{"id":45905,"date":"2023-10-18T20:41:31","date_gmt":"2023-10-19T01:41:31","guid":{"rendered":"https:\/\/prefblog.com\/?p=45905"},"modified":"2023-10-18T20:41:31","modified_gmt":"2023-10-19T01:41:31","slug":"october-18-2023","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=45905","title":{"rendered":"October 18, 2023"},"content":{"rendered":"
<\/a><\/div>\n

TXPR closed at 503.42<\/a>, down 0.56% on the day and setting a new 52-week low. Volume today was 1.61-million, above the median of the past 21 trading days.<\/p>\n

CPD closed at 10.03<\/a>, down 0.60% on the day and setting a new 52-week low. Volume was 116,440, second-highest of the past 21 trading days.<\/p>\n

ZPR closed at 8.42<\/a>, down 0.71% on the day. Volume was 141,000, near the median of the past 21 trading days.<\/p>\n

Five-year Canada yields were up to 4.37%<\/a>.<\/p>\n

I don’t know what a pundit might call this<\/a>. Risk-off? Flight to safety? Response to rising yields? The last makes the least sense, so I suppose that gets the vote.<\/p>\n

U.S. and Canadian stocks ended sharply lower on Wednesday with Treasury yields rising again and investors assessing the latest batch of quarterly corporate results and forecasts.<\/p>\n

Mounting tensions in the Middle East stoked risk aversion. Safe-haven gold hit its highest in more than two months while the Cboe Volatility index, Wall Street\u2019s fear gauge, rose. Dividend-rich sectors of the TSX were particularly hard hit, with industrials, real estate, financials and telecom sectors all down by about 2%.<\/p>\n

The yield on U.S. 10-year notes rose 4.9 basis points to 4.896% after earlier in the day hitting 4.928%, the highest for the benchmark Treasury since July 2007. The Canada 10-year was up 3.4 basis points at 4.108%, moving closer to a 16-year high it touched earlier this month at 4.292%.<\/p>\n

Yields edged higher after data showing U.S. single-family homebuilding rebounded in September, stoking the view that the Federal Reserve will keep interest rates higher for longer.<\/p><\/blockquote>\n

