TXPR closed at 599.23, up 1.16% on the day. Volume today was 1.25-million, third-lowest of the past 21 trading days.
CPD closed at 11.82, up 0.60% on the day. Volume was 40,350, lowest of the past 21 trading days.
ZPR closed at 10.175, up 0.54% on the day. Volume was 73,180, third-lowest of the past 21 trading days.
Five-year Canada yields were up to 3.55%.
| 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 | -0.4464 % | 2,129.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4464 % | 4,084.1 |
| Floater | 10.91 % | 11.05 % | 69,163 | 8.81 | 1 | -0.4464 % | 2,353.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1184 % | 3,463.4 |
| SplitShare | 4.86 % | 6.80 % | 28,284 | 1.58 | 7 | -0.1184 % | 4,136.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1184 % | 3,227.1 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1590 % | 2,653.4 |
| Perpetual-Discount | 6.49 % | 6.68 % | 54,599 | 12.96 | 28 | 0.1590 % | 2,893.4 |
| FixedReset Disc | 5.16 % | 7.16 % | 120,240 | 12.22 | 49 | -0.1369 % | 2,586.4 |
| Insurance Straight | 6.30 % | 6.44 % | 58,705 | 13.32 | 20 | -0.0531 % | 2,878.6 |
| FloatingReset | 9.30 % | 9.38 % | 35,981 | 10.10 | 3 | 2.9359 % | 2,724.9 |
| FixedReset Prem | 6.35 % | 6.34 % | 242,034 | 3.98 | 7 | -0.0734 % | 2,534.1 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1369 % | 2,643.8 |
| FixedReset Ins Non | 5.17 % | 6.71 % | 101,427 | 13.10 | 14 | 0.5578 % | 2,749.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CM.PR.Q | FixedReset Disc | -6.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 21.62 Evaluated at bid price : 22.02 Bid-YTW : 6.77 % |
| MFC.PR.F | FixedReset Ins Non | -2.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 7.03 % |
| MFC.PR.N | FixedReset Ins Non | -2.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 20.26 Evaluated at bid price : 20.26 Bid-YTW : 6.97 % |
| PWF.PR.K | Perpetual-Discount | -2.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 6.81 % |
| BN.PR.T | FixedReset Disc | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 8.45 % |
| GWO.PR.P | Insurance Straight | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.64 % |
| BN.PF.E | FixedReset Disc | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 8.18 % |
| FTS.PR.K | FixedReset Disc | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 7.30 % |
| NA.PR.W | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 21.33 Evaluated at bid price : 21.60 Bid-YTW : 6.53 % |
| PVS.PR.K | SplitShare | -1.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 22.68 Bid-YTW : 6.80 % |
| POW.PR.D | Perpetual-Discount | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 6.70 % |
| BN.PR.R | FixedReset Disc | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 8.36 % |
| BN.PF.G | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 8.18 % |
| GWO.PR.G | Insurance Straight | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 19.76 Evaluated at bid price : 19.76 Bid-YTW : 6.63 % |
| BMO.PR.T | FixedReset Disc | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 23.42 Evaluated at bid price : 24.50 Bid-YTW : 5.75 % |
| SLF.PR.D | Insurance Straight | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 18.64 Evaluated at bid price : 18.64 Bid-YTW : 6.01 % |
| FFH.PR.M | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 23.31 Evaluated at bid price : 23.95 Bid-YTW : 7.60 % |
| RY.PR.O | Perpetual-Discount | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 23.21 Evaluated at bid price : 23.50 Bid-YTW : 5.26 % |
| IFC.PR.C | FixedReset Ins Non | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.97 % |
| MIC.PR.A | Perpetual-Discount | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 7.07 % |
| SLF.PR.H | FixedReset Ins Non | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 6.91 % |
| MFC.PR.Q | FixedReset Ins Non | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 22.49 Evaluated at bid price : 23.26 Bid-YTW : 6.43 % |
| BN.PF.I | FixedReset Disc | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 22.24 Evaluated at bid price : 22.65 Bid-YTW : 7.63 % |
| BIP.PR.F | FixedReset Disc | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 7.74 % |
| SLF.PR.G | FixedReset Ins Non | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 17.21 Evaluated at bid price : 17.21 Bid-YTW : 6.73 % |
| FFH.PR.I | FixedReset Disc | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 8.17 % |
| BN.PF.H | FixedReset Disc | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 23.17 Evaluated at bid price : 23.60 Bid-YTW : 7.75 % |
| MFC.PR.M | FixedReset Ins Non | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 6.67 % |
| SLF.PR.E | Insurance Straight | 2.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 5.91 % |
| TD.PF.A | FixedReset Disc | 2.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 23.62 Evaluated at bid price : 24.45 Bid-YTW : 5.77 % |
| PWF.PR.L | Perpetual-Discount | 2.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 6.62 % |
| IFC.PR.A | FixedReset Ins Non | 4.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 6.89 % |
| SLF.PR.J | FloatingReset | 8.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 8.73 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| NA.PR.C | FixedReset Prem | 24,687 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 23.45 Evaluated at bid price : 25.40 Bid-YTW : 6.82 % |
| GWO.PR.T | Insurance Straight | 21,186 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 19.78 Evaluated at bid price : 19.78 Bid-YTW : 6.56 % |
| RY.PR.S | FixedReset Disc | 20,085 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 23.12 Evaluated at bid price : 24.80 Bid-YTW : 5.86 % |
| TD.PF.B | FixedReset Disc | 19,873 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 4.90 % |
| RY.PR.H | FixedReset Disc | 17,360 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-08-24 Maturity Price : 25.00 Evaluated at bid price : 25.02 Bid-YTW : 5.38 % |
| RY.PR.J | FixedReset Disc | 15,601 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-28 Maturity Price : 23.35 Evaluated at bid price : 23.93 Bid-YTW : 6.27 % |
| There were 9 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CM.PR.Q | FixedReset Disc | Quote: 22.02 – 24.00 Spot Rate : 1.9800 Average : 1.1129 YTW SCENARIO |
| IFC.PR.E | Insurance Straight | Quote: 20.35 – 23.22 Spot Rate : 2.8700 Average : 2.0509 YTW SCENARIO |
| BMO.PR.Y | FixedReset Disc | Quote: 23.65 – 25.00 Spot Rate : 1.3500 Average : 0.8363 YTW SCENARIO |
| CU.PR.C | FixedReset Disc | Quote: 19.63 – 21.99 Spot Rate : 2.3600 Average : 1.8495 YTW SCENARIO |
| RY.PR.M | FixedReset Disc | Quote: 23.20 – 24.50 Spot Rate : 1.3000 Average : 0.9028 YTW SCENARIO |
| FFH.PR.K | FixedReset Disc | Quote: 20.98 – 21.89 Spot Rate : 0.9100 Average : 0.5571 YTW SCENARIO |
[…] although the spread has narrowed considerably despite a bounce upwards in May; on June 28, I reported median YTWs of 7.16% and 6.68%, respectively, for these two indices; compare with mean […]