TXPR closed at 617.19, up 0.50% on the day. Volume today was 1.24-million, slightly below the median of the past 21 trading days.
CPD closed at 12.27, down 0.24% on the day. Volume was 61,300, above the median of the past 21 trading days.
ZPR closed at 10.34, up 0.19% on the day. Volume of 112,170 was slightly above the median of the past 21 trading days.
Five-year Canada yields were up to 3.25% today.
Today’s action, particularly the pop after 4pm, was probably due to tomorrow’s redemption of BMO.PR.D and reinvestment of the proceeds by index and other funds.
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.
| 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 | 0.5414 % | 2,498.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5414 % | 4,792.5 |
| Floater | 6.33 % | 6.44 % | 53,071 | 13.19 | 2 | 0.5414 % | 2,761.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3393 % | 3,465.9 |
| SplitShare | 4.91 % | 5.39 % | 37,926 | 3.04 | 8 | -0.3393 % | 4,139.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3393 % | 3,229.4 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0884 % | 2,829.8 |
| Perpetual-Discount | 6.02 % | 6.16 % | 67,614 | 13.64 | 35 | -0.0884 % | 3,085.8 |
| FixedReset Disc | 4.72 % | 6.23 % | 104,741 | 13.56 | 59 | -0.0380 % | 2,505.9 |
| Insurance Straight | 5.96 % | 6.02 % | 80,606 | 13.77 | 19 | -0.0303 % | 3,018.9 |
| FloatingReset | 7.54 % | 7.84 % | 41,281 | 11.47 | 2 | -0.0315 % | 2,577.0 |
| FixedReset Prem | 5.08 % | 4.55 % | 110,733 | 1.83 | 6 | -0.1111 % | 2,606.5 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0380 % | 2,561.5 |
| FixedReset Ins Non | 4.75 % | 6.63 % | 60,255 | 13.32 | 14 | -0.5953 % | 2,564.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| POW.PR.D | Perpetual-Discount | -4.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 19.68 Evaluated at bid price : 19.68 Bid-YTW : 6.45 % |
| CM.PR.P | FixedReset Disc | -3.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 20.83 Evaluated at bid price : 20.83 Bid-YTW : 6.28 % |
| MFC.PR.L | FixedReset Ins Non | -2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 7.17 % |
| TRP.PR.D | FixedReset Disc | -2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 7.79 % |
| BAM.PR.X | FixedReset Disc | -1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 7.01 % |
| IFC.PR.K | Perpetual-Discount | -1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 21.79 Evaluated at bid price : 22.10 Bid-YTW : 6.03 % |
| MFC.PR.Q | FixedReset Ins Non | -1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 21.95 Evaluated at bid price : 22.50 Bid-YTW : 6.31 % |
| NA.PR.S | FixedReset Disc | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.43 % |
| FTS.PR.H | FixedReset Disc | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 14.02 Evaluated at bid price : 14.02 Bid-YTW : 7.37 % |
| IAF.PR.I | FixedReset Ins Non | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 23.10 Evaluated at bid price : 23.82 Bid-YTW : 6.24 % |
| GWO.PR.S | Insurance Straight | -1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 21.52 Evaluated at bid price : 21.52 Bid-YTW : 6.21 % |
| BAM.PF.G | FixedReset Disc | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 7.82 % |
| GWO.PR.N | FixedReset Ins Non | -1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 6.94 % |
| RY.PR.J | FixedReset Disc | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 21.92 Evaluated at bid price : 22.20 Bid-YTW : 6.17 % |
| RY.PR.M | FixedReset Disc | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 6.23 % |
| MFC.PR.N | FixedReset Ins Non | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 18.52 Evaluated at bid price : 18.52 Bid-YTW : 7.01 % |
| FTS.PR.J | Perpetual-Discount | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 20.27 Evaluated at bid price : 20.27 Bid-YTW : 5.89 % |
| RY.PR.N | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 23.56 Evaluated at bid price : 23.90 Bid-YTW : 5.14 % |
| MFC.PR.I | FixedReset Ins Non | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 23.35 Evaluated at bid price : 24.45 Bid-YTW : 6.13 % |
| BMO.PR.E | FixedReset Disc | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 23.92 Evaluated at bid price : 24.35 Bid-YTW : 5.96 % |
| PWF.PR.O | Perpetual-Discount | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 23.03 Evaluated at bid price : 23.30 Bid-YTW : 6.29 % |
| POW.PR.C | Perpetual-Discount | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 22.98 Evaluated at bid price : 23.25 Bid-YTW : 6.32 % |
| PWF.PR.T | FixedReset Disc | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 7.16 % |
| PWF.PR.H | Perpetual-Discount | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 6.31 % |
| IFC.PR.A | FixedReset Ins Non | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 6.71 % |
| GWO.PR.T | Insurance Straight | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 21.59 Evaluated at bid price : 21.86 Bid-YTW : 5.98 % |
| PWF.PR.P | FixedReset Disc | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 14.22 Evaluated at bid price : 14.22 Bid-YTW : 7.35 % |
| TRP.PR.B | FixedReset Disc | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 12.75 Evaluated at bid price : 12.75 Bid-YTW : 7.77 % |
| TRP.PR.G | FixedReset Disc | 2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 7.06 % |
| CM.PR.O | FixedReset Disc | 2.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 21.38 Evaluated at bid price : 21.70 Bid-YTW : 6.12 % |
| BIP.PR.A | FixedReset Disc | 2.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 7.86 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PF.E | FixedReset Disc | 45,033 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 17.87 Evaluated at bid price : 17.87 Bid-YTW : 7.55 % |
| PWF.PR.O | Perpetual-Discount | 42,496 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 23.03 Evaluated at bid price : 23.30 Bid-YTW : 6.29 % |
| FTS.PR.M | FixedReset Disc | 41,989 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 19.06 Evaluated at bid price : 19.06 Bid-YTW : 7.13 % |
| BAM.PF.G | FixedReset Disc | 25,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 7.82 % |
| FTS.PR.G | FixedReset Disc | 24,596 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 7.04 % |
| PWF.PR.G | Perpetual-Discount | 20,621 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-08-24 Maturity Price : 23.15 Evaluated at bid price : 23.45 Bid-YTW : 6.35 % |
| There were 6 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.S | Insurance Straight | Quote: 21.52 – 25.00 Spot Rate : 3.4800 Average : 2.0135 YTW SCENARIO |
| CM.PR.P | FixedReset Disc | Quote: 20.83 – 21.70 Spot Rate : 0.8700 Average : 0.5678 YTW SCENARIO |
| IFC.PR.F | Insurance Straight | Quote: 22.35 – 23.50 Spot Rate : 1.1500 Average : 0.8828 YTW SCENARIO |
| NA.PR.S | FixedReset Disc | Quote: 21.25 – 22.27 Spot Rate : 1.0200 Average : 0.7684 YTW SCENARIO |
| TRP.PR.C | FixedReset Disc | Quote: 13.26 – 14.00 Spot Rate : 0.7400 Average : 0.4961 YTW SCENARIO |
| PWF.PR.G | Perpetual-Discount | Quote: 23.45 – 24.10 Spot Rate : 0.6500 Average : 0.4081 YTW SCENARIO |
Hello James,
AX.PR.A is being redeemed next month. One less preferred share to worry about. 🙂 🙁
[…] PerpetualDiscounts now yield 6.15%, equivalent to 8.00% 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 narrowed slightly (and perhaps spuriously) to 310bp from the 315bp reported August 24. […]