TXPR closed at 653.02, down 0.75% on the day. Volume today was 2.67-million, second-highest of the past 21 trading days.
CPD closed at 12.99, down 0.76% on the day. Volume was 94,770, above the median of the past 21 trading days.
ZPR closed at 10.84 down 1.00% on the day. Volume of 392,410 second-highest of the past 21 trading days.
Five-year Canada yields were up to 3.23% today. These bonds are on sale this week!
PerpetualDiscounts now yield 5.70%, equivalent to 7.41% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.94%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 245bp from the 250bp reported June 1.
| 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 | 0.0000 % | 2,691.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 5,161.5 |
| Floater | 4.62 % | 4.69 % | 44,616 | 15.97 | 3 | 0.0000 % | 2,974.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0227 % | 3,539.5 |
| SplitShare | 4.81 % | 4.93 % | 34,996 | 3.21 | 8 | 0.0227 % | 4,226.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0227 % | 3,298.0 |
| Perpetual-Premium | 5.78 % | -12.59 % | 69,682 | 0.08 | 2 | -0.0198 % | 2,990.8 |
| Perpetual-Discount | 5.61 % | 5.70 % | 61,469 | 14.28 | 34 | -0.7928 % | 3,305.6 |
| FixedReset Disc | 4.41 % | 6.02 % | 128,421 | 14.01 | 57 | -0.6823 % | 2,647.4 |
| Insurance Straight | 5.56 % | 5.61 % | 89,162 | 14.52 | 19 | -0.9607 % | 3,233.5 |
| FloatingReset | 4.91 % | 5.13 % | 49,588 | 15.32 | 2 | -0.5926 % | 2,723.1 |
| FixedReset Prem | 5.02 % | 4.66 % | 126,891 | 2.02 | 9 | -0.3727 % | 2,628.8 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6823 % | 2,706.2 |
| FixedReset Ins Non | 4.32 % | 5.89 % | 73,447 | 14.17 | 15 | -0.5600 % | 2,778.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BMO.PR.W | FixedReset Disc | -9.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.42 % |
| TRP.PR.E | FixedReset Disc | -7.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 19.06 Evaluated at bid price : 19.06 Bid-YTW : 6.90 % |
| SLF.PR.D | Insurance Straight | -6.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.52 % |
| MFC.PR.F | FixedReset Ins Non | -6.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 15.51 Evaluated at bid price : 15.51 Bid-YTW : 6.43 % |
| IFC.PR.G | FixedReset Ins Non | -5.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.60 Evaluated at bid price : 23.11 Bid-YTW : 6.16 % |
| RY.PR.J | FixedReset Disc | -4.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.14 % |
| TD.PF.D | FixedReset Disc | -4.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.74 Evaluated at bid price : 22.00 Bid-YTW : 6.12 % |
| NA.PR.S | FixedReset Disc | -3.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.79 Evaluated at bid price : 22.29 Bid-YTW : 6.02 % |
| BMO.PR.Y | FixedReset Disc | -3.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.54 Evaluated at bid price : 21.92 Bid-YTW : 6.05 % |
| BAM.PF.C | Perpetual-Discount | -3.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.76 % |
| FTS.PR.H | FixedReset Disc | -3.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 6.51 % |
| ELF.PR.F | Perpetual-Discount | -3.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.31 Evaluated at bid price : 22.58 Bid-YTW : 5.96 % |
| GWO.PR.G | Insurance Straight | -2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.44 Evaluated at bid price : 22.70 Bid-YTW : 5.73 % |
| FTS.PR.K | FixedReset Disc | -2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.49 % |
| RY.PR.Z | FixedReset Disc | -2.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.60 Evaluated at bid price : 22.01 Bid-YTW : 5.85 % |
| PWF.PF.A | Perpetual-Discount | -2.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 5.43 % |
| CU.PR.D | Perpetual-Discount | -2.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.74 % |
| PWF.PR.K | Perpetual-Discount | -2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.28 Evaluated at bid price : 21.55 Bid-YTW : 5.81 % |
| FTS.PR.M | FixedReset Disc | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 6.38 % |
| SLF.PR.C | Insurance Straight | -1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.39 % |
| TD.PF.A | FixedReset Disc | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.60 Evaluated at bid price : 22.01 Bid-YTW : 5.81 % |
| GWO.PR.Q | Insurance Straight | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.24 Evaluated at bid price : 22.51 Bid-YTW : 5.72 % |
| PWF.PR.R | Perpetual-Discount | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 23.40 Evaluated at bid price : 23.69 Bid-YTW : 5.88 % |
| CM.PR.Q | FixedReset Disc | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.08 Evaluated at bid price : 22.47 Bid-YTW : 5.98 % |
| TD.PF.E | FixedReset Disc | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.16 Evaluated at bid price : 22.62 Bid-YTW : 5.98 % |
| PWF.PR.L | Perpetual-Discount | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.86 Evaluated at bid price : 22.10 Bid-YTW : 5.84 % |
