Just the bare bones today, I’m afraid!
Towards a formal theory of bank interconnectedness
Financial analysis jobs being automated.
DC.PR.E post updated with Dundee’s estimate of the warrant value.
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 | 5.59 % | 6.78 % | 14,283 | 15.77 | 1 | 1.3542 % | 1,401.2 |
FixedFloater | 7.85 % | 6.87 % | 22,828 | 15.31 | 1 | 0.0000 % | 2,532.2 |
Floater | 4.95 % | 5.21 % | 77,306 | 15.07 | 4 | -0.8052 % | 1,549.3 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2703 % | 2,743.4 |
SplitShare | 4.86 % | 5.72 % | 74,780 | 2.68 | 6 | 0.2703 % | 3,210.3 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2703 % | 2,504.8 |
Perpetual-Premium | 5.86 % | 5.85 % | 81,656 | 13.92 | 6 | -0.2795 % | 2,517.1 |
Perpetual-Discount | 5.83 % | 5.85 % | 97,422 | 14.07 | 33 | -0.2051 % | 2,482.7 |
FixedReset | 5.86 % | 5.29 % | 204,483 | 13.90 | 85 | -0.6471 % | 1,734.5 |
Deemed-Retractible | 5.37 % | 6.11 % | 121,339 | 5.15 | 34 | 0.2333 % | 2,518.8 |
FloatingReset | 3.18 % | 5.40 % | 49,140 | 5.48 | 16 | 0.1795 % | 1,924.8 |
Performance Highlights | |||
Issue | Index | Change | Notes |
TRP.PR.A | FixedReset | -4.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 12.25 Evaluated at bid price : 12.25 Bid-YTW : 5.49 % |
SLF.PR.H | FixedReset | -4.70 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.20 Bid-YTW : 10.59 % |
MFC.PR.L | FixedReset | -3.77 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.82 Bid-YTW : 10.39 % |
MFC.PR.M | FixedReset | -3.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.70 Bid-YTW : 9.79 % |
IAG.PR.A | Deemed-Retractible | -3.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.97 Bid-YTW : 7.94 % |
MFC.PR.K | FixedReset | -2.99 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.28 Bid-YTW : 10.77 % |
BAM.PF.D | Perpetual-Discount | -2.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 6.54 % |
TRP.PR.B | FixedReset | -2.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 9.50 Evaluated at bid price : 9.50 Bid-YTW : 5.14 % |
IFC.PR.C | FixedReset | -2.55 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.30 Bid-YTW : 10.20 % |
PWF.PR.P | FixedReset | -2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 11.22 Evaluated at bid price : 11.22 Bid-YTW : 5.04 % |
MFC.PR.J | FixedReset | -2.42 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.70 Bid-YTW : 9.78 % |
CU.PR.C | FixedReset | -2.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 14.92 Evaluated at bid price : 14.92 Bid-YTW : 5.18 % |
HSE.PR.G | FixedReset | -2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 14.66 Evaluated at bid price : 14.66 Bid-YTW : 7.45 % |
BAM.PR.B | Floater | -2.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 9.19 Evaluated at bid price : 9.19 Bid-YTW : 5.22 % |
CM.PR.Q | FixedReset | -2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 17.33 Evaluated at bid price : 17.33 Bid-YTW : 5.03 % |
BAM.PF.F | FixedReset | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 5.70 % |
BAM.PF.C | Perpetual-Discount | -1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 6.44 % |
BAM.PF.A | FixedReset | -1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 16.26 Evaluated at bid price : 16.26 Bid-YTW : 5.75 % |
BAM.PR.N | Perpetual-Discount | -1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 6.41 % |
BAM.PF.E | FixedReset | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 15.81 Evaluated at bid price : 15.81 Bid-YTW : 5.57 % |
BNS.PR.E | FixedReset | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 23.16 Evaluated at bid price : 25.02 Bid-YTW : 5.22 % |
TD.PF.E | FixedReset | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 18.09 Evaluated at bid price : 18.09 Bid-YTW : 4.94 % |
MFC.PR.I | FixedReset | -1.63 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.30 Bid-YTW : 9.54 % |
BMO.PR.Y | FixedReset | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 17.82 Evaluated at bid price : 17.82 Bid-YTW : 4.85 % |
FTS.PR.M | FixedReset | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 5.26 % |
TD.PF.A | FixedReset | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 4.79 % |
MFC.PR.H | FixedReset | -1.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.27 Bid-YTW : 8.15 % |
RY.PR.H | FixedReset | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 16.27 Evaluated at bid price : 16.27 Bid-YTW : 4.74 % |
MFC.PR.F | FixedReset | -1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.22 Bid-YTW : 11.27 % |
BIP.PR.B | FixedReset | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 22.63 Evaluated at bid price : 23.66 Bid-YTW : 5.89 % |
MFC.PR.C | Deemed-Retractible | -1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.50 Bid-YTW : 7.99 % |
PWF.PR.O | Perpetual-Premium | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 24.36 Evaluated at bid price : 24.68 Bid-YTW : 5.93 % |
BMO.PR.S | FixedReset | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 16.55 Evaluated at bid price : 16.55 Bid-YTW : 4.75 % |
MFC.PR.N | FixedReset | -1.25 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.81 Bid-YTW : 9.61 % |
TRP.PR.D | FixedReset | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 5.34 % |
TRP.PR.E | FixedReset | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.10 % |
SLF.PR.I | FixedReset | -1.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.55 Bid-YTW : 9.21 % |
