What a great day! Only two of the three mainstream indicators made new lows!
TXPR closed at 570.42, up 0.02% on the day but not before touching a new 52-week low of 569.32. Volume was 2.80-million, third-highest of the past 30 days, behind only August 14 and August 15.
CPD closed at 11.39, up 0.53% on the day. Volume of 129,692 was above average but nothing special in the context of the past 30 days.
ZPR closed at 9.05, down 0.01% on the day after touching a new 52-week low of 8.98. Volume of 394,302 was second highest of the past 30 days, behind only August 13.
Five-year Canada yields were up 1bp to 1.18% today.
I note with amusement that TXPR has traced out the first part of a pretty good parabola this month:
Click for Big
Doubtless there are Technical Analysts out there who will deem this very significant.
PerpetualDiscounts now yield 5.64%, equivalent to 7.33% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.15%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to an eye-popping 420bp, a new post-Credit Crunch record (second only to the 445bp recorded November 26, 2008, a day on which
The TXPR index was down 5.94% on the BCE news.
) and a widening from the 410bp reported August 21.
| 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 | 0.7795 % | 1,731.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7795 % | 3,176.8 |
| Floater | 6.90 % | 7.05 % | 48,513 | 12.38 | 4 | 0.7795 % | 1,830.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0903 % | 3,369.9 |
| SplitShare | 4.67 % | 4.48 % | 61,044 | 4.08 | 7 | -0.0903 % | 4,024.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0903 % | 3,140.0 |
| Perpetual-Premium | 5.66 % | 3.82 % | 65,649 | 0.09 | 9 | -0.0575 % | 2,961.1 |
| Perpetual-Discount | 5.55 % | 5.64 % | 65,173 | 14.46 | 25 | 0.1221 % | 3,071.8 |
| FixedReset Disc | 6.00 % | 5.71 % | 158,945 | 14.24 | 66 | 0.0976 % | 1,936.0 |
| Deemed-Retractible | 5.33 % | 6.26 % | 66,235 | 7.81 | 27 | -0.0757 % | 3,064.1 |
| FloatingReset | 4.78 % | 3.98 % | 29,596 | 2.33 | 3 | -0.2483 % | 2,222.9 |
| FixedReset Prem | 5.23 % | 5.11 % | 177,705 | 1.88 | 21 | 0.0704 % | 2,548.4 |
| FixedReset Bank Non | 1.98 % | 4.28 % | 83,250 | 2.35 | 3 | 0.4474 % | 2,657.3 |
| FixedReset Ins Non | 5.77 % | 8.57 % | 107,672 | 7.93 | 21 | -0.4144 % | 1,992.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSE.PR.A | FixedReset Disc | -2.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-28 Maturity Price : 10.63 Evaluated at bid price : 10.63 Bid-YTW : 6.96 % |
| MFC.PR.K | FixedReset Ins Non | -2.69 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.25 Bid-YTW : 9.22 % |
| BIP.PR.E | FixedReset Disc | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-28 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 6.14 % |
| IFC.PR.C | FixedReset Ins Non | -1.49 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.55 Bid-YTW : 8.92 % |
| SLF.PR.G | FixedReset Ins Non | -1.47 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.08 Bid-YTW : 11.11 % |
| CM.PR.T | FixedReset Disc | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-28 Maturity Price : 22.29 Evaluated at bid price : 23.00 Bid-YTW : 5.16 % |
| TD.PF.I | FixedReset Disc | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-28 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 5.50 % |
| IFC.PR.F | Deemed-Retractible | -1.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.76 Bid-YTW : 6.10 % |
| CCS.PR.C | Deemed-Retractible | -1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.18 Bid-YTW : 5.55 % |
| BNS.PR.I | FixedReset Disc | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-28 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 5.31 % |
| IAF.PR.B | Deemed-Retractible | 1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.60 Bid-YTW : 6.56 % |
| BMO.PR.S | FixedReset Disc | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-28 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 5.50 % |
| EMA.PR.F | FixedReset Disc | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-28 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 6.42 % |
| TRP.PR.B | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-28 Maturity Price : 9.79 Evaluated at bid price : 9.79 Bid-YTW : 6.51 % |
| HSE.PR.E | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-28 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 7.20 % |
| BAM.PR.C | Floater | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-28 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 7.05 % |
| MFC.PR.J | FixedReset Ins Non | 1.97 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.10 Bid-YTW : 8.21 % |
| TRP.PR.D | FixedReset Disc | 2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-28 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 6.29 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| SLF.PR.I | FixedReset Ins Non | 160,009 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.08 Bid-YTW : 8.57 % |
| MFC.PR.O | FixedReset Ins Non | 130,605 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 3.94 % |
| TRP.PR.D | FixedReset Disc | 129,558 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-28 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 6.29 % |
| BAM.PF.B | FixedReset Disc | 36,716 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-28 Maturity Price : 16.27 Evaluated at bid price : 16.27 Bid-YTW : 6.33 % |
| CM.PR.R | FixedReset Disc | 35,565 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-28 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 5.82 % |
| SLF.PR.J | FloatingReset | 29,499 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.02 Bid-YTW : 11.81 % |
| There were 40 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.E | FixedReset Disc | Quote: 13.59 – 14.10 Spot Rate : 0.5100 Average : 0.3064 YTW SCENARIO |
| CM.PR.Q | FixedReset Disc | Quote: 17.05 – 17.49 Spot Rate : 0.4400 Average : 0.2686 YTW SCENARIO |
| CM.PR.T | FixedReset Disc | Quote: 23.00 – 23.40 Spot Rate : 0.4000 Average : 0.2446 YTW SCENARIO |
| GWO.PR.T | Deemed-Retractible | Quote: 23.00 – 23.36 Spot Rate : 0.3600 Average : 0.2331 YTW SCENARIO |
| CCS.PR.C | Deemed-Retractible | Quote: 24.18 – 24.74 Spot Rate : 0.5600 Average : 0.4372 YTW SCENARIO |
| TRP.PR.B | FixedReset Disc | Quote: 9.79 – 10.20 Spot Rate : 0.4100 Average : 0.2873 YTW SCENARIO |
i take it you don’t very much believe in technical analysis (smiley face here)
I don’t believe in the Easter Bunny, either. Because there’s no evidence that will withstand scrutiny.