| BIP.PR.E | FixedReset Disc | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 23.40 Evaluated at bid price : 24.01 Bid-YTW : 6.28 % |
| GWO.PR.S | Insurance Straight | -1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.89 Evaluated at bid price : 23.25 Bid-YTW : 5.64 % |
| IFC.PR.I | Perpetual-Discount | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 23.52 Evaluated at bid price : 23.90 Bid-YTW : 5.74 % |
| TRP.PR.F | FloatingReset | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 5.13 % |
| IFC.PR.A | FixedReset Ins Non | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 5.73 % |
| MFC.PR.C | Insurance Straight | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.32 % |
| GWO.PR.R | Insurance Straight | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 5.64 % |
| TD.PF.L | FixedReset Prem | -1.37 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 5.02 % |
| TD.PF.M | FixedReset Prem | -1.37 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 4.90 % |
| CU.PR.C | FixedReset Disc | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.07 Evaluated at bid price : 22.65 Bid-YTW : 6.09 % |
| PWF.PR.E | Perpetual-Discount | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 23.40 Evaluated at bid price : 23.69 Bid-YTW : 5.88 % |
| PWF.PR.T | FixedReset Disc | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.38 Evaluated at bid price : 21.70 Bid-YTW : 6.20 % |
| NA.PR.G | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.19 Bid-YTW : 4.66 % |
| PWF.PR.H | Perpetual-Discount | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 24.46 Evaluated at bid price : 24.70 Bid-YTW : 5.89 % |
| BAM.PF.D | Perpetual-Discount | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.10 Evaluated at bid price : 22.33 Bid-YTW : 5.58 % |
| CM.PR.O | FixedReset Disc | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.70 Evaluated at bid price : 22.16 Bid-YTW : 5.89 % |
| BAM.PR.X | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 18.95 Evaluated at bid price : 18.95 Bid-YTW : 6.61 % |
| BNS.PR.I | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 23.59 Evaluated at bid price : 24.75 Bid-YTW : 5.54 % |
| TRP.PR.B | FixedReset Disc | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 6.90 % |
| PWF.PR.P | FixedReset Disc | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 15.60 Evaluated at bid price : 15.60 Bid-YTW : 6.55 % |
| BAM.PF.B | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.14 Evaluated at bid price : 22.45 Bid-YTW : 6.30 % |
| BAM.PF.A | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 23.94 Evaluated at bid price : 24.35 Bid-YTW : 6.19 % |
| BAM.PF.F | FixedReset Disc | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.08 Evaluated at bid price : 22.35 Bid-YTW : 6.45 % |
| TRP.PR.G | FixedReset Disc | 2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 22.27 Evaluated at bid price : 22.81 Bid-YTW : 6.00 % |
| RY.PR.M | FixedReset Disc | 5.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.79 Evaluated at bid price : 22.10 Bid-YTW : 5.87 % |
| MFC.PR.N | FixedReset Ins Non | 7.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 6.00 % |
| BAM.PF.E | FixedReset Disc | 12.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 6.46 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.A | FixedReset Disc | 252,170 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.60 Evaluated at bid price : 22.01 Bid-YTW : 5.81 % |
| RY.PR.J | FixedReset Disc | 90,613 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 6.14 % |
| PWF.PR.S | Perpetual-Discount | 84,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.74 % |
| MFC.PR.J | FixedReset Ins Non | 72,840 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 23.71 Evaluated at bid price : 24.30 Bid-YTW : 5.84 % |
| TD.PF.K | FixedReset Disc | 60,850 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-08 Maturity Price : 23.96 Evaluated at bid price : 24.35 Bid-YTW : 5.81 % |
| TD.PF.L | FixedReset Prem | 45,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 5.02 % |
| There were 29 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BMO.PR.W | FixedReset Disc | Quote: 20.05 – 24.20 Spot Rate : 4.1500 Average : 3.0561 YTW SCENARIO |
| SLF.PR.J | FloatingReset | Quote: 16.25 – 25.00 Spot Rate : 8.7500 Average : 7.8492 YTW SCENARIO |
| TRP.PR.E | FixedReset Disc | Quote: 19.06 – 20.80 Spot Rate : 1.7400 Average : 1.0577 YTW SCENARIO |
| IFC.PR.G | FixedReset Ins Non | Quote: 23.11 – 24.60 Spot Rate : 1.4900 Average : 0.9592 YTW SCENARIO |
| BIP.PR.A | FixedReset Disc | Quote: 22.51 – 24.00 Spot Rate : 1.4900 Average : 0.9598 YTW SCENARIO |
| RY.PR.J | FixedReset Disc | Quote: 22.00 – 23.05 Spot Rate : 1.0500 Average : 0.6302 YTW SCENARIO |
[…] PerpetualDiscounts now yield 5.98%, equivalent to 7.77% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.94%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened sharply to 285bp from the 245bp reported June 8. […]