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TXPR closed at 585.84, down 0.71% on the day. Volume today was 2.94-million, highest of the past thirty days, ahead of second-place February 28.
CPD closed at 11.71, down 0.51% on the day. Volume of 417,130 was the highest of the past 30 days, more than double second-place February 27.
ZPR closed at 9.37, down 1.16% on the day. Volume of 474,263 was fourth-highest of the past 30 days, with the top three all occurring last week.
Five-year Canada yields were down 2bp to 1.05% today.
Equity markets did well today, thanks to the Greenspan Put:
Stocks surged in the final minutes of trading on Monday, snapping back from one of the worst weeks for global markets since the 2008 financial crisis as investors seized on promises that the world’s governments would step in to help if the global economy was slammed by the outbreak of the coronavirus.
The S&P 500 jumped 4.6 percent, the biggest single-day leap since late December 2018. The rally followed news that central bankers from the world’s biggest economies would join a conference call with Group of 7 finance ministers on Tuesday to discuss a response to the outbreak, fueling expectations among investors that governments might lower interest rates in tandem.
…
Early Monday, both the Bank of Japan and Bank of England pledged to monitor markets closely and safeguard financial stability. Later, the International Monetary Fund and the World Bank issued a joint statement saying that the groups stood ready to help “address the human tragedy and economic challenge” posed by the virus, and the European Central Bank said it “stands ready” to respond to signs of a slowdown.
The conference call will take place tomorrow:
Finance ministers and central bank chiefs from G7 countries will hold talks Tuesday amid rising global uncertainty over the coronavirus epidemic, the US Treasury said Monday.
US Treasury Secretary Steven Mnuchin and Federal Reserve Chairman Jerome Powell “will lead a call with their G7 counterparts tomorrow morning,” the department confirmed in a statement.
The Bank of Canada is expected to join in:
Expectations of a Bank of Canada interest-rate cut this week have rapidly moved from unlikely to imminent as global governments and central banks begin to respond en masse to the escalating economic threat from the COVID-19 virus.
With Canada’s top central bankers in closed-door deliberations for Wednesday’s regularly scheduled interest-rate decision, bond-market indicators show traders have now fully priced in a quarter-percentage-point cut in the Bank of Canada’s key overnight rate, to 1.5 per cent from 1.75 per cent. A week ago, market pricing indicated only 30-per-cent odds of a cut.
The September hiccup in the US repo market was discussed on September 20 and September 23. Now Gara Afonso, Marco Cipriani, Adam Copeland, Anna Kovner, Gabriele La Spada, and Antoine Martin of the New York Fed weigh in with a staff report titled The Market Events of Mid-September 2019:
This paper studies the mid-September 2019 stress in U.S. money markets: On September 16 and 17, unsecured and secured funding rates spiked up and, on September 17, the effective federal funds rate broke the ceiling of the Federal Open Market Committee (FOMC) target range. We highlight two factors that may have contributed to these events. First, reserves may have become scarce for at least some depository institutions, in the sense that these institutions’ reserve holdings may have been close to, or lower than, their desired level. Moreover, frictions in the interbank market may have prevented the efficient allocation of reserves across institutions, so that although aggregate reserves may have been higher than the sum of reserves demanded by each institution, they were still scarce given the market’s inability to allocate reserves efficiently. Second, we provide evidence that some large domestic dealers likely experienced an increase in intermediation costs, which led them to charge higher spreads to ultimate cash borrowers. This increase was due to a temporary reduction in lending from money market mutual funds, including through the Fixed Income Clearing Corporation’s (FICC’s) sponsored repo program.
At 2015.40, the HIMIPref™ FixedReset (Discount) total return subindex is getting perilously close to the August 28, 2019, low point of 1936.03.
