TXPR closed at 572.75, up 0.53% on the day. Volume today was 1.43-million, fifth-highest of the past 21 trading days.
CPD closed at 11.35, up 0.35% on the day. Volume was 81,670, near the median of the past 21 trading days.
ZPR closed at 9.51, up 0.21% on the day. Volume was 233,840, well above the median of the past 21 trading days.
Five-year Canada yields were up sharply to 3.46% today.
U.S. private employers stepped up hiring in September, the ADP National Employment report on Wednesday showed, suggesting rising rates and tighter financial conditions have yet to curb labor demand as the Fed battles high inflation.
The Institute for Supply Management’s services industry employment gauge shot up in another sign labour remains strong as the overall industry slowed modestly in September.
The Fed is expected to deliver a fourth straight 75-basis-point rate hike when policymakers meet Nov. 1-2, the pricing of fed fund futures shows, according to CME’s FedWatch tool.
San Francisco Fed President Mary Daly told Bloomberg TV in an interview that inflation is problematic and that the U.S. central bank would stay the course.
“The path is clear: we are going to raise rates to restrictive territory, then hold them there for a while,” she said. “We are committed to bringing inflation down, staying course until we are well and truly done.”
PerpetualDiscounts now yield 6.48%, equivalent to 8.42% interest at the standard equivalency factor of 1.3x. Long corporates continue to yield 5.00%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has eased to 340bp from the 355bp reported September 28.
| 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 | -3.1809 % | 2,340.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -3.1809 % | 4,488.4 |
| Floater | 7.83 % | 7.71 % | 49,035 | 11.72 | 2 | -3.1809 % | 2,586.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3333 % | 3,392.8 |
| SplitShare | 4.95 % | 6.34 % | 33,747 | 3.08 | 7 | 0.3333 % | 4,051.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3333 % | 3,161.3 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0254 % | 2,685.9 |
| Perpetual-Discount | 6.34 % | 6.48 % | 72,869 | 13.21 | 33 | -0.0254 % | 2,928.9 |
| FixedReset Disc | 5.21 % | 6.94 % | 90,643 | 12.79 | 63 | 0.3461 % | 2,295.5 |
| Insurance Straight | 6.28 % | 6.33 % | 74,631 | 13.43 | 19 | 0.1734 % | 2,866.2 |
| FloatingReset | 8.62 % | 8.92 % | 36,148 | 10.49 | 2 | 0.4537 % | 2,516.1 |
| FixedReset Prem | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3461 % | 2,429.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3461 % | 2,346.5 |
| FixedReset Ins Non | 5.41 % | 7.50 % | 43,201 | 12.46 | 14 | 0.5233 % | 2,328.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.B | Floater | -6.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 11.85 Evaluated at bid price : 11.85 Bid-YTW : 8.14 % |
| MIC.PR.A | Perpetual-Discount | -3.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 19.26 Evaluated at bid price : 19.26 Bid-YTW : 7.08 % |
| MFC.PR.B | Insurance Straight | -1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 18.56 Evaluated at bid price : 18.56 Bid-YTW : 6.33 % |
| NA.PR.G | FixedReset Disc | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 21.31 Evaluated at bid price : 21.59 Bid-YTW : 6.89 % |
| IFC.PR.C | FixedReset Disc | -1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 8.01 % |
| TRP.PR.B | FixedReset Disc | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 11.56 Evaluated at bid price : 11.56 Bid-YTW : 8.65 % |
| TD.PF.J | FixedReset Disc | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 21.62 Evaluated at bid price : 22.00 Bid-YTW : 6.85 % |
| BAM.PF.G | FixedReset Disc | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 8.56 % |
| MFC.PR.C | Insurance Straight | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 18.23 Evaluated at bid price : 18.23 Bid-YTW : 6.24 % |
| CU.PR.F | Perpetual-Discount | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 17.99 Evaluated at bid price : 17.99 Bid-YTW : 6.35 % |
| IFC.PR.K | Perpetual-Discount | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 6.28 % |
| BAM.PR.M | Perpetual-Discount | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 18.06 Evaluated at bid price : 18.06 Bid-YTW : 6.64 % |
| CU.PR.J | Perpetual-Discount | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 6.46 % |
| RY.PR.J | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 20.17 Evaluated at bid price : 20.17 Bid-YTW : 6.93 % |
