTW : 6.31 %
SLF.PR.A Deemed-Retractible -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 5.29 %
BIP.PR.A FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.14 %
HSE.PR.C FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 6.72 %
BAM.PR.R FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 6.02 %
HSE.PR.E FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.87 %
MFC.PR.F FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 12.19
Evaluated at bid price : 12.19
Bid-YTW : 5.34 %
TRP.PR.F FloatingReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 13.68
Evaluated at bid price : 13.68
Bid-YTW : 6.59 %
PWF.PR.P FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 13.03
Evaluated at bid price : 13.03
Bid-YTW : 5.42 %
HSE.PR.A FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 10.91
Evaluated at bid price : 10.91
Bid-YTW : 6.80 %
NA.PR.C FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 21.38
Evaluated at bid price : 21.71
Bid-YTW : 5.35 %
TD.PF.D FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.27 %
MFC.PR.R FixedReset Ins Non 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 23.24
Evaluated at bid price : 24.20
Bid-YTW : 5.15 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.I Perpetual-Premium 56,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 24.63
Evaluated at bid price : 25.03
Bid-YTW : 5.42 %
TD.PF.M FixedReset Disc 36,470 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 22.93
Evaluated at bid price : 24.26
Bid-YTW : 4.98 %
SLF.PR.J FloatingReset 34,894 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 12.54
Evaluated at bid price : 12.54
Bid-YTW : 6.14 %
TRP.PR.A FixedReset Disc 30,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 14.19
Evaluated at bid price : 14.19
Bid-YTW : 5.81 %
TD.PF.I FixedReset Disc 29,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 5.20 %
EMA.PR.H FixedReset Prem 28,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.60 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.S FixedReset Disc Quote: 17.25 – 17.57
Spot Rate : 0.3200
Average : 0.1922

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.29 %

CCS.PR.C Deemed-Retractible Quote: 23.62 – 24.03
Spot Rate : 0.4100
Average : 0.2861

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 23.33
Evaluated at bid price : 23.62
Bid-YTW : 5.37 %

EMA.PR.E Perpetual-Discount Quote: 22.09 – 22.50
Spot Rate : 0.4100
Average : 0.2937

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 22.09
Evaluated at bid price : 22.09
Bid-YTW : 5.13 %

BAM.PR.R FixedReset Disc Quote: 14.70 – 15.08
Spot Rate : 0.3800
Average : 0.2671

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 6.02 %

PWF.PR.G Perpetual-Premium Quote: 25.24 – 25.50
Spot Rate : 0.2600
Average : 0.1590

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-27
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : -0.86 %

SLF.PR.E Deemed-Retractible Quote: 21.70 – 21.98
Spot Rate : 0.2800
Average : 0.1819

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-26
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 5.25 %

One Response to “February 26, 2020”

  1. skeptical says:

    Thank God that TMX crashed so that TSX and everything trading on it could not crash.
    James would have needed a nuclear holocaust image otherwise. 🙂

Leave a Reply

You must be logged in to post a comment.