October 31, 2019

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TXPR closed at 599.07, down 0.61% on the day. Volume was 1.89-million, well below average in the context of the past thirty days.

CPD closed at 11.97, down 0.50% on the day. Volume of 96,361 was above the median in the context of the past 30 days.

ZPR closed at 9.56, down 0.42% on the day. Volume of 266,063 was third-highest of the past 30 days, behind only October 30 and October 2.

Five-year Canada yields were down 4bp to 1.42% today.

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 -2.2346 % 1,912.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.2346 % 3,508.5
Floater 6.32 % 6.49 % 47,254 13.18 4 -2.2346 % 2,022.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0507 % 3,385.1
SplitShare 4.65 % 4.67 % 48,598 3.90 7 -0.0507 % 4,042.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0507 % 3,154.1
Perpetual-Premium 5.51 % -19.67 % 56,577 0.09 8 0.0245 % 3,028.9
Perpetual-Discount 5.36 % 5.44 % 64,642 14.73 25 0.0006 % 3,236.5
FixedReset Disc 5.69 % 5.68 % 183,746 14.36 66 -1.3757 % 2,066.2
Deemed-Retractible 5.20 % 5.73 % 63,973 7.81 27 0.0440 % 3,177.3
FloatingReset 6.28 % 6.81 % 91,350 12.74 2 -0.8188 % 2,436.1
FixedReset Prem 5.14 % 4.07 % 157,342 1.65 20 -0.1930 % 2,606.0
FixedReset Bank Non 1.96 % 4.17 % 95,681 2.19 3 -0.0650 % 2,694.2
FixedReset Ins Non 5.47 % 8.44 % 114,804 7.83 21 -0.9084 % 2,111.4
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -5.43 % A nonsensical quote provided at high cost by Nonsense Central, as the issue traded 732 shares today in a range of 12.76-18 before being quoted at 12.55-95. The closing price was 12.76, reached at 12:40pm.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 5.96 %

PWF.PR.A Floater -4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 11.52
Evaluated at bid price : 11.52
Bid-YTW : 6.01 %
TRP.PR.B FixedReset Disc -3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 10.90
Evaluated at bid price : 10.90
Bid-YTW : 6.23 %
BAM.PR.Z FixedReset Disc -3.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.08 %
NA.PR.C FixedReset Disc -3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.73 %
HSE.PR.E FixedReset Disc -2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 7.35 %
EMA.PR.F FixedReset Disc -2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 6.30 %
TRP.PR.C FixedReset Disc -2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 11.49
Evaluated at bid price : 11.49
Bid-YTW : 6.38 %
RY.PR.M FixedReset Disc -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 5.71 %
TRP.PR.A FixedReset Disc -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 6.32 %
TD.PF.I FixedReset Disc -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 5.42 %
BAM.PR.C Floater -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 10.63
Evaluated at bid price : 10.63
Bid-YTW : 6.59 %
CM.PR.Q FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 5.92 %
SLF.PR.H FixedReset Ins Non -2.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.75
Bid-YTW : 9.12 %
SLF.PR.G FixedReset Ins Non -2.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.13
Bid-YTW : 10.55 %
TD.PF.J FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.56 %
CM.PR.P FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 15.93
Evaluated at bid price : 15.93
Bid-YTW : 5.79 %
TRP.PR.G FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.38 %
TD.PF.D FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 5.68 %
TD.PF.A FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.55 %
RY.PR.J FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 5.68 %
IFC.PR.A FixedReset Ins Non -1.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.38
Bid-YTW : 10.08 %
MFC.PR.F FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.55
Bid-YTW : 10.98 %
CU.PR.C FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.70 %
BAM.PR.R FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 14.72
Evaluated at bid price : 14.72
Bid-YTW : 6.28 %
BAM.PR.T FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 6.31 %
BNS.PR.I FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 5.45 %
NA.PR.S FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 5.74 %
BAM.PR.X FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 13.08
Evaluated at bid price : 13.08
Bid-YTW : 6.08 %
BAM.PF.G FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 17.39
Evaluated at bid price : 17.39
Bid-YTW : 6.22 %
GWO.PR.N FixedReset Ins Non -1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.75
Bid-YTW : 9.72 %
PWF.PR.T FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.88 %
HSE.PR.G FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 7.34 %
CM.PR.R FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 5.64 %
BAM.PF.E FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.32 %
RY.PR.H FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 5.44 %
IAF.PR.G FixedReset Ins Non -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.68 %
RY.PR.S FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.33 %
TRP.PR.D FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 6.04 %
EMA.PR.E Perpetual-Discount -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.44 %
BAM.PR.K Floater -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 6.49 %
BMO.PR.D FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.47 %
TD.PF.E FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.64 %
IAF.PR.I FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.57
Bid-YTW : 7.63 %
TD.PF.K FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 5.56 %
MFC.PR.J FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.23
Bid-YTW : 8.44 %
HSE.PR.C FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 16.09
Evaluated at bid price : 16.09
Bid-YTW : 7.18 %
BAM.PF.A FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 5.93 %
TD.PF.C FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.53 %
BMO.PR.E FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.50 %
CM.PR.O FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 5.78 %
MFC.PR.K FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.50
Bid-YTW : 8.57 %
TD.PF.B FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.52 %
BAM.PF.B FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 5.94 %
CM.PR.S FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 5.65 %
TD.PF.M FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 22.93
Evaluated at bid price : 24.32
Bid-YTW : 5.10 %
NA.PR.G FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 5.78 %
BMO.PR.Y FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 5.54 %
NA.PR.W FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 5.81 %
MFC.PR.N FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.24
Bid-YTW : 9.18 %
IFC.PR.G FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.25
Bid-YTW : 8.48 %
TD.PF.F Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 24.37
Evaluated at bid price : 24.85
Bid-YTW : 4.93 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.F FixedReset Disc 52,705 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 22.87
Evaluated at bid price : 24.15
Bid-YTW : 5.08 %
BMO.PR.S FixedReset Disc 42,192 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.44 %
RY.PR.S FixedReset Disc 41,392 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.33 %
RY.PR.M FixedReset Disc 32,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 5.71 %
RY.PR.Z FixedReset Disc 30,276 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 5.43 %
CM.PR.R FixedReset Disc 28,784 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 5.64 %
There were 42 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.Z FixedReset Disc Quote: 18.52 – 19.15
Spot Rate : 0.6300
Average : 0.4053

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.08 %

CU.PR.C FixedReset Disc Quote: 16.75 – 17.30
Spot Rate : 0.5500
Average : 0.3537

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.70 %

EMA.PR.E Perpetual-Discount Quote: 20.76 – 21.27
Spot Rate : 0.5100
Average : 0.3294

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.44 %

TD.PF.A FixedReset Disc Quote: 16.60 – 16.95
Spot Rate : 0.3500
Average : 0.2034

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.55 %

IFC.PR.C FixedReset Ins Non Quote: 17.30 – 17.72
Spot Rate : 0.4200
Average : 0.2801

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.30
Bid-YTW : 8.56 %

PWF.PR.P FixedReset Disc Quote: 12.55 – 12.95
Spot Rate : 0.4000
Average : 0.2621

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-31
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 5.96 %

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