| BAM.PR.Z | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 20.92 Evaluated at bid price : 20.92 Bid-YTW : 7.47 % |
| GWO.PR.R | Insurance Straight | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 6.41 % |
| IAF.PR.I | FixedReset Ins Non | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 21.48 Evaluated at bid price : 21.80 Bid-YTW : 6.89 % |
| PWF.PR.P | FixedReset Disc | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 12.68 Evaluated at bid price : 12.68 Bid-YTW : 8.35 % |
| PWF.PR.F | Perpetual-Discount | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 20.64 Evaluated at bid price : 20.64 Bid-YTW : 6.50 % |
| CCS.PR.C | Insurance Straight | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.00 % |
| GWO.PR.P | Insurance Straight | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.49 % |
| POW.PR.B | Perpetual-Discount | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 6.55 % |
| FTS.PR.M | FixedReset Disc | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 17.89 Evaluated at bid price : 17.89 Bid-YTW : 7.75 % |
| IFC.PR.E | Insurance Straight | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 6.10 % |
| TRP.PR.G | FixedReset Disc | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 7.86 % |
| PWF.PR.R | Perpetual-Discount | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 21.28 Evaluated at bid price : 21.55 Bid-YTW : 6.50 % |
| RY.PR.H | FixedReset Disc | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 6.94 % |
| TD.PF.M | FixedReset Disc | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 23.39 Evaluated at bid price : 24.40 Bid-YTW : 6.87 % |
| BAM.PF.J | FixedReset Disc | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 22.53 Evaluated at bid price : 23.50 Bid-YTW : 6.75 % |
| CU.PR.H | Perpetual-Discount | 2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 21.18 Evaluated at bid price : 21.18 Bid-YTW : 6.29 % |
| RY.PR.M | FixedReset Disc | 2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 6.84 % |
| BAM.PR.R | FixedReset Disc | 2.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 14.80 Evaluated at bid price : 14.80 Bid-YTW : 8.41 % |
| MFC.PR.N | FixedReset Ins Non | 2.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 7.79 % |
| BMO.PR.Y | FixedReset Disc | 3.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 6.83 % |
| BMO.PR.T | FixedReset Disc | 4.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 19.24 Evaluated at bid price : 19.24 Bid-YTW : 6.95 % |
| CM.PR.P | FixedReset Disc | 4.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 7.01 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.T | FixedReset Disc | 107,150 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 19.24 Evaluated at bid price : 19.24 Bid-YTW : 6.95 % |
| IFC.PR.A | FixedReset Ins Non | 63,040 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 16.56 Evaluated at bid price : 16.56 Bid-YTW : 7.55 % |
| TRP.PR.D | FixedReset Disc | 55,825 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 8.34 % |
| PWF.PR.P | FixedReset Disc | 47,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 12.68 Evaluated at bid price : 12.68 Bid-YTW : 8.35 % |
| BMO.PR.S | FixedReset Disc | 36,550 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 19.72 Evaluated at bid price : 19.72 Bid-YTW : 6.96 % |
| BAM.PF.F | FixedReset Disc | 35,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-05 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 8.24 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.R | FixedReset Disc | Quote: 14.80 – 16.80 Spot Rate : 2.0000 Average : 1.1793 YTW SCENARIO |
| TRP.PR.B | FixedReset Disc | Quote: 11.56 – 13.05 Spot Rate : 1.4900 Average : 0.8661 YTW SCENARIO |
| BAM.PR.M | Perpetual-Discount | Quote: 18.06 – 19.60 Spot Rate : 1.5400 Average : 1.1264 YTW SCENARIO |
| NA.PR.G | FixedReset Disc | Quote: 21.59 – 22.63 Spot Rate : 1.0400 Average : 0.6540 YTW SCENARIO |
| CM.PR.O | FixedReset Disc | Quote: 19.10 – 20.60 Spot Rate : 1.5000 Average : 1.1257 YTW SCENARIO |
| BAM.PR.B | Floater | Quote: 11.85 – 12.70 Spot Rate : 0.8500 Average : 0.4869 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.60%, equivalent to 8.58% interest at the standard equivalency factor of 1.3x. Long corporates have been hammered in the past week to yield 5.39% (I’m suspicious about this number, especially since it’s precisely equal to the “Distribution Yield”), so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has eased to 320bp from the 340bp reported October 5. […]