| 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 | -1.4775 % | 1,858.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.4775 % | 3,410.7 |
| Floater | 6.58 % | 6.94 % | 51,079 | 12.51 | 4 | -1.4775 % | 1,965.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7419 % | 3,458.4 |
| SplitShare | 4.82 % | 4.19 % | 45,683 | 3.66 | 6 | 0.7419 % | 4,130.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7419 % | 3,222.4 |
| Perpetual-Premium | 5.59 % | 4.94 % | 74,829 | 4.36 | 12 | 0.3388 % | 3,045.5 |
| Perpetual-Discount | 5.30 % | 5.37 % | 69,571 | 14.85 | 24 | 0.3957 % | 3,293.7 |
| FixedReset Disc | 5.96 % | 5.55 % | 182,073 | 14.41 | 64 | -1.0847 % | 2,015.4 |
| Deemed-Retractible | 5.25 % | 5.37 % | 69,591 | 14.83 | 27 | 0.1916 % | 3,219.4 |
| FloatingReset | 6.36 % | 6.27 % | 70,360 | 13.48 | 3 | -1.3710 % | 2,298.6 |
| FixedReset Prem | 5.13 % | 4.38 % | 131,013 | 1.39 | 22 | 0.1472 % | 2,635.5 |
| FixedReset Bank Non | 1.93 % | 3.15 % | 90,138 | 1.87 | 3 | 0.2172 % | 2,756.9 |
| FixedReset Ins Non | 5.77 % | 5.43 % | 101,735 | 14.58 | 22 | -1.0245 % | 2,054.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.A | FixedReset Disc | -5.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 9.55 Evaluated at bid price : 9.55 Bid-YTW : 7.42 % |
| CM.PR.R | FixedReset Disc | -3.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 5.67 % |
| TRP.PR.F | FloatingReset | -3.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 12.50 Evaluated at bid price : 12.50 Bid-YTW : 6.78 % |
| RY.PR.M | FixedReset Disc | -2.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 5.47 % |
| BAM.PR.C | Floater | -2.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 10.15 Evaluated at bid price : 10.15 Bid-YTW : 6.95 % |
| MFC.PR.H | FixedReset Ins Non | -2.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 19.07 Evaluated at bid price : 19.07 Bid-YTW : 5.54 % |
| BMO.PR.Y | FixedReset Disc | -2.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 17.13 Evaluated at bid price : 17.13 Bid-YTW : 5.56 % |
| TD.PF.C | FixedReset Disc | -2.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 16.17 Evaluated at bid price : 16.17 Bid-YTW : 5.46 % |
| MFC.PR.N | FixedReset Ins Non | -2.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 15.58 Evaluated at bid price : 15.58 Bid-YTW : 5.43 % |
| MFC.PR.I | FixedReset Ins Non | -2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 17.64 Evaluated at bid price : 17.64 Bid-YTW : 5.68 % |
| IFC.PR.A | FixedReset Ins Non | -2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 13.28 Evaluated at bid price : 13.28 Bid-YTW : 5.55 % |
| HSE.PR.C | FixedReset Disc | -2.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 15.56 Evaluated at bid price : 15.56 Bid-YTW : 7.16 % |
| CM.PR.S | FixedReset Disc | -2.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 16.89 Evaluated at bid price : 16.89 Bid-YTW : 5.55 % |
| TD.PF.K | FixedReset Disc | -2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 5.38 % |
| BIP.PR.A | FixedReset Disc | -2.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 6.32 % |
| IFC.PR.G | FixedReset Ins Non | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 17.62 Evaluated at bid price : 17.62 Bid-YTW : 5.61 % |
| TD.PF.I | FixedReset Disc | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 19.68 Evaluated at bid price : 19.68 Bid-YTW : 5.33 % |
| BMO.PR.W | FixedReset Disc | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.42 % |
| RY.PR.S | FixedReset Disc | -1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 18.59 Evaluated at bid price : 18.59 Bid-YTW : 5.08 % |
| TD.PF.J | FixedReset Disc | -1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 5.50 % |
| TRP.PR.G | FixedReset Disc | -1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 17.08 Evaluated at bid price : 17.08 Bid-YTW : 5.93 % |
| BMO.PR.S | FixedReset Disc | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 16.24 Evaluated at bid price : 16.24 Bid-YTW : 5.45 % |
| BAM.PR.K | Floater | -1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 10.16 Evaluated at bid price : 10.16 Bid-YTW : 6.94 % |
| NA.PR.E | FixedReset Disc | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 5.49 % |
| IAF.PR.G | FixedReset Ins Non | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 17.61 Evaluated at bid price : 17.61 Bid-YTW : 5.55 % |
| CCS.PR.C | Deemed-Retractible | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 22.83 Evaluated at bid price : 23.11 Bid-YTW : 5.40 % |
| TD.PF.A | FixedReset Disc | -1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 16.08 Evaluated at bid price : 16.08 Bid-YTW : 5.36 % |
| BIP.PR.D | FixedReset Disc | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 22.07 Evaluated at bid price : 22.30 Bid-YTW : 5.60 % |
| BMO.PR.E | FixedReset Disc | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 5.34 % |
| RY.PR.H | FixedReset Disc | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 5.32 % |
| CM.PR.O | FixedReset Disc | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 5.68 % |
| NA.PR.C | FixedReset Disc | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 5.59 % |
