Click for Big
Despite all my gloomy fears, the market has not just held up, but actually done rather well so far this month in the face of elevated volumes attributable to tax-loss selling.
TXPR closed at 610.51, up 0.64% on the day. Volume was 3.90-million, behind only December 10 in the past thirty days.
CPD closed at 12.24, up 0.33% on the day. Volume of 334,405 was the second-highest of the past 30 days, behind only December 13.
ZPR closed at 9.75, up 0.41% on the day. Volume of 374,184 was second-highest of the past 30 days, but well behind December 13.
Five-year Canada yields were steady at 1.64% today.
| 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 | 0.3721 % | 2,023.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3721 % | 3,713.2 |
| Floater | 6.03 % | 6.17 % | 57,650 | 13.68 | 4 | 0.3721 % | 2,139.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0224 % | 3,446.0 |
| SplitShare | 4.63 % | 4.28 % | 40,927 | 3.83 | 7 | 0.0224 % | 4,115.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0224 % | 3,210.9 |
| Perpetual-Premium | 5.55 % | -6.75 % | 59,354 | 0.09 | 10 | 0.0862 % | 3,042.3 |
| Perpetual-Discount | 5.27 % | 5.34 % | 71,938 | 14.89 | 25 | 0.2302 % | 3,287.8 |
| FixedReset Disc | 5.53 % | 5.73 % | 209,419 | 14.24 | 66 | 0.9192 % | 2,134.4 |
| Deemed-Retractible | 5.18 % | 5.28 % | 73,276 | 14.96 | 27 | 0.1223 % | 3,221.1 |
| FloatingReset | 6.13 % | 6.32 % | 129,582 | 13.47 | 2 | -0.5134 % | 2,512.3 |
| FixedReset Prem | 5.11 % | 3.52 % | 156,354 | 1.53 | 20 | 0.1638 % | 2,637.5 |
| FixedReset Bank Non | 1.95 % | 3.97 % | 62,451 | 2.06 | 3 | 0.1644 % | 2,716.8 |
| FixedReset Ins Non | 5.45 % | 5.81 % | 141,940 | 14.23 | 22 | 0.5209 % | 2,150.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.E | Perpetual-Discount | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 24.68 Evaluated at bid price : 25.00 Bid-YTW : 5.57 % |
| IFC.PR.G | FixedReset Ins Non | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 6.00 % |
| GWO.PR.N | FixedReset Ins Non | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 5.36 % |
| BAM.PF.G | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.22 % |
| BIK.PR.A | FixedReset Prem | 1.06 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 4.93 % |
| PWF.PR.T | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 5.71 % |
| MFC.PR.N | FixedReset Ins Non | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 16.82 Evaluated at bid price : 16.82 Bid-YTW : 5.87 % |
| BMO.PR.E | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 19.62 Evaluated at bid price : 19.62 Bid-YTW : 5.70 % |
| HSE.PR.G | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 7.26 % |
| BAM.PR.K | Floater | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 11.23 Evaluated at bid price : 11.23 Bid-YTW : 6.17 % |
| TD.PF.B | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 5.66 % |
| BAM.PR.R | FixedReset Disc | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 6.20 % |
| TD.PF.D | FixedReset Disc | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 19.36 Evaluated at bid price : 19.36 Bid-YTW : 5.75 % |
| IFC.PR.C | FixedReset Ins Non | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 17.46 Evaluated at bid price : 17.46 Bid-YTW : 6.01 % |
| BAM.PF.F | FixedReset Disc | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 18.23 Evaluated at bid price : 18.23 Bid-YTW : 6.00 % |
| MFC.PR.M | FixedReset Ins Non | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 17.42 Evaluated at bid price : 17.42 Bid-YTW : 5.75 % |
| RY.PR.S | FixedReset Disc | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 5.52 % |
| TD.PF.E | FixedReset Disc | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 19.71 Evaluated at bid price : 19.71 Bid-YTW : 5.73 % |
| TD.PF.J | FixedReset Disc | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.67 % |
| CM.PR.S | FixedReset Disc | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 18.12 Evaluated at bid price : 18.12 Bid-YTW : 5.83 % |
| BAM.PF.B | FixedReset Disc | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 5.86 % |
| TRP.PR.A | FixedReset Disc | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 6.05 % |
| CM.PR.Q | FixedReset Disc | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 18.89 Evaluated at bid price : 18.89 Bid-YTW : 5.87 % |
