The TXPR Index hit a new 52-week low today, touching 667.15, well below the prior low (set on October 30) of 669.90. There have now been seven straight days of losses, during which the price index has gone down 2.73%.
CPD closed at 13.38, its low for the day, just a penny above its 52-week low set on October 30.
ZPR touched a new low of 10.98 today, two and a half cents below the prior figure of 11.005, hit on October 30.
So … lousy day, lousy week. The five-year Canada closed at 2.29%, well off its recent yield highs in the 2.45% area, which I suppose has something to do with the decline. My mail-box will shortly start filling up again with questions about negative yields, I’m sure!
| 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 | -1.4454 % | 2,979.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.4454 % | 5,467.7 |
| Floater | 3.90 % | 4.16 % | 39,196 | 17.04 | 4 | -1.4454 % | 3,151.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2879 % | 3,198.0 |
| SplitShare | 4.51 % | 5.09 % | 58,275 | 4.16 | 6 | 0.2879 % | 3,819.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2879 % | 2,979.8 |
| Perpetual-Premium | 5.89 % | 2.23 % | 50,847 | 0.08 | 3 | -0.5662 % | 2,880.6 |
| Perpetual-Discount | 5.62 % | 5.76 % | 70,918 | 14.23 | 31 | -0.5773 % | 2,915.5 |
| FixedReset Disc | 4.60 % | 5.45 % | 162,208 | 14.73 | 58 | -1.0181 % | 2,422.4 |
| Deemed-Retractible | 5.37 % | 7.11 % | 71,092 | 5.16 | 27 | -0.4039 % | 2,889.3 |
| FloatingReset | 3.86 % | 4.31 % | 37,062 | 5.39 | 6 | -0.5473 % | 2,723.1 |
| FixedReset Prem | 5.08 % | 4.58 % | 201,341 | 2.54 | 22 | -0.3489 % | 2,520.4 |
| FixedReset Bank Non | 2.97 % | 4.08 % | 126,327 | 0.27 | 6 | 0.0755 % | 2,575.6 |
| FixedReset Ins Non | 4.64 % | 6.74 % | 123,231 | 5.24 | 22 | -0.7754 % | 2,420.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.B | FixedReset Disc | -3.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 6.00 % |
| IFC.PR.G | FixedReset Ins Non | -2.43 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.93 Bid-YTW : 6.74 % |
| BAM.PF.F | FixedReset Disc | -2.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 22.05 Evaluated at bid price : 22.68 Bid-YTW : 5.85 % |
| BIP.PR.E | FixedReset Disc | -2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.92 Evaluated at bid price : 22.36 Bid-YTW : 6.01 % |
| POW.PR.C | Perpetual-Discount | -2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 24.47 Evaluated at bid price : 24.71 Bid-YTW : 5.94 % |
| TRP.PR.B | FixedReset Disc | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 15.28 Evaluated at bid price : 15.28 Bid-YTW : 5.90 % |
| NA.PR.E | FixedReset Disc | -2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.94 Evaluated at bid price : 22.40 Bid-YTW : 5.48 % |
| CM.PR.O | FixedReset Disc | -2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.40 Evaluated at bid price : 21.70 Bid-YTW : 5.46 % |
| TRP.PR.G | FixedReset Disc | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.63 Evaluated at bid price : 22.05 Bid-YTW : 5.90 % |
| CU.PR.C | FixedReset Disc | -2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 5.49 % |
| IFC.PR.F | Deemed-Retractible | -1.98 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 6.89 % |
| BAM.PR.K | Floater | -1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 16.67 Evaluated at bid price : 16.67 Bid-YTW : 4.19 % |
| MFC.PR.K | FixedReset Ins Non | -1.88 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.90 Bid-YTW : 8.27 % |
| IFC.PR.C | FixedReset Ins Non | -1.77 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.66 Bid-YTW : 7.05 % |
| BMO.PR.T | FixedReset Disc | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.35 Evaluated at bid price : 21.63 Bid-YTW : 5.37 % |
| PWF.PR.A | Floater | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 3.35 % |
| CM.PR.S | FixedReset Disc | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 22.06 Evaluated at bid price : 22.57 Bid-YTW : 5.32 % |
| BMO.PR.W | FixedReset Disc | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.38 % |
| TD.PF.J | FixedReset Prem | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 22.93 Evaluated at bid price : 24.26 Bid-YTW : 5.14 % |
| PWF.PR.Z | Perpetual-Discount | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.86 Evaluated at bid price : 22.18 Bid-YTW : 5.85 % |
| VNR.PR.A | FixedReset Disc | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 22.61 Evaluated at bid price : 23.48 Bid-YTW : 5.45 % |
| TRP.PR.C | FixedReset Disc | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 5.94 % |
| CM.PR.P | FixedReset Disc | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.28 Evaluated at bid price : 21.28 Bid-YTW : 5.45 % |
| BMO.PR.S | FixedReset Disc | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.62 Evaluated at bid price : 22.00 Bid-YTW : 5.40 % |
| TD.PF.C | FixedReset Disc | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.39 Evaluated at bid price : 21.70 Bid-YTW : 5.35 % |
| BAM.PF.E | FixedReset Disc | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.46 Evaluated at bid price : 21.80 Bid-YTW : 5.71 % |
| TD.PF.A | FixedReset Disc | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.48 Evaluated at bid price : 21.82 Bid-YTW : 5.34 % |
| NA.PR.G | FixedReset Disc | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 22.81 Evaluated at bid price : 24.07 Bid-YTW : 5.29 % |
| BAM.PR.C | Floater | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 16.79 Evaluated at bid price : 16.79 Bid-YTW : 4.16 % |
