There was a big pop at the close for the TXPR price index due to…:
Rebalancing
Index membership is reviewed quarterly. Rebalancing occurs after the close on the third Friday of January, April, July, and October.
The TXPR price index set a new 52-week high of 722.55, smashing the old mark of 714.53 set yesterday. Volume was 2.79-million, more than double that of the second-highest volume of the past 20 trading days.
CPD matched its 52-week high of 14.27 set yesterday, on volume of 55,070 (consolidated: 2.57-million), above the median of the past 20 trading days.
ZPR set a new 52-week high of 13.03, beating the old mark of 13.00 set yesterday, on volume of 171,410 (consolidated: 485,870) highest by far of the past 20 trading days.
| 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 | -0.1404 % | 2,640.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1404 % | 4,973.2 |
| Floater | 5.47 % | 5.60 % | 38,385 | 14.53 | 3 | -0.1404 % | 2,866.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0635 % | 3,633.0 |
| SplitShare | 4.80 % | 4.91 % | 63,689 | 2.67 | 5 | 0.0635 % | 4,338.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0635 % | 3,385.2 |
| Perpetual-Premium | 5.68 % | -4.18 % | 60,557 | 0.09 | 7 | 0.1468 % | 3,083.1 |
| Perpetual-Discount | 5.53 % | 5.58 % | 43,251 | 14.53 | 27 | 0.1239 % | 3,412.2 |
| FixedReset Disc | 5.62 % | 5.79 % | 100,741 | 14.06 | 19 | 0.4058 % | 3,383.3 |
| Insurance Straight | 5.43 % | 5.48 % | 47,625 | 14.62 | 20 | -0.2521 % | 3,313.3 |
| FloatingReset | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4058 % | 4,131.1 |
| FixedReset Prem | 5.90 % | 4.49 % | 83,213 | 2.17 | 29 | -0.0266 % | 2,663.3 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4058 % | 3,458.4 |
| FixedReset Ins Non | 5.26 % | 5.28 % | 56,186 | 14.41 | 14 | -0.3359 % | 3,246.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.G | Insurance Straight | -6.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-17 Maturity Price : 22.19 Evaluated at bid price : 22.47 Bid-YTW : 5.83 % |
| SLF.PR.G | FixedReset Ins Non | -4.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-17 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.57 % |
| IFC.PR.I | Insurance Straight | -1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-17 Maturity Price : 24.28 Evaluated at bid price : 24.80 Bid-YTW : 5.47 % |
| ENB.PF.E | FixedReset Disc | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-17 Maturity Price : 22.81 Evaluated at bid price : 23.88 Bid-YTW : 6.00 % |
| MFC.PR.J | FixedReset Ins Non | -1.20 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.59 Bid-YTW : 5.01 % |
| IFC.PR.A | FixedReset Ins Non | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-17 Maturity Price : 22.63 Evaluated at bid price : 23.05 Bid-YTW : 5.28 % |
| GWO.PR.H | Insurance Straight | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-17 Maturity Price : 21.80 Evaluated at bid price : 22.04 Bid-YTW : 5.54 % |
| MFC.PR.F | FixedReset Ins Non | 1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-17 Maturity Price : 21.37 Evaluated at bid price : 21.37 Bid-YTW : 5.41 % |
| ENB.PF.C | FixedReset Disc | 1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-17 Maturity Price : 22.90 Evaluated at bid price : 24.02 Bid-YTW : 5.97 % |
| GWO.PR.Q | Insurance Straight | 2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-17 Maturity Price : 22.72 Evaluated at bid price : 23.01 Bid-YTW : 5.64 % |
| MIC.PR.A | Perpetual-Discount | 2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-17 Maturity Price : 23.24 Evaluated at bid price : 23.50 Bid-YTW : 5.79 % |
| BN.PR.X | FixedReset Disc | 2.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-17 Maturity Price : 21.39 Evaluated at bid price : 21.70 Bid-YTW : 5.69 % |
| ENB.PR.B | FixedReset Disc | 3.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-17 Maturity Price : 23.31 Evaluated at bid price : 23.90 Bid-YTW : 5.82 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CU.PR.J | Perpetual-Discount | 301,748 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-17 Maturity Price : 21.62 Evaluated at bid price : 21.62 Bid-YTW : 5.58 % |
| GWO.PF.A | Perpetual-Premium | 297,469 | YTW SCENARIO Maturity Type : Call Maturity Date : 2035-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 5.68 % |
| BN.PF.A | FixedReset Prem | 83,117 | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.88 Bid-YTW : 5.22 % |
| BN.PF.G | FixedReset Prem | 76,453 | YTW SCENARIO Maturity Type : Call Maturity Date : 2030-07-01 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : 5.44 % |
| PWF.PR.S | Perpetual-Discount | 38,080 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-17 Maturity Price : 21.42 Evaluated at bid price : 21.68 Bid-YTW : 5.54 % |
| PWF.PR.F | Perpetual-Discount | 33,341 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-17 Maturity Price : 23.12 Evaluated at bid price : 23.38 Bid-YTW : 5.62 % |
| There were 43 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| See TMX DataLinx: ‘Last’ != ‘Close’ and the posts linked therein for an idea of why these quotes are so horrible. | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.K | Perpetual-Discount | Quote: 22.24 – 24.75 Spot Rate : 2.5100 Average : 1.5335 YTW SCENARIO |
| GWO.PR.G | Insurance Straight | Quote: 22.47 – 24.80 Spot Rate : 2.3300 Average : 1.3765 YTW SCENARIO |
| BN.PR.N | Perpetual-Discount | Quote: 21.21 – 23.00 Spot Rate : 1.7900 Average : 0.9998 YTW SCENARIO |
| SLF.PR.G | FixedReset Ins Non | Quote: 20.25 – 21.70 Spot Rate : 1.4500 Average : 0.9286 YTW SCENARIO |
| BN.PF.D | Perpetual-Discount | Quote: 21.75 – 22.88 Spot Rate : 1.1300 Average : 0.6645 YTW SCENARIO |
| MFC.PR.M | FixedReset Ins Non | Quote: 25.23 – 26.35 Spot Rate : 1.1200 Average : 0.6617 YTW SCENARIO |