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TXPR closed at 636.13, up 1.11% on the day. Volume today was 3.07-million, near the high-end of daily volumes in the past 20 trading days.
CPD closed at 12.64, up 0.72% on the day. Volume was 87,284, perhaps a little above the median of the past 20 trading days.
ZPR closed at 10.18, up 0.49% on the day. Volume of 195,947 was above the median of the past 20 trading days.
Five-year Canada yields were up 1bp to 0.43% today.
Today’s pop can be ascribed to the Empire Life intent to issue LRCNs to finance the redemption of EML.PR.A.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | 4.0243 % | 2,067.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 4.0243 % | 3,794.2 |
| Floater | 4.18 % | 4.22 % | 48,259 | 16.95 | 3 | 4.0243 % | 2,186.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0171 % | 3,629.9 |
| SplitShare | 4.70 % | 4.45 % | 38,764 | 4.17 | 8 | 0.0171 % | 4,334.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0171 % | 3,382.2 |
| Perpetual-Premium | 5.34 % | -4.30 % | 74,381 | 0.09 | 18 | 0.2286 % | 3,239.5 |
| Perpetual-Discount | 4.98 % | 4.97 % | 73,914 | 15.43 | 13 | 0.1010 % | 3,708.4 |
| FixedReset Disc | 4.82 % | 3.70 % | 147,740 | 17.68 | 56 | 0.6432 % | 2,430.6 |
| Insurance Straight | 5.01 % | 4.74 % | 94,401 | 15.30 | 22 | 0.3605 % | 3,590.2 |
| FloatingReset | 2.48 % | 0.49 % | 27,436 | 0.08 | 3 | 0.0203 % | 1,941.1 |
| FixedReset Prem | 5.12 % | 3.41 % | 192,570 | 1.04 | 20 | 0.2356 % | 2,714.5 |
| FixedReset Bank Non | 1.79 % | 1.62 % | 188,343 | 0.98 | 2 | -0.1601 % | 2,886.2 |
| FixedReset Ins Non | 4.78 % | 3.63 % | 87,405 | 17.77 | 22 | 1.4454 % | 2,547.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TD.PF.K | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 22.42 Evaluated at bid price : 22.92 Bid-YTW : 3.50 % |
| TRP.PR.B | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 10.01 Evaluated at bid price : 10.01 Bid-YTW : 4.29 % |
| IFC.PR.I | Perpetual-Premium | 1.15 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-03-31 Maturity Price : 25.00 Evaluated at bid price : 26.35 Bid-YTW : 4.70 % |
| GWO.PR.T | Insurance Straight | 1.18 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-06-30 Maturity Price : 25.25 Evaluated at bid price : 25.70 Bid-YTW : 4.79 % |
| BAM.PF.G | FixedReset Disc | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 17.92 Evaluated at bid price : 17.92 Bid-YTW : 4.60 % |
| RY.PR.S | FixedReset Disc | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 22.60 Evaluated at bid price : 23.28 Bid-YTW : 3.25 % |
| GWO.PR.I | Insurance Straight | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 23.95 Evaluated at bid price : 24.20 Bid-YTW : 4.69 % |
| MFC.PR.K | FixedReset Ins Non | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 3.62 % |
| NA.PR.E | FixedReset Disc | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 21.65 Evaluated at bid price : 22.08 Bid-YTW : 3.57 % |
| BMO.PR.F | FixedReset Prem | 1.36 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-25 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 3.73 % |
| SLF.PR.H | FixedReset Ins Non | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 18.68 Evaluated at bid price : 18.68 Bid-YTW : 3.51 % |
| BNS.PR.I | FixedReset Disc | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 22.81 Evaluated at bid price : 23.65 Bid-YTW : 3.25 % |
| TD.PF.D | FixedReset Disc | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 22.27 Evaluated at bid price : 22.94 Bid-YTW : 3.46 % |
| TD.PF.J | FixedReset Disc | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 23.00 Evaluated at bid price : 23.30 Bid-YTW : 3.52 % |
| MFC.PR.J | FixedReset Ins Non | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 21.70 Evaluated at bid price : 22.15 Bid-YTW : 3.63 % |
| IFC.PR.G | FixedReset Ins Non | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 3.91 % |
