TXPR closed at 618.38, down 0.56% on the day. Volume today was 914,630, third-lowest of the past 21 trading days.
CPD closed at 12.34, down 0.40% on the day. Volume was 62,660, near the median of the past 21 trading days.
ZPR closed at 10.35, down 0.67% on the day. Volume of 119,500 was near the median of the past 21 trading days.
Five-year Canada yields were up to 3.03% today.
PerpetualDiscounts now yield 6.05%, equivalent to 7.86% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.78%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained at the 310bp reported August 10.
| 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 | 0.2696 % | 2,501.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2696 % | 4,798.0 |
| Floater | 6.32 % | 6.41 % | 56,317 | 13.24 | 2 | 0.2696 % | 2,765.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2055 % | 3,487.6 |
| SplitShare | 4.88 % | 5.68 % | 40,352 | 3.06 | 8 | 0.2055 % | 4,164.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2055 % | 3,249.6 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2883 % | 2,874.5 |
| Perpetual-Discount | 5.93 % | 6.05 % | 73,001 | 13.83 | 35 | -0.2883 % | 3,134.5 |
| FixedReset Disc | 4.71 % | 5.97 % | 113,267 | 13.96 | 59 | -0.5769 % | 2,509.6 |
| Insurance Straight | 5.86 % | 5.94 % | 85,872 | 13.91 | 19 | -0.2775 % | 3,072.1 |
| FloatingReset | 6.99 % | 7.23 % | 40,326 | 12.19 | 2 | 0.0935 % | 2,605.4 |
| FixedReset Prem | 5.06 % | 4.27 % | 115,058 | 1.85 | 6 | 0.0456 % | 2,619.7 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5769 % | 2,565.4 |
| FixedReset Ins Non | 4.67 % | 6.09 % | 58,477 | 13.86 | 14 | -1.1407 % | 2,613.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.G | FixedReset Disc | -9.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 17.88 Evaluated at bid price : 17.88 Bid-YTW : 7.40 % |
| IFC.PR.A | FixedReset Ins Non | -6.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 6.46 % |
| MFC.PR.L | FixedReset Ins Non | -4.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 6.78 % |
| CM.PR.O | FixedReset Disc | -4.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.18 % |
| NA.PR.S | FixedReset Disc | -3.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 6.09 % |
| CU.PR.J | Perpetual-Discount | -2.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 5.96 % |
| TD.PF.A | FixedReset Disc | -2.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.97 % |
| TD.PF.C | FixedReset Disc | -2.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 5.94 % |
| TD.PF.E | FixedReset Disc | -2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 21.41 Evaluated at bid price : 21.74 Bid-YTW : 6.11 % |
| BMO.PR.W | FixedReset Disc | -2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 21.18 Evaluated at bid price : 21.18 Bid-YTW : 5.87 % |
| MFC.PR.N | FixedReset Ins Non | -2.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 19.54 Evaluated at bid price : 19.54 Bid-YTW : 6.44 % |
| BIP.PR.A | FixedReset Disc | -1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 7.63 % |
| CU.PR.H | Perpetual-Discount | -1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 22.00 Evaluated at bid price : 22.00 Bid-YTW : 5.99 % |
| BIP.PR.F | FixedReset Disc | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 22.82 Evaluated at bid price : 23.27 Bid-YTW : 6.25 % |
| MFC.PR.K | FixedReset Ins Non | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 21.39 Evaluated at bid price : 21.39 Bid-YTW : 6.04 % |
| RY.PR.H | FixedReset Disc | -1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 21.31 Evaluated at bid price : 21.60 Bid-YTW : 5.78 % |
| ELF.PR.F | Perpetual-Discount | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 21.50 Evaluated at bid price : 21.76 Bid-YTW : 6.16 % |
| CU.PR.E | Perpetual-Discount | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.75 % |
| SLF.PR.D | Insurance Straight | -1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 19.81 Evaluated at bid price : 19.81 Bid-YTW : 5.71 % |
