TXPR closed at 617.59, up 1.01% on the day. Volume today was 1.28-million, about the median of the past 21 trading days.
CPD closed at 12.26, up 0.74% on the day. Volume was 51,390, near the median of the past 21 trading days.
ZPR closed at 10.25, up 0.79% on the day. Volume of 191,830 was above the median of the past 21 trading days.
Five-year Canada yields were up significantly to 2.83% today.
PerpetualDiscounts now yield 6.10%, equivalent to 7.93% interest at the standard equivalency factor of 1.3x. Long corporates continue to yield 4.84%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 310bp from the 320bp reported July 27.
| 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 | 0.8102 % | 2,469.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.8102 % | 4,736.6 |
| Floater | 6.40 % | 6.51 % | 40,249 | 13.15 | 3 | 0.8102 % | 2,729.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2348 % | 3,456.9 |
| SplitShare | 4.92 % | 5.90 % | 39,756 | 3.10 | 8 | -0.2348 % | 4,128.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2348 % | 3,221.0 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6557 % | 2,868.5 |
| Perpetual-Discount | 5.94 % | 6.10 % | 73,680 | 13.79 | 34 | -0.6557 % | 3,127.9 |
| FixedReset Disc | 4.73 % | 5.81 % | 114,477 | 14.57 | 55 | 0.8535 % | 2,495.0 |
| Insurance Straight | 5.85 % | 5.96 % | 83,247 | 13.93 | 18 | 0.2743 % | 3,073.5 |
| FloatingReset | 6.96 % | 7.25 % | 42,215 | 12.20 | 2 | 1.1963 % | 2,540.5 |
| FixedReset Prem | 5.01 % | 4.60 % | 127,736 | 1.89 | 10 | 0.2660 % | 2,603.1 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.8535 % | 2,550.4 |
| FixedReset Ins Non | 4.82 % | 6.25 % | 56,150 | 13.79 | 14 | 1.0215 % | 2,531.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| RY.PR.S | FixedReset Disc | -3.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 23.29 Evaluated at bid price : 23.70 Bid-YTW : 5.31 % |
| PWF.PR.H | Perpetual-Discount | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 22.93 Evaluated at bid price : 23.20 Bid-YTW : 6.23 % |
| PWF.PR.Z | Perpetual-Discount | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 6.11 % |
| PWF.PR.F | Perpetual-Discount | -1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 6.17 % |
| PWF.PR.O | Perpetual-Discount | -1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 22.96 Evaluated at bid price : 23.23 Bid-YTW : 6.28 % |
| BIP.PR.F | FixedReset Disc | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 23.05 Evaluated at bid price : 23.50 Bid-YTW : 5.97 % |
| PWF.PR.K | Perpetual-Discount | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 20.46 Evaluated at bid price : 20.46 Bid-YTW : 6.10 % |
| BAM.PF.C | Perpetual-Discount | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 19.94 Evaluated at bid price : 19.94 Bid-YTW : 6.17 % |
| POW.PR.C | Perpetual-Discount | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 23.21 Evaluated at bid price : 23.51 Bid-YTW : 6.22 % |
| PWF.PR.E | Perpetual-Discount | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 22.01 Evaluated at bid price : 22.25 Bid-YTW : 6.22 % |
| PWF.PR.G | Perpetual-Discount | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 23.48 Evaluated at bid price : 23.75 Bid-YTW : 6.25 % |
| GWO.PR.S | Insurance Straight | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 21.45 Evaluated at bid price : 21.75 Bid-YTW : 6.10 % |
| POW.PR.G | Perpetual-Discount | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 22.33 Evaluated at bid price : 22.60 Bid-YTW : 6.25 % |
| PWF.PR.R | Perpetual-Discount | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 22.08 Evaluated at bid price : 22.31 Bid-YTW : 6.20 % |
| POW.PR.B | Perpetual-Discount | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 21.65 Evaluated at bid price : 21.90 Bid-YTW : 6.16 % |
| GWO.PR.P | Insurance Straight | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 21.98 Evaluated at bid price : 22.21 Bid-YTW : 6.15 % |
| MFC.PR.I | FixedReset Ins Non | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 22.51 Evaluated at bid price : 23.45 Bid-YTW : 5.96 % |
| PVS.PR.G | SplitShare | -1.02 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2026-02-28 Maturity Price : 25.00 Evaluated at bid price : 24.25 Bid-YTW : 6.12 % |
| SLF.PR.D | Insurance Straight | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 19.95 Evaluated at bid price : 19.95 Bid-YTW : 5.65 % |
| GWO.PR.Y | Insurance Straight | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 5.80 % |
| CU.PR.C | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 21.37 Evaluated at bid price : 21.37 Bid-YTW : 6.00 % |
| FTS.PR.M | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 6.62 % |
| TD.PF.B | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 21.31 Evaluated at bid price : 21.60 Bid-YTW : 5.60 % |
| CU.PR.I | FixedReset Prem | 1.08 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.14 Bid-YTW : 4.23 % |
| FTS.PR.H | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 13.65 Evaluated at bid price : 13.65 Bid-YTW : 6.90 % |
| TRP.PR.F | FloatingReset | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 7.25 % |
| PWF.PR.T | FixedReset Disc | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 19.17 Evaluated at bid price : 19.17 Bid-YTW : 6.55 % |
| IAF.PR.I | FixedReset Ins Non | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 23.21 Evaluated at bid price : 23.90 Bid-YTW : 5.69 % |
| SLF.PR.J | FloatingReset | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 15.15 Evaluated at bid price : 15.15 Bid-YTW : 6.87 % |
| CU.PR.J | Perpetual-Discount | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 5.73 % |