| BAM.PR.R | FixedReset Disc | -1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 5.89 % |
| SLF.PR.G | FixedReset Ins Non | -1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.01 Bid-YTW : 9.58 % |
| IFC.PR.A | FixedReset Ins Non | -1.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.82 Bid-YTW : 9.02 % |
| CU.PR.I | FixedReset Prem | -1.30 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.02 Bid-YTW : 4.38 % |
| BAM.PR.T | FixedReset Disc | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 19.18 Evaluated at bid price : 19.18 Bid-YTW : 5.90 % |
| BAM.PF.G | FixedReset Disc | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 22.48 Evaluated at bid price : 22.86 Bid-YTW : 5.75 % |
| MFC.PR.G | FixedReset Ins Non | -1.25 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.93 Bid-YTW : 6.37 % |
| TRP.PR.A | FixedReset Disc | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 18.32 Evaluated at bid price : 18.32 Bid-YTW : 5.90 % |
| MFC.PR.J | FixedReset Ins Non | -1.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.20 Bid-YTW : 6.66 % |
| EMA.PR.F | FixedReset Disc | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.62 Evaluated at bid price : 22.02 Bid-YTW : 5.69 % |
| ELF.PR.H | Perpetual-Discount | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 23.50 Evaluated at bid price : 23.82 Bid-YTW : 5.83 % |
| TRP.PR.D | FixedReset Disc | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.91 % |
| SLF.PR.J | FloatingReset | -1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.11 Bid-YTW : 9.12 % |
| BNS.PR.I | FixedReset Disc | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 23.01 Evaluated at bid price : 24.62 Bid-YTW : 4.90 % |
| NA.PR.W | FixedReset Disc | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 5.51 % |
| PVS.PR.F | SplitShare | -1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2024-09-30 Maturity Price : 25.00 Evaluated at bid price : 24.82 Bid-YTW : 5.16 % |
| PWF.PR.O | Perpetual-Discount | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 24.60 Evaluated at bid price : 24.85 Bid-YTW : 5.88 % |
| IGM.PR.B | Perpetual-Premium | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 24.69 Evaluated at bid price : 24.95 Bid-YTW : 5.96 % |
| TRP.PR.F | FloatingReset | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 18.86 Evaluated at bid price : 18.86 Bid-YTW : 4.87 % |
| RY.PR.H | FixedReset Disc | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.63 Evaluated at bid price : 22.02 Bid-YTW : 5.29 % |
| BAM.PF.A | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 22.42 Evaluated at bid price : 23.25 Bid-YTW : 5.69 % |
| BAM.PR.Z | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 22.01 Evaluated at bid price : 22.48 Bid-YTW : 5.85 % |
| SLF.PR.I | FixedReset Ins Non | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.86 Bid-YTW : 6.21 % |
| RY.PR.Z | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.61 Evaluated at bid price : 21.98 Bid-YTW : 5.27 % |
| PWF.PR.L | Perpetual-Discount | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.86 Evaluated at bid price : 22.10 Bid-YTW : 5.81 % |
| PWF.PR.T | FixedReset Disc | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 21.72 Evaluated at bid price : 22.13 Bid-YTW : 5.45 % |
| MFC.PR.N | FixedReset Ins Non | -1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.18 Bid-YTW : 7.84 % |
| BAM.PR.X | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 17.53 Evaluated at bid price : 17.53 Bid-YTW : 5.65 % |
| EIT.PR.B | SplitShare | 3.29 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2025-03-14 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 5.13 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.H | FixedReset Prem | 119,919 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.42 Bid-YTW : 4.34 % |
| RY.PR.I | FixedReset Bank Non | 102,150 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 3.10 % |
| BNS.PR.H | FixedReset Prem | 75,550 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 25.57 Bid-YTW : 4.19 % |
| BNS.PR.Z | FixedReset Bank Non | 47,523 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.51 Bid-YTW : 4.64 % |
| BMO.PR.D | FixedReset Disc | 44,490 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-08-25 Maturity Price : 25.00 Evaluated at bid price : 24.69 Bid-YTW : 4.76 % |
| RY.PR.J | FixedReset Disc | 34,424 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-16 Maturity Price : 23.17 Evaluated at bid price : 23.60 Bid-YTW : 5.34 % |
| There were 31 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.Q | FixedReset Ins Non | Quote: 22.77 – 24.48 Spot Rate : 1.7100 Average : 1.0074 YTW SCENARIO |
| BAM.PF.B | FixedReset Disc | Quote: 21.30 – 22.05 Spot Rate : 0.7500 Average : 0.5671 YTW SCENARIO |
| CU.PR.C | FixedReset Disc | Quote: 20.75 – 21.23 Spot Rate : 0.4800 Average : 0.3042 YTW SCENARIO |
| TRP.PR.E | FixedReset Disc | Quote: 20.54 – 21.12 Spot Rate : 0.5800 Average : 0.4120 YTW SCENARIO |
| MFC.PR.K | FixedReset Ins Non | Quote: 20.90 – 21.41 Spot Rate : 0.5100 Average : 0.3502 YTW SCENARIO |
| TD.PF.C | FixedReset Disc | Quote: 21.70 – 22.10 Spot Rate : 0.4000 Average : 0.2645 YTW SCENARIO |
I think that if investors are selling fixed resets because of the decline in the 5 year Canada, they should also be bidding up the price of perpetual prefs for the same reason.
I think all types of prefs are declining so I believe it is more of the same panic selling we saw a few years ago. I hope it continues, I would like to buy some more prefs.