May 8, 2020

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Well, it was an historic day for jobs numbers:

The nation’s economic distress came into greater focus on Friday, offering a snapshot unseen since the Great Depression.

The Labor Department said the economy shed more than 20.5 million jobs in April, sending the unemployment rate to 14.7 percent as the coronavirus pandemic took a devastating toll.

The monthly data underscores the speed and depth of the labor market’s collapse. In February, the unemployment rate was 3.5 percent, a half-century low.

And the damage has only grown since then: Millions more people have filed claims for unemployment benefits since the monthly data was collected in mid-April.

Indeed, last month’s job losses alone far exceed the 8.7 million in the last recession, when unemployment peaked at 10 percent in October 2009.

… and …:

Canada lost a record-setting number of jobs in April, and the unemployment rate surged to 13 per cent as companies were forced to slash payroll in response to lockdown measures aimed at curbing the spread of the novel coronavirus.

The number of employed people plunged by nearly two million last month, surpassing the record one million losses in March, Statistics Canada said on Friday. About three million people have lost their jobs over a two-month span, and hours have been significantly reduced for millions of others. The unemployment rate jumped from March’s 7.8 per cent.

Beneath the surface, the details in Friday’s report were even uglier, pointing to widespread disruptions in the labour market.

There was an apparent leak of the Canadian data:

Statistics Canada says it will investigate how sensitive information on the country’s employment numbers was distributed ahead of the official release time – a market-moving leak the federal Finance Minister’s office condemned as “unacceptable.”

The country’s national statistical agency released data on the labour force survey for April at 8:30 a.m. EDT Friday on its website. Just before 8 a.m., however, citing “a person familiar with the matter,” Bloomberg News published a story saying the country lost about two million jobs, with the unemployment rate rising to 13 per cent. The job losses were fewer than economists had expected.

“We are conducting an investigation related to this matter and will take appropriate measures,” said Jacques Fauteux, Statscan’s assistant chief statistician.

Some will be thrilled to learn that:

Financial markets on Thursday began pricing in a negative U.S. interest rate environment for the first time, as investors grappled with the economic consequences of the new coronavirus outbreak.

… and …:

Fed fund futures priced in the possibility of negative rates for the second day, starting as soon as December. That comes even as numerous Federal Reserve officials including Chair Jerome Powell have said that they don’t see an advantage to the policy.

There is nothing to suggest that negative interest rates would be a suitable option for the United States, Richmond Fed President Thomas Barkin said on Thursday.

It didn’t do the Canadian preferred share market much immediate harm!

TXPR closed at 524.70, up 0.52% on the day. Volume today was 1.82-million, and this reasonable (in the long term) number was second-lowest of the past thirty days, ahead of only May 1.

CPD closed at 10.51, up 0.19% on the day. Volume was 81,924, on the low side in the context of the past 30 trading days.

ZPR closed at 8.24, up 0.24% on the day. Volume of 130,303 was well below the average of the past 30 trading days.

Five-year Canada yields were up 2bp to 0.39% today.

And now … on to PrefLetter!