| IFC.PR.G | FixedReset Ins Non | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 21.95 Evaluated at bid price : 22.51 Bid-YTW : 6.09 % |
| PWF.PF.A | Perpetual-Discount | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 18.78 Evaluated at bid price : 18.78 Bid-YTW : 6.05 % |
| CM.PR.P | FixedReset Disc | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 21.48 Evaluated at bid price : 21.48 Bid-YTW : 5.81 % |
| PWF.PR.G | Perpetual-Discount | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 23.27 Evaluated at bid price : 23.57 Bid-YTW : 6.31 % |
| MFC.PR.M | FixedReset Ins Non | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 19.87 Evaluated at bid price : 19.87 Bid-YTW : 6.45 % |
| TRP.PR.E | FixedReset Disc | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 7.35 % |
| BAM.PF.J | FixedReset Disc | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 24.04 Evaluated at bid price : 24.75 Bid-YTW : 6.08 % |
| BMO.PR.Y | FixedReset Disc | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 21.82 Evaluated at bid price : 22.10 Bid-YTW : 5.84 % |
| BMO.PR.S | FixedReset Disc | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 21.71 Evaluated at bid price : 22.16 Bid-YTW : 5.75 % |
| TRP.PR.B | FixedReset Disc | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 12.71 Evaluated at bid price : 12.71 Bid-YTW : 7.36 % |
| FTS.PR.G | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 6.58 % |
| TRP.PR.A | FixedReset Disc | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 16.14 Evaluated at bid price : 16.14 Bid-YTW : 7.22 % |
| SLF.PR.H | FixedReset Ins Non | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 6.54 % |
| PVS.PR.I | SplitShare | 1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-10-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 5.72 % |
| IFC.PR.F | Insurance Straight | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 22.27 Evaluated at bid price : 22.65 Bid-YTW : 5.93 % |
| BAM.PR.M | Perpetual-Discount | 2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 5.94 % |
| TD.PF.D | FixedReset Disc | 9.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 21.38 Evaluated at bid price : 21.70 Bid-YTW : 6.08 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PF.J | FixedReset Disc | 68,035 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 24.04 Evaluated at bid price : 24.75 Bid-YTW : 6.08 % |
| PWF.PR.T | FixedReset Disc | 33,060 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 6.66 % |
| BMO.PR.T | FixedReset Disc | 32,528 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 5.93 % |
| CU.PR.C | FixedReset Disc | 21,650 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 21.82 Evaluated at bid price : 22.25 Bid-YTW : 5.93 % |
| CM.PR.S | FixedReset Disc | 21,016 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 23.20 Evaluated at bid price : 24.00 Bid-YTW : 5.56 % |
| TD.PF.K | FixedReset Disc | 16,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-17 Maturity Price : 23.46 Evaluated at bid price : 23.95 Bid-YTW : 5.71 % |
| There were 7 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.L | FixedReset Ins Non | Quote: 18.42 – 24.35 Spot Rate : 5.9300 Average : 3.4362 YTW SCENARIO |
| MFC.PR.M | FixedReset Ins Non | Quote: 19.87 – 22.00 Spot Rate : 2.1300 Average : 1.5003 YTW SCENARIO |
| CM.PR.O | FixedReset Disc | Quote: 20.50 – 21.93 Spot Rate : 1.4300 Average : 0.9451 YTW SCENARIO |
| TRP.PR.G | FixedReset Disc | Quote: 17.88 – 19.70 Spot Rate : 1.8200 Average : 1.3498 YTW SCENARIO |
| IFC.PR.A | FixedReset Ins Non | Quote: 18.01 – 19.20 Spot Rate : 1.1900 Average : 0.7583 YTW SCENARIO |
| TD.PF.E | FixedReset Disc | Quote: 21.74 – 22.45 Spot Rate : 0.7100 Average : 0.4359 YTW SCENARIO |
[…] PerpetualDiscounts now yield 6.16%, equivalent to 8.01% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.88%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 315bp from the 310bp reported August 17. […]