NA.PR.W | FixedReset | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 14.54 Evaluated at bid price : 14.54 Bid-YTW : 5.37 % |
PWF.PR.L | Perpetual-Discount | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 21.54 Evaluated at bid price : 21.80 Bid-YTW : 5.91 % |
BAM.PF.B | FixedReset | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 15.04 Evaluated at bid price : 15.04 Bid-YTW : 5.80 % |
BMO.PR.W | FixedReset | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 4.72 % |
BMO.PR.T | FixedReset | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 16.37 Evaluated at bid price : 16.37 Bid-YTW : 4.69 % |
RY.PR.Q | FixedReset | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 23.17 Evaluated at bid price : 25.08 Bid-YTW : 5.22 % |
SLF.PR.G | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.01 Bid-YTW : 10.74 % |
CU.PR.H | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 22.44 Evaluated at bid price : 22.76 Bid-YTW : 5.78 % |
RY.PR.B | Deemed-Retractible | 1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.72 Bid-YTW : 4.95 % |
PVS.PR.E | SplitShare | 1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.30 Bid-YTW : 6.80 % |
TD.PR.Y | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.06 Bid-YTW : 4.46 % |
BNS.PR.M | Deemed-Retractible | 1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.91 Bid-YTW : 5.46 % |
RY.PR.A | Deemed-Retractible | 1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.80 Bid-YTW : 5.44 % |
RY.PR.F | Deemed-Retractible | 1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.72 Bid-YTW : 5.51 % |
BIP.PR.A | FixedReset | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 6.22 % |
BNS.PR.Z | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.67 Bid-YTW : 7.46 % |
RY.PR.E | Deemed-Retractible | 1.27 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 5.41 % |
PWF.PR.T | FixedReset | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.24 % |
CU.PR.I | FixedReset | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 23.16 Evaluated at bid price : 24.96 Bid-YTW : 4.41 % |
BAM.PR.E | Ratchet | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 25.00 Evaluated at bid price : 12.10 Bid-YTW : 6.78 % |
HSE.PR.A | FixedReset | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 8.20 Evaluated at bid price : 8.20 Bid-YTW : 7.30 % |
BMO.PR.Q | FixedReset | 1.37 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.75 Bid-YTW : 8.22 % |
NA.PR.Q | FixedReset | 1.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 5.22 % |
BAM.PR.R | FixedReset | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 12.78 Evaluated at bid price : 12.78 Bid-YTW : 5.89 % |
BAM.PR.T | FixedReset | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 13.43 Evaluated at bid price : 13.43 Bid-YTW : 5.74 % |
RY.PR.D | Deemed-Retractible | 1.48 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.96 Bid-YTW : 5.36 % |
GWO.PR.N | FixedReset | 1.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.51 Bid-YTW : 11.14 % |
BNS.PR.Y | FixedReset | 1.67 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.84 Bid-YTW : 6.94 % |
BNS.PR.D | FloatingReset | 1.72 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.75 Bid-YTW : 7.59 % |
HSE.PR.C | FixedReset | 2.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 13.45 Evaluated at bid price : 13.45 Bid-YTW : 7.50 % |
TRP.PR.F | FloatingReset | 3.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 10.17 Evaluated at bid price : 10.17 Bid-YTW : 5.79 % |
BAM.PR.X | FixedReset | 4.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 12.01 Evaluated at bid price : 12.01 Bid-YTW : 5.49 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
RY.PR.Q | FixedReset | 860,432 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 23.17 Evaluated at bid price : 25.08 Bid-YTW : 5.22 % |
MFC.PR.O | FixedReset | 753,902 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.86 Bid-YTW : 5.71 % |
TD.PF.G | FixedReset | 359,845 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 23.18 Evaluated at bid price : 25.09 Bid-YTW : 5.29 % |
BNS.PR.E | FixedReset | 194,018 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 23.16 Evaluated at bid price : 25.02 Bid-YTW : 5.22 % |
FTS.PR.M | FixedReset | 109,370 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 5.26 % |
BNS.PR.O | Deemed-Retractible | 101,800 | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-04-26 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 4.70 % |
NA.PR.X | FixedReset | 100,160 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-02-25 Maturity Price : 23.15 Evaluated at bid price : 25.01 Bid-YTW : 5.51 % |
There were 35 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
TRP.PR.B | FixedReset | Quote: 9.50 – 10.42 Spot Rate : 0.9200 Average : 0.5842 YTW SCENARIO |
IAG.PR.A | Deemed-Retractible | Quote: 19.97 – 21.08 Spot Rate : 1.1100 Average : 0.8337 YTW SCENARIO |
SLF.PR.H | FixedReset | Quote: 14.20 – 15.00 Spot Rate : 0.8000 Average : 0.5335 YTW SCENARIO |
HSE.PR.G | FixedReset | Quote: 14.66 – 15.50 Spot Rate : 0.8400 Average : 0.6108 YTW SCENARIO |
TD.PR.T | FloatingReset | Quote: 20.97 – 21.78 Spot Rate : 0.8100 Average : 0.5812 YTW SCENARIO |
TRP.PR.A | FixedReset | Quote: 12.25 – 12.88 Spot Rate : 0.6300 Average : 0.4309 YTW SCENARIO |