| MFC.PR.M | FixedReset Ins Non | 1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 3.69 % |
| SLF.PR.I | FixedReset Ins Non | 1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 21.47 Evaluated at bid price : 21.80 Bid-YTW : 3.65 % |
| IFC.PR.A | FixedReset Ins Non | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 15.64 Evaluated at bid price : 15.64 Bid-YTW : 3.64 % |
| PWF.PR.P | FixedReset Disc | 1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 12.75 Evaluated at bid price : 12.75 Bid-YTW : 3.98 % |
| IAF.PR.G | FixedReset Ins Non | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 22.57 Evaluated at bid price : 23.00 Bid-YTW : 3.59 % |
| RY.PR.J | FixedReset Disc | 2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 22.15 Evaluated at bid price : 22.71 Bid-YTW : 3.44 % |
| MFC.PR.L | FixedReset Ins Non | 2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 19.19 Evaluated at bid price : 19.19 Bid-YTW : 3.67 % |
| BAM.PF.E | FixedReset Disc | 2.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 4.65 % |
| MFC.PR.I | FixedReset Ins Non | 2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 22.84 Evaluated at bid price : 23.24 Bid-YTW : 3.63 % |
| MFC.PR.Q | FixedReset Ins Non | 2.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 21.97 Evaluated at bid price : 22.21 Bid-YTW : 3.60 % |
| TRP.PR.C | FixedReset Disc | 2.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 11.20 Evaluated at bid price : 11.20 Bid-YTW : 4.40 % |
| IFC.PR.C | FixedReset Ins Non | 3.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 20.46 Evaluated at bid price : 20.46 Bid-YTW : 3.81 % |
| MFC.PR.G | FixedReset Ins Non | 3.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 22.20 Evaluated at bid price : 22.92 Bid-YTW : 3.63 % |
| BAM.PR.K | Floater | 3.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 10.21 Evaluated at bid price : 10.21 Bid-YTW : 4.24 % |
| BAM.PR.B | Floater | 4.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 10.30 Evaluated at bid price : 10.30 Bid-YTW : 4.20 % |
| BAM.PR.C | Floater | 4.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 10.25 Evaluated at bid price : 10.25 Bid-YTW : 4.22 % |
| BAM.PR.X | FixedReset Disc | 7.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 4.22 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.C | FixedReset Disc | 152,912 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 23.82 Evaluated at bid price : 25.05 Bid-YTW : 3.70 % |
| BAM.PR.X | FixedReset Disc | 130,850 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 4.22 % |
| GWO.PR.N | FixedReset Ins Non | 124,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 12.20 Evaluated at bid price : 12.20 Bid-YTW : 3.57 % |
| BAM.PF.F | FixedReset Disc | 112,062 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 18.92 Evaluated at bid price : 18.92 Bid-YTW : 4.58 % |
| TRP.PR.A | FixedReset Disc | 107,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 13.90 Evaluated at bid price : 13.90 Bid-YTW : 4.70 % |
| MFC.PR.F | FixedReset Ins Non | 100,630 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-02 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 3.57 % |
| There were 44 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BNS.PR.Z | FixedReset Bank Non | Quote: 24.91 – 25.50 Spot Rate : 0.5900 Average : 0.3146 YTW SCENARIO |
| IFC.PR.I | Perpetual-Premium | Quote: 26.35 – 27.03 Spot Rate : 0.6800 Average : 0.4524 YTW SCENARIO |
| GWO.PR.R | Insurance Straight | Quote: 24.56 – 25.13 Spot Rate : 0.5700 Average : 0.3546 YTW SCENARIO |
| CU.PR.C | FixedReset Disc | Quote: 18.60 – 19.20 Spot Rate : 0.6000 Average : 0.3979 YTW SCENARIO |
| BAM.PR.M | Perpetual-Discount | Quote: 23.45 – 23.99 Spot Rate : 0.5400 Average : 0.3704 YTW SCENARIO |
| TRP.PR.G | FixedReset Disc | Quote: 17.49 – 17.99 Spot Rate : 0.5000 Average : 0.3328 YTW SCENARIO |