October 21, 2022

TXPR closed at 568.42, up 1.44% on the day. Volume today was 5.91-million, highest of the past 21 trading days by far – nearly four times as high as the second-place day.

CPD closed at 11.26, up 0.99% on the day. Volume was 73,460, below the median of the past 21 trading days.

ZPR closed at 9.44, up 0.86% on the day. Volume was 126,840, fourth-lowest of the past 21 trading days.

Five-year Canada yields were down to 3.76% today.

The market popped up big time at the end of the session and during the extended session; it looks like Raymond James was acting for somebody who got a really, really itchy trigger finger. Of the top six issues by volume today, they:
– sold TRP.PR.B (deep discount FixedReset)
– sold PWF.PR.P (deep discount FixedReset)
– Bought POW.PR.C (high-coupon straight)
– Sold IAF.PR.I (FixedReset discount)
– Sold RY.PR.N (PerpetualDiscount)
– Sold RY.PR.O (PerpetualDiscount)

Of course, there may be issues with higher volume that I don’t report because they’re junk. But there’s some guy on a preferred desk who’s going home with a big commission-derived smile tonight!

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 -1.0101 % 2,354.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0101 % 4,516.0
Floater 7.79 % 7.90 % 40,275 11.48 2 -1.0101 % 2,602.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.8386 % 3,319.8
SplitShare 5.06 % 7.12 % 40,710 3.03 7 -0.8386 % 3,964.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.8386 % 3,093.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1632 % 2,602.0
Perpetual-Discount 6.54 % 6.65 % 71,287 13.03 33 -0.1632 % 2,837.4
FixedReset Disc 5.27 % 7.55 % 92,382 12.23 63 0.2366 % 2,269.8
Insurance Straight 6.52 % 6.64 % 82,267 13.01 19 0.6126 % 2,757.6
FloatingReset 9.08 % 9.34 % 42,060 10.07 2 0.1951 % 2,501.5
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.2366 % 2,402.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2366 % 2,320.2
FixedReset Ins Non 5.44 % 7.89 % 54,668 11.65 14 0.3335 % 2,307.6
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset Disc -5.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 9.56 %
BAM.PF.D Perpetual-Discount -4.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.78 %
IFC.PR.E Insurance Straight -3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.67 %
PVS.PR.K SplitShare -2.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.05
Bid-YTW : 7.69 %
RY.PR.N Perpetual-Discount -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.41 %
BAM.PR.B Floater -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 7.90 %
NA.PR.W FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 7.65 %
BIP.PR.E FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 21.34
Evaluated at bid price : 21.61
Bid-YTW : 7.75 %
BAM.PF.C Perpetual-Discount -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 6.69 %
BAM.PF.I FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 21.52
Evaluated at bid price : 21.80
Bid-YTW : 7.94 %
RY.PR.O Perpetual-Discount -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.41 %
CU.PR.H Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.69 %
PWF.PF.A Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 6.75 %
CU.PR.J Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.76 %
SLF.PR.G FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 8.87 %
TRP.PR.F FloatingReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 15.92
Evaluated at bid price : 15.92
Bid-YTW : 9.34 %
TRP.PR.E FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 9.12 %
MFC.PR.F FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 12.66
Evaluated at bid price : 12.66
Bid-YTW : 8.70 %
BAM.PF.H FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.36
Bid-YTW : 6.03 %
NA.PR.G FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 21.64
Evaluated at bid price : 22.05
Bid-YTW : 7.22 %
BAM.PF.J FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 22.62
Evaluated at bid price : 23.68
Bid-YTW : 7.17 %
MFC.PR.K FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 7.95 %
GWO.PR.H Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.64 %
PWF.PR.K Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.66 %
MFC.PR.N FixedReset Ins Non 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 8.48 %
BMO.PR.E FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 21.71
Evaluated at bid price : 22.15
Bid-YTW : 7.18 %
CU.PR.C FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.55 %
BAM.PF.F FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 8.93 %
TRP.PR.D FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 8.99 %
IAF.PR.I FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 7.83 %
PWF.PR.T FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.07 %
BMO.PR.S FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 7.42 %
MFC.PR.C Insurance Straight 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 6.55 %
BNS.PR.I FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 7.06 %
SLF.PR.D Insurance Straight 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 6.43 %
FTS.PR.K FixedReset Disc 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 8.72 %
BAM.PR.X FixedReset Disc 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 8.00 %
BMO.PR.Y FixedReset Disc 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 7.36 %
PWF.PR.Z Perpetual-Discount 4.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.56 %
CCS.PR.C Insurance Straight 7.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.66 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.B FixedReset Disc 269,294 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 9.77 %
PWF.PR.P FixedReset Disc 267,892 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 11.87
Evaluated at bid price : 11.87
Bid-YTW : 9.41 %
POW.PR.C Perpetual-Discount 194,290 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 22.45
Evaluated at bid price : 22.71
Bid-YTW : 6.43 %
IAF.PR.I FixedReset Ins Non 161,587 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 7.83 %
RY.PR.N Perpetual-Discount 133,246 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.41 %
RY.PR.O Perpetual-Discount 129,172 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.41 %
There were 95 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MIC.PR.A Perpetual-Discount Quote: 18.50 – 28.99
Spot Rate : 10.4900
Average : 6.5395

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.40 %

MFC.PR.M FixedReset Ins Non Quote: 17.10 – 22.00
Spot Rate : 4.9000
Average : 3.8560

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 8.44 %

BAM.PF.E FixedReset Disc Quote: 15.00 – 17.70
Spot Rate : 2.7000
Average : 1.7146

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 9.56 %

CM.PR.Q FixedReset Disc Quote: 19.81 – 22.15
Spot Rate : 2.3400
Average : 1.3813

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 7.36 %

MFC.PR.J FixedReset Ins Non Quote: 21.80 – 23.80
Spot Rate : 2.0000
Average : 1.1538

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 21.48
Evaluated at bid price : 21.80
Bid-YTW : 7.28 %

GWO.PR.Q Insurance Straight Quote: 19.37 – 21.30
Spot Rate : 1.9300
Average : 1.1109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-10-21
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 6.73 %

5 Responses to “October 21, 2022”

  1. stusclues says:

    “But there’s some guy on a preferred desk who’s going home with a big commission-derived smile tonight!”

    I sure hope he was executing client orders, against the firm’s better judgement. TRP.PR.B? That is the cheapest series by that issuer!

  2. Abacin8 says:

    Nothing abnormal, as in same happens every three months. Size market on close orders for the quarterly TXPR rebalance.

  3. jiHymas says:

    Nothing abnormal, as in same happens every three months. Size market on close orders for the quarterly TXPR rebalance.

    Well, maybe, but nothing close to this size happened in July. It’s possible that the continuing collapse in volume has caused an inordinate amount of index deletions, but I don’t know. There was also significant overall price movement, which I would not have expected.

    Do you know where I can find a notice of index changes? They used to be easy to find but now, not so much.

  4. Abacin8 says:

    Can’t be found for free unless you know someone who has access to them (I don’t). The TSX, for the sake of the buck, awhile back made the info subscription only. And it’s very expensive.

  5. jiHymas says:

    The TSX, for the sake of the buck, awhile back made the info subscription only. And it’s very expensive.

    I didn’t know that! But I should have guessed!

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