| ELF.PR.H | Perpetual-Discount | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 23.09 Evaluated at bid price : 23.35 Bid-YTW : 5.94 % |
| TD.PF.A | FixedReset Disc | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 21.24 Evaluated at bid price : 21.52 Bid-YTW : 5.56 % |
| SLF.PR.E | Insurance Straight | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 20.29 Evaluated at bid price : 20.29 Bid-YTW : 5.62 % |
| BAM.PR.K | Floater | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 6.41 % |
| CU.PR.G | Perpetual-Discount | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 5.81 % |
| FTS.PR.K | FixedReset Disc | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 6.49 % |
| CM.PR.O | FixedReset Disc | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 21.52 Evaluated at bid price : 21.89 Bid-YTW : 5.55 % |
| MFC.PR.Q | FixedReset Ins Non | 1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 6.16 % |
| CU.PR.H | Perpetual-Discount | 1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 22.38 Evaluated at bid price : 22.67 Bid-YTW : 5.78 % |
| FTS.PR.G | FixedReset Disc | 1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.43 % |
| CM.PR.P | FixedReset Disc | 1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 21.45 Evaluated at bid price : 21.80 Bid-YTW : 5.49 % |
| BIP.PR.A | FixedReset Disc | 1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 19.68 Evaluated at bid price : 19.68 Bid-YTW : 7.47 % |
| MFC.PR.K | FixedReset Ins Non | 1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.04 % |
| TD.PF.E | FixedReset Disc | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 21.52 Evaluated at bid price : 21.89 Bid-YTW : 5.86 % |
| BAM.PF.G | FixedReset Disc | 2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 17.73 Evaluated at bid price : 17.73 Bid-YTW : 7.26 % |
| CM.PR.Q | FixedReset Disc | 2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 21.41 Evaluated at bid price : 21.75 Bid-YTW : 5.81 % |
| TRP.PR.B | FixedReset Disc | 2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 12.56 Evaluated at bid price : 12.56 Bid-YTW : 7.11 % |
| NA.PR.G | FixedReset Disc | 2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 24.17 Evaluated at bid price : 24.55 Bid-YTW : 5.53 % |
| BMO.PR.W | FixedReset Disc | 2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 21.42 Evaluated at bid price : 21.75 Bid-YTW : 5.48 % |
| TD.PF.C | FixedReset Disc | 2.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 21.38 Evaluated at bid price : 21.70 Bid-YTW : 5.54 % |
| TRP.PR.A | FixedReset Disc | 2.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 15.76 Evaluated at bid price : 15.76 Bid-YTW : 7.10 % |
| BAM.PR.T | FixedReset Disc | 2.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 17.22 Evaluated at bid price : 17.22 Bid-YTW : 6.83 % |
| IFC.PR.E | Insurance Straight | 2.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 21.98 Evaluated at bid price : 22.23 Bid-YTW : 5.92 % |
| TRP.PR.C | FixedReset Disc | 2.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 13.26 Evaluated at bid price : 13.26 Bid-YTW : 7.05 % |
| MFC.PR.N | FixedReset Ins Non | 3.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 19.03 Evaluated at bid price : 19.03 Bid-YTW : 6.36 % |
| PWF.PR.P | FixedReset Disc | 3.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 13.95 Evaluated at bid price : 13.95 Bid-YTW : 6.82 % |
| TRP.PR.E | FixedReset Disc | 3.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 17.41 Evaluated at bid price : 17.41 Bid-YTW : 7.03 % |
| BIP.PR.E | FixedReset Disc | 3.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 23.33 Evaluated at bid price : 24.01 Bid-YTW : 5.93 % |
| SLF.PR.G | FixedReset Ins Non | 3.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 6.53 % |
| SLF.PR.H | FixedReset Ins Non | 3.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 17.57 Evaluated at bid price : 17.57 Bid-YTW : 6.30 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.D | FixedReset Disc | 78,500 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-09-24 Maturity Price : 25.00 Evaluated at bid price : 24.96 Bid-YTW : 3.69 % |
| BMO.PR.T | FixedReset Disc | 51,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 21.27 Evaluated at bid price : 21.55 Bid-YTW : 5.54 % |
| BAM.PR.X | FixedReset Disc | 44,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 17.27 Evaluated at bid price : 17.27 Bid-YTW : 6.65 % |
| MFC.PR.F | FixedReset Ins Non | 33,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 14.15 Evaluated at bid price : 14.15 Bid-YTW : 6.57 % |
| BAM.PF.G | FixedReset Disc | 30,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 17.73 Evaluated at bid price : 17.73 Bid-YTW : 7.26 % |
| PWF.PR.O | Perpetual-Discount | 22,328 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-03 Maturity Price : 22.96 Evaluated at bid price : 23.23 Bid-YTW : 6.28 % |
| There were 17 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MIC.PR.A | Perpetual-Discount | Quote: 21.40 – 28.99 Spot Rate : 7.5900 Average : 4.5743 YTW SCENARIO |
| CU.PR.H | Perpetual-Discount | Quote: 22.67 – 25.10 Spot Rate : 2.4300 Average : 1.3591 YTW SCENARIO |
| BAM.PR.T | FixedReset Disc | Quote: 17.22 – 22.95 Spot Rate : 5.7300 Average : 4.8120 YTW SCENARIO |
| PWF.PF.A | Perpetual-Discount | Quote: 19.21 – 21.00 Spot Rate : 1.7900 Average : 1.2975 YTW SCENARIO |
| BAM.PR.C | Floater | Quote: 12.75 – 13.99 Spot Rate : 1.2400 Average : 0.7582 YTW SCENARIO |
| BAM.PF.F | FixedReset Disc | Quote: 18.80 – 20.00 Spot Rate : 1.2000 Average : 0.9654 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.03%, equivalent to 7.84% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.73%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained at the 310bp reported August 3. […]