TXPR closed at 568.42, up 1.44% on the day. Volume today was 5.91-million, highest of the past 21 trading days by far – nearly four times as high as the second-place day.
CPD closed at 11.26, up 0.99% on the day. Volume was 73,460, below the median of the past 21 trading days.
ZPR closed at 9.44, up 0.86% on the day. Volume was 126,840, fourth-lowest of the past 21 trading days.
Five-year Canada yields were down to 3.76% today.
The market popped up big time at the end of the session and during the extended session; it looks like Raymond James was acting for somebody who got a really, really itchy trigger finger. Of the top six issues by volume today, they:
– sold TRP.PR.B (deep discount FixedReset)
– sold PWF.PR.P (deep discount FixedReset)
– Bought POW.PR.C (high-coupon straight)
– Sold IAF.PR.I (FixedReset discount)
– Sold RY.PR.N (PerpetualDiscount)
– Sold RY.PR.O (PerpetualDiscount)
Of course, there may be issues with higher volume that I don’t report because they’re junk. But there’s some guy on a preferred desk who’s going home with a big commission-derived smile tonight!
| 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 | -1.0101 % | 2,354.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.0101 % | 4,516.0 |
| Floater | 7.79 % | 7.90 % | 40,275 | 11.48 | 2 | -1.0101 % | 2,602.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.8386 % | 3,319.8 |
| SplitShare | 5.06 % | 7.12 % | 40,710 | 3.03 | 7 | -0.8386 % | 3,964.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.8386 % | 3,093.3 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1632 % | 2,602.0 |
| Perpetual-Discount | 6.54 % | 6.65 % | 71,287 | 13.03 | 33 | -0.1632 % | 2,837.4 |
| FixedReset Disc | 5.27 % | 7.55 % | 92,382 | 12.23 | 63 | 0.2366 % | 2,269.8 |
| Insurance Straight | 6.52 % | 6.64 % | 82,267 | 13.01 | 19 | 0.6126 % | 2,757.6 |
| FloatingReset | 9.08 % | 9.34 % | 42,060 | 10.07 | 2 | 0.1951 % | 2,501.5 |
| FixedReset Prem | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2366 % | 2,402.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2366 % | 2,320.2 |
| FixedReset Ins Non | 5.44 % | 7.89 % | 54,668 | 11.65 | 14 | 0.3335 % | 2,307.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.E | FixedReset Disc | -5.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 9.56 % |
| BAM.PF.D | Perpetual-Discount | -4.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 6.78 % |
| IFC.PR.E | Insurance Straight | -3.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 6.67 % |
| PVS.PR.K | SplitShare | -2.77 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 21.05 Bid-YTW : 7.69 % |
| RY.PR.N | Perpetual-Discount | -2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.41 % |
| BAM.PR.B | Floater | -2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 12.25 Evaluated at bid price : 12.25 Bid-YTW : 7.90 % |
| NA.PR.W | FixedReset Disc | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 18.38 Evaluated at bid price : 18.38 Bid-YTW : 7.65 % |
| BIP.PR.E | FixedReset Disc | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 21.34 Evaluated at bid price : 21.61 Bid-YTW : 7.75 % |
| BAM.PF.C | Perpetual-Discount | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 18.36 Evaluated at bid price : 18.36 Bid-YTW : 6.69 % |
| BAM.PF.I | FixedReset Disc | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 21.52 Evaluated at bid price : 21.80 Bid-YTW : 7.94 % |
| RY.PR.O | Perpetual-Discount | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.41 % |
| CU.PR.H | Perpetual-Discount | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.69 % |
| PWF.PF.A | Perpetual-Discount | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 16.77 Evaluated at bid price : 16.77 Bid-YTW : 6.75 % |
| CU.PR.J | Perpetual-Discount | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 6.76 % |
| SLF.PR.G | FixedReset Ins Non | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 12.61 Evaluated at bid price : 12.61 Bid-YTW : 8.87 % |
| TRP.PR.F | FloatingReset | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 15.92 Evaluated at bid price : 15.92 Bid-YTW : 9.34 % |
| TRP.PR.E | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 15.68 Evaluated at bid price : 15.68 Bid-YTW : 9.12 % |
| MFC.PR.F | FixedReset Ins Non | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 12.66 Evaluated at bid price : 12.66 Bid-YTW : 8.70 % |
| BAM.PF.H | FixedReset Disc | 1.12 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.36 Bid-YTW : 6.03 % |
| NA.PR.G | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 21.64 Evaluated at bid price : 22.05 Bid-YTW : 7.22 % |
| BAM.PF.J | FixedReset Disc | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 22.62 Evaluated at bid price : 23.68 Bid-YTW : 7.17 % |
| MFC.PR.K | FixedReset Ins Non | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 18.57 Evaluated at bid price : 18.57 Bid-YTW : 7.95 % |
