Another grim day for the Canadian preferred shares market. TXPR touched a new 52 Week low of 695.25 (note that this is the price index, not the total return index; saying that this is a 52-week low ignores interim dividends paid), while, unsurprisingly, CPD did the same, touching a new 52 Week low of 13.93 (with a similar not about dividends!). Volume in CPD was valued at $1.7-million the highest in the past month, while the calculated volume of TXPR was on the high side for the past month, but only a bit more than half the October 19 value.
| 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 | 0.3258 % | 3,100.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3258 % | 5,688.9 |
| Floater | 3.50 % | 3.72 % | 40,596 | 18.03 | 4 | 0.3258 % | 3,278.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0079 % | 3,227.9 |
| SplitShare | 4.61 % | 4.79 % | 50,654 | 4.70 | 5 | 0.0079 % | 3,854.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0079 % | 3,007.7 |
| Perpetual-Premium | 5.65 % | 5.08 % | 78,665 | 14.02 | 12 | -0.1169 % | 2,895.5 |
| Perpetual-Discount | 5.61 % | 5.75 % | 76,432 | 14.27 | 21 | -0.0362 % | 2,921.7 |
| FixedReset Disc | 4.24 % | 5.16 % | 148,400 | 15.32 | 45 | -0.1914 % | 2,567.5 |
| Deemed-Retractible | 5.35 % | 6.80 % | 63,847 | 5.23 | 27 | -0.1135 % | 2,891.4 |
| FloatingReset | 3.67 % | 3.79 % | 43,510 | 5.52 | 4 | -0.5109 % | 2,835.6 |
| FixedReset Prem | 4.89 % | 4.29 % | 259,630 | 3.06 | 34 | -0.0162 % | 2,559.2 |
| FixedReset Bank Non | 3.11 % | 3.61 % | 79,497 | 0.33 | 8 | 0.0713 % | 2,577.7 |
| FixedReset Ins Non | 4.46 % | 5.82 % | 118,557 | 5.35 | 22 | -0.0797 % | 2,515.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.R | FixedReset Disc | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-23 Maturity Price : 20.68 Evaluated at bid price : 20.68 Bid-YTW : 5.41 % |
| TRP.PR.F | FloatingReset | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-23 Maturity Price : 20.47 Evaluated at bid price : 20.47 Bid-YTW : 4.41 % |
| CU.PR.C | FixedReset Disc | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-23 Maturity Price : 21.43 Evaluated at bid price : 21.43 Bid-YTW : 5.33 % |
| MFC.PR.L | FixedReset Ins Non | -1.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.55 Bid-YTW : 7.39 % |
| IGM.PR.B | Perpetual-Premium | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-23 Maturity Price : 24.64 Evaluated at bid price : 24.95 Bid-YTW : 5.93 % |
| TRP.PR.C | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-23 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 5.28 % |
| MFC.PR.J | FixedReset Ins Non | -1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.08 Bid-YTW : 5.82 % |
| MFC.PR.M | FixedReset Ins Non | 1.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.63 Bid-YTW : 6.57 % |
| PWF.PR.R | Perpetual-Premium | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-23 Maturity Price : 23.97 Evaluated at bid price : 24.30 Bid-YTW : 5.67 % |
| MFC.PR.F | FixedReset Ins Non | 1.26 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.69 Bid-YTW : 9.39 % |
| BAM.PF.D | Perpetual-Discount | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-23 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 5.97 % |
| IFC.PR.A | FixedReset Ins Non | 1.75 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.32 Bid-YTW : 7.46 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.D | Deemed-Retractible | 367,328 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-11-22 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : 1.80 % |
| RY.PR.Q | FixedReset Prem | 111,908 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 26.26 Bid-YTW : 3.82 % |
| TD.PR.Y | FixedReset Bank Non | 57,800 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-11-30 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 3.61 % |
| MFC.PR.H | FixedReset Ins Non | 54,985 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.28 Bid-YTW : 6.21 % |
| BMO.PR.E | FixedReset Prem | 44,600 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-11-25 Maturity Price : 25.00 Evaluated at bid price : 25.19 Bid-YTW : 4.82 % |
| BIP.PR.C | FixedReset Prem | 38,220 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 4.99 % |
| There were 24 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.R | FixedReset Disc | Quote: 20.68 – 21.28 Spot Rate : 0.6000 Average : 0.3956 YTW SCENARIO |
| IFC.PR.F | Deemed-Retractible | Quote: 23.25 – 23.99 Spot Rate : 0.7400 Average : 0.5812 YTW SCENARIO |
| BAM.PF.F | FixedReset Disc | Quote: 24.27 – 24.84 Spot Rate : 0.5700 Average : 0.4177 YTW SCENARIO |
| BAM.PR.N | Perpetual-Discount | Quote: 20.10 – 20.61 Spot Rate : 0.5100 Average : 0.3612 YTW SCENARIO |
| IGM.PR.B | Perpetual-Premium | Quote: 24.95 – 25.37 Spot Rate : 0.4200 Average : 0.2881 YTW SCENARIO |
| BAM.PF.C | Perpetual-Discount | Quote: 20.71 – 21.17 Spot Rate : 0.4600 Average : 0.3373 YTW SCENARIO |