| BAM.PR.B | Floater | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 10.17 Evaluated at bid price : 10.17 Bid-YTW : 6.94 % |
| CM.PR.Q | FixedReset Disc | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 5.69 % |
| TD.PF.B | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 16.07 Evaluated at bid price : 16.07 Bid-YTW : 5.40 % |
| CM.PR.Y | FixedReset Disc | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 22.52 Evaluated at bid price : 23.39 Bid-YTW : 5.15 % |
| TRP.PR.A | FixedReset Disc | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 13.32 Evaluated at bid price : 13.32 Bid-YTW : 5.88 % |
| MFC.PR.F | FixedReset Ins Non | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 11.13 Evaluated at bid price : 11.13 Bid-YTW : 5.54 % |
| BMO.PR.T | FixedReset Disc | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 15.78 Evaluated at bid price : 15.78 Bid-YTW : 5.41 % |
| RY.PR.Z | FixedReset Disc | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 16.07 Evaluated at bid price : 16.07 Bid-YTW : 5.30 % |
| MFC.PR.J | FixedReset Ins Non | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 5.43 % |
| BMO.PR.F | FixedReset Disc | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 22.49 Evaluated at bid price : 23.30 Bid-YTW : 5.03 % |
| HSE.PR.G | FixedReset Disc | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 16.79 Evaluated at bid price : 16.79 Bid-YTW : 6.99 % |
| MFC.PR.K | FixedReset Ins Non | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 5.40 % |
| MFC.PR.G | FixedReset Ins Non | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 5.62 % |
| NA.PR.W | FixedReset Disc | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 15.52 Evaluated at bid price : 15.52 Bid-YTW : 5.64 % |
| CM.PR.P | FixedReset Disc | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 15.57 Evaluated at bid price : 15.57 Bid-YTW : 5.68 % |
| BMO.PR.D | FixedReset Disc | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 19.63 Evaluated at bid price : 19.63 Bid-YTW : 5.47 % |
| MFC.PR.M | FixedReset Ins Non | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 16.39 Evaluated at bid price : 16.39 Bid-YTW : 5.40 % |
| CU.PR.H | Perpetual-Discount | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 24.00 Evaluated at bid price : 24.50 Bid-YTW : 5.37 % |
| GWO.PR.S | Deemed-Retractible | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 24.22 Evaluated at bid price : 24.51 Bid-YTW : 5.35 % |
| GWO.PR.Q | Deemed-Retractible | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 23.24 Evaluated at bid price : 23.72 Bid-YTW : 5.41 % |
| CU.PR.D | Perpetual-Discount | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 22.80 Evaluated at bid price : 23.18 Bid-YTW : 5.30 % |
| EMA.PR.F | FixedReset Disc | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 16.76 Evaluated at bid price : 16.76 Bid-YTW : 5.79 % |
| POW.PR.D | Perpetual-Discount | 2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 23.06 Evaluated at bid price : 23.32 Bid-YTW : 5.43 % |
| IAF.PR.B | Deemed-Retractible | 2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 21.54 Evaluated at bid price : 21.80 Bid-YTW : 5.26 % |
| W.PR.K | FixedReset Prem | 2.56 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-01-15 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 4.89 % |
| PVS.PR.G | SplitShare | 4.49 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2026-02-28 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 4.79 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| HSE.PR.A | FixedReset Disc | 467,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 9.55 Evaluated at bid price : 9.55 Bid-YTW : 7.42 % |
| BNS.PR.H | FixedReset Prem | 96,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 25.56 Bid-YTW : 3.90 % |
| RY.PR.Z | FixedReset Disc | 46,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 16.07 Evaluated at bid price : 16.07 Bid-YTW : 5.30 % |
| TRP.PR.E | FixedReset Disc | 43,830 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 15.18 Evaluated at bid price : 15.18 Bid-YTW : 5.87 % |
| CM.PR.Y | FixedReset Disc | 40,121 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 22.52 Evaluated at bid price : 23.39 Bid-YTW : 5.15 % |
| CM.PR.S | FixedReset Disc | 39,965 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-03-02 Maturity Price : 16.89 Evaluated at bid price : 16.89 Bid-YTW : 5.55 % |
| There were 43 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CIU.PR.A | Perpetual-Discount | Quote: 21.31 – 21.85 Spot Rate : 0.5400 Average : 0.3607 YTW SCENARIO |
| GWO.PR.P | Deemed-Retractible | Quote: 24.43 – 24.97 Spot Rate : 0.5400 Average : 0.3741 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 15.58 – 16.04 Spot Rate : 0.4600 Average : 0.3019 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 21.21 – 21.74 Spot Rate : 0.5300 Average : 0.3807 YTW SCENARIO |
| PVS.PR.F | SplitShare | Quote: 25.00 – 25.50 Spot Rate : 0.5000 Average : 0.3569 YTW SCENARIO |
| PWF.PR.P | FixedReset Disc | Quote: 12.29 – 12.78 Spot Rate : 0.4900 Average : 0.3479 YTW SCENARIO |