Well, we got through the G-7 meeting without any major disruptions, so let’s thank Heaven for small mercies!
In the meantime, two of the three mainstream indicators made new 52-week lows today:
TXPR closed at 572.79, a new 52-week low and down 0.12% on the day. Volume was 2.04-million, about the median for the past thirty days.
CPD closed at 11.42, down 0.52% on the day after touching a new 52-week low of 11.40. Volume of 114,368 was near the median in the context of the past 30 days.
ZPR closed at 9.12, up 0.22% on the day. Volume of 176,652 was above average but nothing special in the context of the past 30 days.
Five-year Canada yields were up 4bp to 1.25% today.
| 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 | -0.0736 % | 1,760.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0736 % | 3,229.9 |
| Floater | 6.79 % | 7.03 % | 44,892 | 12.40 | 4 | -0.0736 % | 1,861.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2547 % | 3,373.2 |
| SplitShare | 4.66 % | 4.57 % | 60,763 | 4.08 | 7 | 0.2547 % | 4,028.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2547 % | 3,143.0 |
| Perpetual-Premium | 5.66 % | -3.80 % | 66,147 | 0.09 | 9 | -0.0265 % | 2,960.9 |
| Perpetual-Discount | 5.54 % | 5.64 % | 61,063 | 14.47 | 25 | -0.0644 % | 3,076.0 |
| FixedReset Disc | 5.98 % | 5.73 % | 160,681 | 14.35 | 66 | -0.0429 % | 1,940.6 |
| Deemed-Retractible | 5.32 % | 6.24 % | 62,048 | 7.82 | 27 | -0.0786 % | 3,067.8 |
| FloatingReset | 4.75 % | 3.97 % | 30,075 | 2.34 | 3 | -0.1235 % | 2,228.2 |
| FixedReset Prem | 5.23 % | 4.94 % | 168,623 | 1.88 | 21 | -0.0342 % | 2,547.2 |
| FixedReset Bank Non | 1.99 % | 4.45 % | 87,412 | 2.35 | 3 | 0.0140 % | 2,648.1 |
| FixedReset Ins Non | 5.73 % | 8.45 % | 99,658 | 7.94 | 21 | 0.1945 % | 2,004.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.F | FixedReset Ins Non | -2.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.88 Bid-YTW : 11.21 % |
| SLF.PR.H | FixedReset Ins Non | -1.68 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.19 Bid-YTW : 9.33 % |
| EMA.PR.C | FixedReset Disc | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 16.56 Evaluated at bid price : 16.56 Bid-YTW : 6.24 % |
| TD.PF.E | FixedReset Disc | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 5.73 % |
| TD.PF.B | FixedReset Disc | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 16.35 Evaluated at bid price : 16.35 Bid-YTW : 5.50 % |
| BAM.PF.F | FixedReset Disc | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 15.51 Evaluated at bid price : 15.51 Bid-YTW : 6.74 % |
| SLF.PR.G | FixedReset Ins Non | -1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.29 Bid-YTW : 11.03 % |
| NA.PR.C | FixedReset Disc | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 5.91 % |
| BAM.PR.N | Perpetual-Discount | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 6.13 % |
| TD.PF.I | FixedReset Disc | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 20.16 Evaluated at bid price : 20.16 Bid-YTW : 5.39 % |
| PWF.PR.P | FixedReset Disc | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 11.80 Evaluated at bid price : 11.80 Bid-YTW : 5.99 % |
| CM.PR.R | FixedReset Disc | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 5.74 % |
| CU.PR.F | Perpetual-Discount | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 5.36 % |
| TRP.PR.D | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 14.52 Evaluated at bid price : 14.52 Bid-YTW : 6.46 % |
| BAM.PR.T | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 13.52 Evaluated at bid price : 13.52 Bid-YTW : 6.67 % |
| SLF.PR.I | FixedReset Ins Non | 1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.50 Bid-YTW : 8.42 % |
| IFC.PR.C | FixedReset Ins Non | 1.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.95 Bid-YTW : 8.61 % |
| BIP.PR.E | FixedReset Disc | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 6.05 % |
| PWF.PR.T | FixedReset Disc | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 16.61 Evaluated at bid price : 16.61 Bid-YTW : 5.74 % |
| MFC.PR.G | FixedReset Ins Non | 1.90 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.15 Bid-YTW : 8.72 % |
| IFC.PR.G | FixedReset Ins Non | 2.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.15 Bid-YTW : 8.45 % |
| EMA.PR.F | FixedReset Disc | 2.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 15.11 Evaluated at bid price : 15.11 Bid-YTW : 6.47 % |
| HSE.PR.A | FixedReset Disc | 4.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 10.95 Evaluated at bid price : 10.95 Bid-YTW : 6.75 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.M | FixedReset Prem | 145,080 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 22.71 Evaluated at bid price : 23.85 Bid-YTW : 5.16 % |
| TD.PF.L | FixedReset Disc | 59,165 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 22.54 Evaluated at bid price : 23.45 Bid-YTW : 4.99 % |
| BAM.PR.T | FixedReset Disc | 54,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 13.52 Evaluated at bid price : 13.52 Bid-YTW : 6.67 % |
| TD.PF.H | FixedReset Prem | 45,463 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 23.26 Evaluated at bid price : 24.31 Bid-YTW : 5.45 % |
| SLF.PR.B | Deemed-Retractible | 45,290 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.95 Bid-YTW : 6.57 % |
| BMO.PR.B | FixedReset Prem | 33,277 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-08-26 Maturity Price : 23.20 Evaluated at bid price : 24.31 Bid-YTW : 5.36 % |
| There were 30 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.I | FixedReset Prem | Quote: 24.75 – 25.33 Spot Rate : 0.5800 Average : 0.3651 YTW SCENARIO |
| ELF.PR.G | Perpetual-Discount | Quote: 21.71 – 22.30 Spot Rate : 0.5900 Average : 0.3929 YTW SCENARIO |
| BAM.PF.G | FixedReset Disc | Quote: 15.52 – 16.05 Spot Rate : 0.5300 Average : 0.3341 YTW SCENARIO |
| EMA.PR.C | FixedReset Disc | Quote: 16.56 – 17.12 Spot Rate : 0.5600 Average : 0.3705 YTW SCENARIO |
| GWO.PR.M | Deemed-Retractible | Quote: 25.72 – 26.19 Spot Rate : 0.4700 Average : 0.3239 YTW SCENARIO |
| IAF.PR.B | Deemed-Retractible | Quote: 21.48 – 21.98 Spot Rate : 0.5000 Average : 0.3541 YTW SCENARIO |