TXPR closed at 495.10, up 1.56% on the day and taking us all the way back to where we were on October 23. Volume today was 2.18-million, second-highest of the past 21 trading days.
CPD closed at 9.83, up 0.92% on the day. Volume was 56,910, above the median of the past 21 trading days.
ZPR closed at 8.29, up 1.97% on the day. Volume was 228,010, second-highest of the past 21 trading days.
Five-year Canada yields were up to 4.18%.
Other markets were calm. The day’s rise might have been due to reinvestment of the TD.PF.K redemption money.
| 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 | -0.2370 % | 2,034.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2370 % | 3,901.2 |
| Floater | 11.97 % | 12.18 % | 54,989 | 8.01 | 2 | -0.2370 % | 2,248.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2113 % | 3,284.5 |
| SplitShare | 5.09 % | 8.67 % | 40,691 | 1.86 | 7 | -0.2113 % | 3,922.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2113 % | 3,060.4 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4643 % | 2,356.7 |
| Perpetual-Discount | 7.28 % | 7.46 % | 50,510 | 12.01 | 31 | 0.4643 % | 2,569.9 |
| FixedReset Disc | 6.28 % | 9.33 % | 118,508 | 10.55 | 55 | 0.6575 % | 2,032.9 |
| Insurance Straight | 7.13 % | 7.35 % | 63,713 | 12.10 | 16 | -0.1804 % | 2,523.6 |
| FloatingReset | 11.56 % | 11.84 % | 31,028 | 8.21 | 1 | 0.0705 % | 2,282.4 |
| FixedReset Prem | 6.77 % | 6.77 % | 367,771 | 12.74 | 1 | -0.2001 % | 2,298.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6575 % | 2,078.0 |
| FixedReset Ins Non | 6.45 % | 9.23 % | 77,128 | 10.66 | 14 | 0.2856 % | 2,203.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.E | Insurance Straight | -3.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 7.12 % |
| PWF.PR.T | FixedReset Disc | -2.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 8.87 % |
| PVS.PR.J | SplitShare | -1.40 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 21.20 Bid-YTW : 8.94 % |
| MFC.PR.I | FixedReset Ins Non | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 9.15 % |
| GWO.PR.Y | Insurance Straight | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 15.43 Evaluated at bid price : 15.43 Bid-YTW : 7.41 % |
| BN.PR.K | Floater | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 10.44 Evaluated at bid price : 10.44 Bid-YTW : 12.38 % |
| BIK.PR.A | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 10.54 % |
| ELF.PR.H | Perpetual-Discount | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 18.71 Evaluated at bid price : 18.71 Bid-YTW : 7.44 % |
| CM.PR.S | FixedReset Disc | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 8.43 % |
| CIU.PR.A | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 16.06 Evaluated at bid price : 16.06 Bid-YTW : 7.32 % |
| CM.PR.O | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 17.48 Evaluated at bid price : 17.48 Bid-YTW : 9.10 % |
| BN.PF.G | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 13.45 Evaluated at bid price : 13.45 Bid-YTW : 12.15 % |
| IFC.PR.G | FixedReset Ins Non | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 8.49 % |
| BMO.PR.T | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 9.27 % |
| PWF.PR.R | Perpetual-Discount | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 18.47 Evaluated at bid price : 18.47 Bid-YTW : 7.51 % |
| POW.PR.B | Perpetual-Discount | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 18.14 Evaluated at bid price : 18.14 Bid-YTW : 7.47 % |
| BN.PR.X | FixedReset Disc | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 12.15 Evaluated at bid price : 12.15 Bid-YTW : 11.60 % |
| TD.PF.C | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 16.27 Evaluated at bid price : 16.27 Bid-YTW : 9.58 % |
| CU.PR.C | FixedReset Disc | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 9.56 % |
| NA.PR.S | FixedReset Disc | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 9.16 % |
| IFC.PR.C | FixedReset Ins Non | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 16.64 Evaluated at bid price : 16.64 Bid-YTW : 9.23 % |
| IFC.PR.K | Perpetual-Discount | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 7.13 % |
| RY.PR.H | FixedReset Disc | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 17.48 Evaluated at bid price : 17.48 Bid-YTW : 9.03 % |
| CM.PR.T | FixedReset Disc | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 22.25 Evaluated at bid price : 23.00 Bid-YTW : 8.07 % |
| POW.PR.G | Perpetual-Discount | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 18.92 Evaluated at bid price : 18.92 Bid-YTW : 7.49 % |
| RY.PR.M | FixedReset Disc | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 9.60 % |
| BIP.PR.F | FixedReset Disc | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 9.80 % |
| SLF.PR.C | Insurance Straight | 1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 16.79 Evaluated at bid price : 16.79 Bid-YTW : 6.73 % |
| IFC.PR.A | FixedReset Ins Non | 1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 8.95 % |
| BN.PF.J | FixedReset Disc | 2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 10.56 % |
| BMO.PR.E | FixedReset Disc | 2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 21.64 Evaluated at bid price : 22.00 Bid-YTW : 7.78 % |
| BN.PF.I | FixedReset Disc | 2.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 10.90 % |
| BMO.PR.F | FixedReset Disc | 2.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 22.17 Evaluated at bid price : 22.85 Bid-YTW : 8.34 % |
| BIP.PR.E | FixedReset Disc | 2.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 9.66 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWO.PR.N | FixedReset Ins Non | 82,716 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 11.85 Evaluated at bid price : 11.85 Bid-YTW : 10.09 % |
| FTS.PR.G | FixedReset Disc | 60,530 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 18.31 Evaluated at bid price : 18.31 Bid-YTW : 8.73 % |
| IFC.PR.E | Insurance Straight | 46,507 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 18.52 Evaluated at bid price : 18.52 Bid-YTW : 7.13 % |
| TD.PF.C | FixedReset Disc | 43,547 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 16.27 Evaluated at bid price : 16.27 Bid-YTW : 9.58 % |
| TD.PF.M | FixedReset Disc | 40,942 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 23.26 Evaluated at bid price : 23.90 Bid-YTW : 8.01 % |
| BN.PF.I | FixedReset Disc | 30,748 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-31 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 10.90 % |
| There were 37 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| POW.PR.B | Perpetual-Discount | Quote: 18.14 – 23.00 Spot Rate : 4.8600 Average : 2.8357 YTW SCENARIO |
| PWF.PR.T | FixedReset Disc | Quote: 18.60 – 20.80 Spot Rate : 2.2000 Average : 1.2246 YTW SCENARIO |
| BN.PR.T | FixedReset Disc | Quote: 12.00 – 13.50 Spot Rate : 1.5000 Average : 0.9005 YTW SCENARIO |
| POW.PR.C | Perpetual-Discount | Quote: 20.25 – 21.30 Spot Rate : 1.0500 Average : 0.6640 YTW SCENARIO |
| CU.PR.I | FixedReset Disc | Quote: 20.00 – 20.98 Spot Rate : 0.9800 Average : 0.6249 YTW SCENARIO |
| SLF.PR.E | Insurance Straight | Quote: 16.05 – 17.02 Spot Rate : 0.9700 Average : 0.6382 YTW SCENARIO |
[…] continue to yield more, in general, than PerpetualDiscounts; on October 31, I reported median YTWs of 9.33% and 7.46%, respectively, for these two indices; compare with mean […]