PerpetualDiscounts now yield 7.20%, equivalent to 9.36% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yielded 5.68% on 2023-10-13 and since then the closing price has changed from 13.98 to 13.76, a decrease of 157bp in price, with a Duration of 11.98 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 13bp since 10\/13 to 5.81%, so the pre-tax interest-equivalent spread (in this context, the \u201cSeniority Spread\u201d) has narrowed slightly (and perhaps spuriously) to 355bp from the 360bp reported October 11<\/a>.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref\u2122 Preferred Indices
\nThese values reflect the December 2008 revision of the HIMIPref\u2122 Indices<\/strong>
\nValues are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
\nCurrent
\nYield
\n(at bid)<\/td>\n		Median
\nYTW<\/td>\n		Median
\nAverage
\nTrading
\nValue<\/td>\n		Median
\nMod Dur
\n(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1796 %<\/td>\n2,155.7<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1796 %<\/td>\n4,134.7<\/td>\n<\/tr>\n
Floater<\/td>\n11.30 %<\/td>\n11.47 %<\/td>\n52,812<\/td>\n8.48<\/td>\n2<\/td>\n0.1796 %<\/td>\n2,382.8<\/td>\n<\/tr>\n
OpRet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3059 %<\/td>\n3,267.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.12 %<\/td>\n8.92 %<\/td>\n38,983<\/td>\n1.89<\/td>\n7<\/td>\n-0.3059 %<\/td>\n3,901.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3059 %<\/td>\n3,044.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.6312 %<\/td>\n2,431.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n7.06 %<\/td>\n7.20 %<\/td>\n42,738<\/td>\n12.33<\/td>\n31<\/td>\n-0.6312 %<\/td>\n2,651.7<\/td>\n<\/tr>\n
FixedReset Disc<\/td>\n6.13 %<\/td>\n9.37 %<\/td>\n102,791<\/td>\n10.54<\/td>\n55<\/td>\n-0.3537 %<\/td>\n2,084.1<\/td>\n<\/tr>\n
Insurance Straight<\/td>\n6.94 %<\/td>\n7.09 %<\/td>\n60,150<\/td>\n12.43<\/td>\n16<\/td>\n-0.6259 %<\/td>\n2,592.7<\/td>\n<\/tr>\n
FloatingReset<\/td>\n11.25 %<\/td>\n11.47 %<\/td>\n36,299<\/td>\n8.48<\/td>\n1<\/td>\n-1.7264 %<\/td>\n2,380.5<\/td>\n<\/tr>\n
FixedReset Prem<\/td>\n4.76 %<\/td>\n5.42 %<\/td>\n424,002<\/td>\n0.12<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,298.2<\/td>\n<\/tr>\n
FixedReset Bank Non<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3537 %<\/td>\n2,130.4<\/td>\n<\/tr>\n
FixedReset Ins Non<\/td>\n6.31 %<\/td>\n9.25 %<\/td>\n65,026<\/td>\n10.73<\/td>\n14<\/td>\n-0.6093 %<\/td>\n2,251.6<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset Ins Non<\/td>\n-3.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 15.97
\nEvaluated at bid price : 15.97
\nBid-YTW : 9.69 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n-2.93 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 11.60
\nEvaluated at bid price : 11.60
\nBid-YTW : 11.06 %<\/td>\n<\/tr>\n
BN.PR.N<\/td>\nPerpetual-Discount<\/td>\n-2.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 15.80
\nEvaluated at bid price : 15.80
\nBid-YTW : 7.62 %<\/td>\n<\/tr>\n
BIK.PR.A<\/td>\nFixedReset Disc<\/td>\n-2.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 20.36
\nEvaluated at bid price : 20.36
\nBid-YTW : 10.13 %<\/td>\n<\/tr>\n
PVS.PR.K<\/td>\nSplitShare<\/td>\n-1.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2029-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.20
\nBid-YTW : 9.05 %<\/td>\n<\/tr>\n
BN.PF.H<\/td>\nFixedReset Disc<\/td>\n-1.85 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 18.60
\nEvaluated at bid price : 18.60
\nBid-YTW : 10.53 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nInsurance Straight<\/td>\n-1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 16.10
\nEvaluated at bid price : 16.10
\nBid-YTW : 7.08 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset Ins Non<\/td>\n-1.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 12.72
\nEvaluated at bid price : 12.72
\nBid-YTW : 9.87 %<\/td>\n<\/tr>\n
SLF.PR.J<\/td>\nFloatingReset<\/td>\n-1.73 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 14.80
\nEvaluated at bid price : 14.80
\nBid-YTW : 11.47 %<\/td>\n<\/tr>\n
PWF.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.68 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 20.50
\nEvaluated at bid price : 20.50
\nBid-YTW : 7.24 %<\/td>\n<\/tr>\n
MFC.PR.K<\/td>\nFixedReset Ins Non<\/td>\n-1.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 19.25
\nEvaluated at bid price : 19.25
\nBid-YTW : 8.51 %<\/td>\n<\/tr>\n
IFC.PR.K<\/td>\nPerpetual-Discount<\/td>\n-1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 18.60
\nEvaluated at bid price : 18.60
\nBid-YTW : 7.15 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nInsurance Straight<\/td>\n-1.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 18.11
\nEvaluated at bid price : 18.11
\nBid-YTW : 7.27 %<\/td>\n<\/tr>\n
TD.PF.B<\/td>\nFixedReset Disc<\/td>\n-1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 17.89
\nEvaluated at bid price : 17.89
\nBid-YTW : 9.02 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nInsurance Straight<\/td>\n-1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 17.06
\nEvaluated at bid price : 17.06
\nBid-YTW : 7.20 %<\/td>\n<\/tr>\n
CU.PR.J<\/td>\nPerpetual-Discount<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 16.90
\nEvaluated at bid price : 16.90
\nBid-YTW : 7.16 %<\/td>\n<\/tr>\n
BN.PF.E<\/td>\nFixedReset Disc<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 14.08
\nEvaluated at bid price : 14.08
\nBid-YTW : 11.41 %<\/td>\n<\/tr>\n
GWO.PR.Y<\/td>\nInsurance Straight<\/td>\n-1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 16.06
\nEvaluated at bid price : 16.06
\nBid-YTW : 7.09 %<\/td>\n<\/tr>\n
GWO.PR.R<\/td>\nInsurance Straight<\/td>\n-1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 17.00
\nEvaluated at bid price : 17.00
\nBid-YTW : 7.15 %<\/td>\n<\/tr>\n
BN.PF.C<\/td>\nPerpetual-Discount<\/td>\n-1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 16.33
\nEvaluated at bid price : 16.33
\nBid-YTW : 7.53 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset Disc<\/td>\n-1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 17.40
\nEvaluated at bid price : 17.40
\nBid-YTW : 9.13 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
\nTraded<\/td>\n		Notes<\/td>\n<\/tr>\n
TD.PF.K<\/td>\nFixedReset Prem<\/td>\n145,379<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2023-11-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.94
\nBid-YTW : 5.42 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset Disc<\/td>\n76,483<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 16.73
\nEvaluated at bid price : 16.73
\nBid-YTW : 9.54 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset Disc<\/td>\n74,887<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 11.60
\nEvaluated at bid price : 11.60
\nBid-YTW : 11.06 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset Ins Non<\/td>\n64,800<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 13.20
\nEvaluated at bid price : 13.20
\nBid-YTW : 9.88 %<\/td>\n<\/tr>\n
RY.PR.S<\/td>\nFixedReset Disc<\/td>\n51,088<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 20.31
\nEvaluated at bid price : 20.31
\nBid-YTW : 8.33 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset Disc<\/td>\n41,003<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 18.32
\nEvaluated at bid price : 18.32
\nBid-YTW : 9.05 %<\/td>\n<\/tr>\n
There were 16 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 16.37 – 18.28
\nSpot Rate : 1.9100
\nAverage : 1.6331<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 16.37
\nEvaluated at bid price : 16.37
\nBid-YTW : 7.00 %<\/td>\n<\/tr>\n

