June 26, 2020

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TXPR closed at 528.61, down 0.55% on the day. Volume today was 1.49-million, near the lows of the past thirty days.

CPD closed at 10.525, down 0.43% on the day. Volume was 135,867, a little above the median of the past 30 trading days.

ZPR closed at 8.185, down 1.50% on the day. Volume of 301,200 was near the median the context of the past 30 trading days.

Five-year Canada yields were down 2bp at 0.36% today.

The carnage has been attributed to a familiar villain:

Wall Street’s major indexes tumbled more than 2% on Friday as several U.S. states imposed business restrictions in response to a surge in coronavirus cases. The TSX lost 1.66%, with both energy and financial sectors losing more than 2.5%.

Some U.S. states that were spared the brunt of the initial coronavirus outbreak or moved early to lift restrictions are seeing a resurgence in new infections. On Friday, Texas and Florida ordered bars to close down again.

A Wall Street Journal report that the Phase 1 U.S.-China trade deal could be at risk placed additional pressure on U.S. stocks. According to that report, Chinese officials warned that “meddling” in Hong Kong and Taiwan could lead Beijing to back away from its commitment to purchase U.S. farm goods.

Among sectors, financial, communication services and energy shares outpaced the broader S&P 500 in declines. S&P 500 bank shares plummeted 6.1% after the Federal Reserve limited dividend payments and barred share repurchases until at least the fourth quarter following its annual stress test.

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 -1.0638 % 1,445.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0638 % 2,651.6
Floater 5.42 % 5.73 % 50,002 14.30 4 -1.0638 % 1,528.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2632 % 3,444.8
SplitShare 4.88 % 5.02 % 68,879 3.82 7 -0.2632 % 4,113.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2632 % 3,209.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -2.6410 % 2,943.6
Perpetual-Discount 5.73 % 5.81 % 78,260 14.18 35 -2.6410 % 3,157.4
FixedReset Disc 6.29 % 5.12 % 149,276 14.90 83 -0.4510 % 1,818.3
Deemed-Retractible 5.36 % 5.65 % 92,103 14.35 27 -0.4374 % 3,192.1
FloatingReset 5.09 % 5.07 % 44,034 15.38 3 -1.4264 % 1,729.2
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.4510 % 2,514.7
FixedReset Bank Non 1.98 % 3.38 % 133,146 1.56 2 0.1639 % 2,786.7
FixedReset Ins Non 6.58 % 5.25 % 120,293 14.66 22 -0.8394 % 1,819.9
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -33.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 8.04 %
CU.PR.G Perpetual-Discount -26.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 7.15 %
BAM.PF.D Perpetual-Discount -22.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.26 %
TD.PF.E FixedReset Disc -14.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.78 %
MFC.PR.I FixedReset Ins Non -6.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.51 %
GWO.PR.N FixedReset Ins Non -5.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 8.75
Evaluated at bid price : 8.75
Bid-YTW : 4.82 %
SLF.PR.J FloatingReset -4.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 8.60
Evaluated at bid price : 8.60
Bid-YTW : 4.69 %
GWO.PR.R Deemed-Retractible -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.83 %
MFC.PR.M FixedReset Ins Non -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.38
Evaluated at bid price : 14.38
Bid-YTW : 5.24 %
BAM.PF.C Perpetual-Discount -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.81 %
MFC.PR.Q FixedReset Ins Non -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 5.14 %
TRP.PR.D FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 6.10 %
MFC.PR.F FixedReset Ins Non -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 9.13
Evaluated at bid price : 9.13
Bid-YTW : 4.93 %
GWO.PR.P Deemed-Retractible -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.87 %
BAM.PR.T FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 6.03 %
IFC.PR.G FixedReset Ins Non -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.46 %
TRP.PR.B FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 7.65
Evaluated at bid price : 7.65
Bid-YTW : 5.40 %
RY.PR.Z FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 4.81 %
RY.PR.M FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 4.86 %
BIP.PR.A FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 6.86 %
BAM.PR.N Perpetual-Discount -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 5.80 %
BAM.PR.K Floater -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 7.41
Evaluated at bid price : 7.41
Bid-YTW : 5.81 %
BMO.PR.S FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.86
Evaluated at bid price : 14.86
Bid-YTW : 5.01 %
BAM.PR.Z FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 6.14 %
PWF.PR.E Perpetual-Discount -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 22.92
Evaluated at bid price : 23.19
Bid-YTW : 6.03 %
MFC.PR.C Deemed-Retractible -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.44 %
TRP.PR.G FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 5.98 %
BIP.PR.F FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.37 %
PWF.PR.S Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.86 %
CIU.PR.A Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 5.55 %
BAM.PR.C Floater -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 7.50
Evaluated at bid price : 7.50
Bid-YTW : 5.73 %
IFC.PR.C FixedReset Ins Non -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 5.50 %
TRP.PR.E FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 6.10 %
BAM.PR.X FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 9.62
Evaluated at bid price : 9.62
Bid-YTW : 5.83 %
IAF.PR.G FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.61
Evaluated at bid price : 15.61
Bid-YTW : 5.27 %
HSE.PR.A FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 6.00
Evaluated at bid price : 6.00
Bid-YTW : 8.89 %
BAM.PR.B Floater -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 7.50
Evaluated at bid price : 7.50
Bid-YTW : 5.73 %
SLF.PR.H FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 5.34 %
MFC.PR.J FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.78
Evaluated at bid price : 15.78
Bid-YTW : 5.17 %
BMO.PR.Y FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.92 %
BAM.PF.E FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 6.01 %
PVS.PR.H SplitShare -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.20 %
TD.PF.H FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 22.38
Evaluated at bid price : 22.80
Bid-YTW : 5.00 %
BAM.PF.A FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.44
Evaluated at bid price : 15.44
Bid-YTW : 5.89 %
BMO.PR.B FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 22.33
Evaluated at bid price : 22.69
Bid-YTW : 4.95 %
BMO.PR.T FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.02 %
PWF.PR.R Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 23.27
Evaluated at bid price : 23.55
Bid-YTW : 5.93 %
MFC.PR.N FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 5.21 %
BAM.PF.I FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 22.86
Evaluated at bid price : 23.24
Bid-YTW : 5.17 %
CU.PR.C FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 4.86 %
SLF.PR.G FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 8.95
Evaluated at bid price : 8.95
Bid-YTW : 4.98 %
TD.PF.J FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 4.85 %
TRP.PR.F FloatingReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 9.66
Evaluated at bid price : 9.66
Bid-YTW : 5.50 %
TD.PF.D FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 4.96 %
NA.PR.G FixedReset Disc 4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 4.97 %
MFC.PR.H FixedReset Ins Non 7.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 5.25 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.A Deemed-Retractible 56,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 22.05
Evaluated at bid price : 22.34
Bid-YTW : 5.33 %
SLF.PR.E Deemed-Retractible 49,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.34 %
TD.PF.L FixedReset Disc 38,007 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 4.82 %
PWF.PR.K Perpetual-Discount 34,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.86 %
CU.PR.E Perpetual-Discount 33,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 22.84
Evaluated at bid price : 23.21
Bid-YTW : 5.31 %
CU.PR.G Perpetual-Discount 31,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 7.15 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 14.21 – 21.84
Spot Rate : 7.6300
Average : 4.0718