| GWO.PR.H | Insurance Straight | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 6.64 % |
| PWF.PR.K | Perpetual-Discount | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 6.66 % |
| MFC.PR.N | FixedReset Ins Non | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 16.67 Evaluated at bid price : 16.67 Bid-YTW : 8.48 % |
| BMO.PR.E | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 21.71 Evaluated at bid price : 22.15 Bid-YTW : 7.18 % |
| CU.PR.C | FixedReset Disc | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 7.55 % |
| BAM.PF.F | FixedReset Disc | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 17.52 Evaluated at bid price : 17.52 Bid-YTW : 8.93 % |
| TRP.PR.D | FixedReset Disc | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 8.99 % |
| IAF.PR.I | FixedReset Ins Non | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 20.62 Evaluated at bid price : 20.62 Bid-YTW : 7.83 % |
| PWF.PR.T | FixedReset Disc | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 8.07 % |
| BMO.PR.S | FixedReset Disc | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 7.42 % |
| MFC.PR.C | Insurance Straight | 1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 17.44 Evaluated at bid price : 17.44 Bid-YTW : 6.55 % |
| BNS.PR.I | FixedReset Disc | 1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 7.06 % |
| SLF.PR.D | Insurance Straight | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 17.52 Evaluated at bid price : 17.52 Bid-YTW : 6.43 % |
| FTS.PR.K | FixedReset Disc | 2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 16.24 Evaluated at bid price : 16.24 Bid-YTW : 8.72 % |
| BAM.PR.X | FixedReset Disc | 2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 16.48 Evaluated at bid price : 16.48 Bid-YTW : 8.00 % |
| BMO.PR.Y | FixedReset Disc | 3.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 19.81 Evaluated at bid price : 19.81 Bid-YTW : 7.36 % |
| PWF.PR.Z | Perpetual-Discount | 4.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 6.56 % |
| CCS.PR.C | Insurance Straight | 7.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 19.02 Evaluated at bid price : 19.02 Bid-YTW : 6.66 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.B | FixedReset Disc | 269,294 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 11.00 Evaluated at bid price : 11.00 Bid-YTW : 9.77 % |
| PWF.PR.P | FixedReset Disc | 267,892 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 11.87 Evaluated at bid price : 11.87 Bid-YTW : 9.41 % |
| POW.PR.C | Perpetual-Discount | 194,290 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 22.45 Evaluated at bid price : 22.71 Bid-YTW : 6.43 % |
| IAF.PR.I | FixedReset Ins Non | 161,587 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 20.62 Evaluated at bid price : 20.62 Bid-YTW : 7.83 % |
| RY.PR.N | Perpetual-Discount | 133,246 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.41 % |
| RY.PR.O | Perpetual-Discount | 129,172 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-10-21 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.41 % |
| There were 95 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: 18.50 – 28.99 Spot Rate : 10.4900 Average : 6.5395 YTW SCENARIO |
| MFC.PR.M | FixedReset Ins Non | Quote: 17.10 – 22.00 Spot Rate : 4.9000 Average : 3.8560 YTW SCENARIO |
| BAM.PF.E | FixedReset Disc | Quote: 15.00 – 17.70 Spot Rate : 2.7000 Average : 1.7146 YTW SCENARIO |
| CM.PR.Q | FixedReset Disc | Quote: 19.81 – 22.15 Spot Rate : 2.3400 Average : 1.3813 YTW SCENARIO |
| MFC.PR.J | FixedReset Ins Non | Quote: 21.80 – 23.80 Spot Rate : 2.0000 Average : 1.1538 YTW SCENARIO |
| GWO.PR.Q | Insurance Straight | Quote: 19.37 – 21.30 Spot Rate : 1.9300 Average : 1.1109 YTW SCENARIO |
“But there’s some guy on a preferred desk who’s going home with a big commission-derived smile tonight!”
I sure hope he was executing client orders, against the firm’s better judgement. TRP.PR.B? That is the cheapest series by that issuer!
Nothing abnormal, as in same happens every three months. Size market on close orders for the quarterly TXPR rebalance.
Nothing abnormal, as in same happens every three months. Size market on close orders for the quarterly TXPR rebalance.
Well, maybe, but nothing close to this size happened in July. It’s possible that the continuing collapse in volume has caused an inordinate amount of index deletions, but I don’t know. There was also significant overall price movement, which I would not have expected.
Do you know where I can find a notice of index changes? They used to be easy to find but now, not so much.
Can’t be found for free unless you know someone who has access to them (I don’t). The TSX, for the sake of the buck, awhile back made the info subscription only. And it’s very expensive.
The TSX, for the sake of the buck, awhile back made the info subscription only. And it’s very expensive.
I didn’t know that! But I should have guessed!