BN.PR.K<\/td>\nFloater<\/td>\nQuote: 11.11 – 11.79
\nSpot Rate : 0.6800
\nAverage : 0.4168<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 11.11
\nEvaluated at bid price : 11.11
\nBid-YTW : 11.57 %<\/td>\n<\/tr>\n

BIK.PR.A<\/td>\nFixedReset Disc<\/td>\nQuote: 20.36 – 21.00
\nSpot Rate : 0.6400
\nAverage : 0.4581<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 20.36
\nEvaluated at bid price : 20.36
\nBid-YTW : 10.13 %<\/td>\n<\/tr>\n

GWO.PR.Y<\/td>\nInsurance Straight<\/td>\nQuote: 16.06 – 16.70
\nSpot Rate : 0.6400
\nAverage : 0.4661<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 16.06
\nEvaluated at bid price : 16.06
\nBid-YTW : 7.09 %<\/td>\n<\/tr>\n

TD.PF.C<\/td>\nFixedReset Disc<\/td>\nQuote: 16.70 – 17.20
\nSpot Rate : 0.5000
\nAverage : 0.3338<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 16.70
\nEvaluated at bid price : 16.70
\nBid-YTW : 9.46 %<\/td>\n<\/tr>\n

BN.PF.F<\/td>\nFixedReset Disc<\/td>\nQuote: 16.45 – 17.00
\nSpot Rate : 0.5500
\nAverage : 0.3849<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2053-10-18
\nMaturity Price : 16.45
\nEvaluated at bid price : 16.45
\nBid-YTW : 10.66 %<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

TXPR closed at 503.42, down 0.56% on the day and setting a new 52-week low. Volume today was 1.61-million, above the median of the past 21 trading days. CPD closed at 10.03, down 0.60% on …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-45905","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45905","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=45905"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/45905\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=45905"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=45905"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=45905"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}