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 8.04 %

CU.PR.G Perpetual-Discount Quote: 15.96 – 21.80
Spot Rate : 5.8400
Average : 3.1089

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 7.15 %

BAM.PF.D Perpetual-Discount Quote: 17.01 – 22.47
Spot Rate : 5.4600
Average : 2.9993

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.26 %

BAM.PR.X FixedReset Disc Quote: 9.62 – 17.27
Spot Rate : 7.6500
Average : 6.5353

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 9.62
Evaluated at bid price : 9.62
Bid-YTW : 5.83 %

MFC.PR.I FixedReset Ins Non Quote: 15.40 – 18.00
Spot Rate : 2.6000
Average : 1.4969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.51 %

TD.PF.E FixedReset Disc Quote: 14.30 – 16.62
Spot Rate : 2.3200
Average : 1.3659

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-06-26
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.78 %

4 Responses to “June 26, 2020”

  1. fsabbagh says:

    Hi,

    You are showing CU-PF.to at -33.94% perfomance. That is due to a stink bid in the system at 14.21? It closed at $21.61 yesterday. Sorry for the newbie question.

    Thx
    FS

  2. jiHymas says:

    Yes; as shown in the last table (of Wide Spreads) the closing quote supplied at great expense by the Toronto Stock Exchange was 14.21 – 21.84.

    In happier times (e.g., March 3, 2020) I provide additional commentary on these ludicrous quotes and include the following paragraph:

    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.

    The first of the quoted links provides an explanation of why most of the quotes are so awful. The second accounts for the balance.

    However, since the start of the coronavirus shutdown, the quotes have become so bad that it would simply take too long every single damn day.

    An eMail to the Exchange telling them how very little their reporting impresses you would be appreciated!

  3. Szeven says:

    I am interested if anyone has comments in potential Yield Curve Control by the BoC. I think a lot of us price in some optionality on the rate resets, but if the 5yr pegs to say 0.05 these issues are going to plummet.

  4. jiHymas says:

    I am interested if anyone has comments in potential Yield Curve Control by the BoC.

    There were some comments on Yield Curve Control on June 16.

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