| NA.PR.S | FixedReset Disc | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 17.27 Evaluated at bid price : 17.27 Bid-YTW : 5.90 % |
| CM.PR.P | FixedReset Disc | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 5.94 % |
| BAM.PR.M | Perpetual-Discount | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 21.55 Evaluated at bid price : 21.81 Bid-YTW : 5.45 % |
| SLF.PR.H | FixedReset Ins Non | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 15.98 Evaluated at bid price : 15.98 Bid-YTW : 5.80 % |
| NA.PR.W | FixedReset Disc | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 5.98 % |
| TD.PF.K | FixedReset Disc | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 5.60 % |
| MFC.PR.Q | FixedReset Ins Non | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 19.04 Evaluated at bid price : 19.04 Bid-YTW : 5.66 % |
| CU.PR.C | FixedReset Disc | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 5.65 % |
| TRP.PR.B | FixedReset Disc | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 11.68 Evaluated at bid price : 11.68 Bid-YTW : 6.20 % |
| BAM.PR.X | FixedReset Disc | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 13.57 Evaluated at bid price : 13.57 Bid-YTW : 6.13 % |
| HSE.PR.E | FixedReset Disc | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 17.84 Evaluated at bid price : 17.84 Bid-YTW : 7.31 % |
| MFC.PR.F | FixedReset Ins Non | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 12.65 Evaluated at bid price : 12.65 Bid-YTW : 5.88 % |
| BMO.PR.S | FixedReset Disc | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 5.56 % |
| MFC.PR.I | FixedReset Ins Non | 1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 5.84 % |
| MFC.PR.G | FixedReset Ins Non | 1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 5.87 % |
| BNS.PR.I | FixedReset Disc | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 19.38 Evaluated at bid price : 19.38 Bid-YTW : 5.57 % |
| TRP.PR.G | FixedReset Disc | 1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 18.02 Evaluated at bid price : 18.02 Bid-YTW : 6.36 % |
| BAM.PR.Z | FixedReset Disc | 2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 5.88 % |
| NA.PR.E | FixedReset Disc | 2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 5.96 % |
| BAM.PF.E | FixedReset Disc | 2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 6.16 % |
| HSE.PR.A | FixedReset Disc | 4.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 11.35 Evaluated at bid price : 11.35 Bid-YTW : 7.25 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.E | FixedReset Prem | 114,310 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.84 Bid-YTW : 3.52 % |
| SLF.PR.A | Deemed-Retractible | 98,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 22.13 Evaluated at bid price : 22.41 Bid-YTW : 5.30 % |
| TD.PF.C | FixedReset Disc | 90,475 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 5.70 % |
| RY.PR.J | FixedReset Disc | 70,775 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 19.26 Evaluated at bid price : 19.26 Bid-YTW : 5.70 % |
| BMO.PR.S | FixedReset Disc | 69,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 5.56 % |
| CM.PR.P | FixedReset Disc | 61,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-16 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 5.94 % |
| There were 72 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.M | FixedReset Ins Non | Quote: 17.42 – 17.76 Spot Rate : 0.3400 Average : 0.2537 YTW SCENARIO |
| MFC.PR.R | FixedReset Ins Non | Quote: 24.46 – 24.74 Spot Rate : 0.2800 Average : 0.1982 YTW SCENARIO |
| BNS.PR.I | FixedReset Disc | Quote: 19.38 – 19.64 Spot Rate : 0.2600 Average : 0.1812 YTW SCENARIO |
| CU.PR.D | Perpetual-Discount | Quote: 23.13 – 23.48 Spot Rate : 0.3500 Average : 0.2717 YTW SCENARIO |
| GWO.PR.I | Deemed-Retractible | Quote: 21.28 – 21.57 Spot Rate : 0.2900 Average : 0.2117 YTW SCENARIO |
| CGI.PR.D | SplitShare | Quote: 25.28 – 25.67 Spot Rate : 0.3900 Average : 0.3181 YTW SCENARIO |
as is typical with preferred shares, they lag by a long while.
they were quick last year to collapse on recession fears, negative rates.. but slow on the upside. good for someone who wants to position themselves
if the fixed reset prefs are supposed to be (loosely) tied to the 5 year GOC, that rate bottomed in August. somewhere in the 1.18% range. today, we’re at 1.66% a fairly sizable move. i’m guessing at 1.8-1.85% preferred shares will wake up again.