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 1.0179 % 1,474.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0179 % 2,705.6
Floater 5.24 % 5.49 % 35,967 14.65 4 1.0179 % 1,559.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.5263 % 3,356.4
SplitShare 4.94 % 5.61 % 74,035 3.90 7 0.5263 % 4,008.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5263 % 3,127.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0388 % 2,884.6
Perpetual-Discount 5.83 % 6.03 % 85,592 13.85 35 0.0388 % 3,094.0
FixedReset Disc 6.31 % 5.16 % 213,240 14.88 83 0.6299 % 1,803.6
Deemed-Retractible 5.55 % 5.78 % 95,503 13.80 27 0.2876 % 3,054.2
FloatingReset 4.82 % 4.71 % 61,454 16.00 3 3.4260 % 1,800.2
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.6299 % 2,494.3
FixedReset Bank Non 1.99 % 2.97 % 183,204 1.69 2 0.0822 % 2,775.9
FixedReset Ins Non 6.57 % 5.36 % 126,180 14.49 22 0.0812 % 1,810.6
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -5.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 9.30
Evaluated at bid price : 9.30
Bid-YTW : 5.36 %
NA.PR.A FixedReset Disc -3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 22.56
Evaluated at bid price : 23.02
Bid-YTW : 5.48 %
GWO.PR.N FixedReset Ins Non -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 4.46 %
TD.PF.D FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 15.49
Evaluated at bid price : 15.49
Bid-YTW : 5.14 %
BAM.PF.G FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 6.18 %
SLF.PR.I FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 15.04
Evaluated at bid price : 15.04
Bid-YTW : 5.32 %
IFC.PR.A FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 5.07 %
POW.PR.D Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 6.08 %
IAF.PR.I FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 5.40 %
RY.PR.P Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 23.73
Evaluated at bid price : 24.20
Bid-YTW : 5.42 %
HSE.PR.G FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 10.58
Evaluated at bid price : 10.58
Bid-YTW : 9.37 %
TD.PF.F Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 22.64
Evaluated at bid price : 23.01
Bid-YTW : 5.35 %
MFC.PR.K FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 5.26 %
RY.PR.Z FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 4.54 %
BIP.PR.A FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 6.99 %
PVS.PR.F SplitShare 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 5.55 %
SLF.PR.B Deemed-Retractible 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 21.37
Evaluated at bid price : 21.64
Bid-YTW : 5.61 %
MFC.PR.H FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.52 %
SLF.PR.E Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 5.68 %
BIP.PR.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.44 %
W.PR.K FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 23.91
Evaluated at bid price : 24.50
Bid-YTW : 5.38 %
TRP.PR.J FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 23.95
Evaluated at bid price : 25.14
Bid-YTW : 5.51 %
CU.PR.D Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 21.78
Evaluated at bid price : 22.16
Bid-YTW : 5.52 %
BMO.PR.S FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.89 %
BAM.PR.M Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 5.97 %
TRP.PR.D FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 5.77 %
BNS.PR.H FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 23.43
Evaluated at bid price : 23.81
Bid-YTW : 4.82 %
HSE.PR.E FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 9.35 %
CU.PR.C FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.69 %
TD.PF.M FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 4.90 %
CU.PR.G Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.47 %
CU.PR.I FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 23.85
Evaluated at bid price : 24.50
Bid-YTW : 4.56 %
TRP.PR.E FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 5.68 %
CU.PR.F Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 5.39 %
SLF.PR.D Deemed-Retractible 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.60 %
BMO.PR.E FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 4.84 %
SLF.PR.A Deemed-Retractible 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 5.63 %
BMO.PR.F FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 4.86 %
BAM.PR.K Floater 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 7.84
Evaluated at bid price : 7.84
Bid-YTW : 5.54 %
BAM.PF.J FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 21.93
Evaluated at bid price : 22.20
Bid-YTW : 5.41 %
BAM.PF.I FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 22.66
Evaluated at bid price : 23.00
Bid-YTW : 5.27 %
TD.PF.L FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 4.85 %
BAM.PR.B Floater 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 7.91
Evaluated at bid price : 7.91
Bid-YTW : 5.49 %
TRP.PR.A FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 11.72
Evaluated at bid price : 11.72
Bid-YTW : 5.64 %
MFC.PR.B Deemed-Retractible 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 5.71 %
TD.PF.I FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.82 %
BIP.PR.B FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 23.03
Evaluated at bid price : 23.72
Bid-YTW : 5.84 %
MFC.PR.M FixedReset Ins Non 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.23 %
BAM.PF.E FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 5.96 %
TRP.PR.K FixedReset Disc 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 23.22
Evaluated at bid price : 23.55
Bid-YTW : 5.28 %
MFC.PR.I FixedReset Ins Non 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 15.72
Evaluated at bid price : 15.72
Bid-YTW : 5.47 %
BIP.PR.C FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 21.96
Evaluated at bid price : 22.55
Bid-YTW : 5.99 %
TRP.PR.B FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 7.79
Evaluated at bid price : 7.79
Bid-YTW : 5.34 %
HSE.PR.C FixedReset Disc 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 11.37
Evaluated at bid price : 11.37
Bid-YTW : 8.76 %
NA.PR.G FixedReset Disc 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 5.12 %
BAM.PF.B FixedReset Disc 3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 14.23
Evaluated at bid price : 14.23
Bid-YTW : 5.95 %
BMO.PR.D FixedReset Disc 3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 5.20 %
TRP.PR.H FloatingReset 4.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 8.00
Evaluated at bid price : 8.00
Bid-YTW : 4.71 %
SLF.PR.J FloatingReset 5.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 9.32
Evaluated at bid price : 9.32
Bid-YTW : 4.39 %
TD.PF.E FixedReset Disc 11.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.11 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset Disc 91,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 24.40
Evaluated at bid price : 24.80
Bid-YTW : 5.10 %
CU.PR.C FixedReset Disc 76,804 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.69 %
RY.PR.Q FixedReset Disc 50,768 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 24.37
Evaluated at bid price : 24.76
Bid-YTW : 4.96 %
TD.PF.B FixedReset Disc 36,695 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 4.79 %
TD.PF.M FixedReset Disc 33,637 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 4.90 %
TRP.PR.H FloatingReset 28,325 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 8.00
Evaluated at bid price : 8.00
Bid-YTW : 4.71 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 14.25 – 16.22
Spot Rate : 1.9700
Average : 1.3545

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 5.98 %

PVS.PR.E SplitShare Quote: 25.00 – 25.78
Spot Rate : 0.7800
Average : 0.4523

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.95 %

CU.PR.G Perpetual-Discount Quote: 20.60 – 21.60
Spot Rate : 1.0000
Average : 0.6760

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.47 %

BAM.PF.G FixedReset Disc Quote: 13.15 – 14.00
Spot Rate : 0.8500
Average : 0.5481

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 6.18 %

IFC.PR.C FixedReset Ins Non Quote: 14.75 – 15.50
Spot Rate : 0.7500
Average : 0.4827

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.23 %

NA.PR.A FixedReset Disc Quote: 23.02 – 23.83
Spot Rate : 0.8100
Average : 0.5743

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-08
Maturity Price : 22.56
Evaluated at bid price : 23.02
Bid-YTW : 5.48 %

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