So it seems that Brexit was basically a fizzle as far as the Canadian preferred share market was concerned. It was a bad day, certainly, with TXPR down 0.84% on the day – but that doesn’t even make the list of ten worst days this year!
| 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 | -1.1453 % | 1,638.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.1453 % | 2,993.2 |
| Floater | 4.69 % | 4.70 % | 62,328 | 16.05 | 3 | -1.1453 % | 1,725.0 |
| OpRet | 4.86 % | -0.59 % | 38,301 | 0.08 | 1 | 0.1192 % | 2,835.8 |
| SplitShare | 4.88 % | 4.94 % | 86,819 | 4.64 | 7 | -0.1201 % | 3,336.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1201 % | 2,602.9 |
| Perpetual-Premium | 5.61 % | -10.95 % | 77,633 | 0.09 | 9 | -0.1389 % | 2,633.2 |
| Perpetual-Discount | 5.38 % | 5.43 % | 104,574 | 14.73 | 28 | -0.4431 % | 2,728.6 |
| FixedReset | 5.20 % | 4.68 % | 159,828 | 7.34 | 88 | -0.9771 % | 1,958.1 |
| Deemed-Retractible | 5.14 % | 5.39 % | 121,546 | 4.91 | 33 | -0.4528 % | 2,690.4 |
| FloatingReset | 3.15 % | 5.15 % | 29,187 | 5.19 | 18 | -0.7178 % | 2,094.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.Q | FloatingReset | -6.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 11.50 Evaluated at bid price : 11.50 Bid-YTW : 4.60 % |
| VNR.PR.A | FixedReset | -3.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 5.17 % |
| SLF.PR.I | FixedReset | -3.61 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.90 Bid-YTW : 8.13 % |
| TRP.PR.B | FixedReset | -3.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 11.30 Evaluated at bid price : 11.30 Bid-YTW : 4.39 % |
| HSE.PR.A | FixedReset | -3.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 11.25 Evaluated at bid price : 11.25 Bid-YTW : 5.33 % |
| TRP.PR.C | FixedReset | -2.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 4.67 % |
| TRP.PR.H | FloatingReset | -2.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 9.85 Evaluated at bid price : 9.85 Bid-YTW : 4.50 % |
| IAG.PR.G | FixedReset | -2.75 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.38 Bid-YTW : 7.93 % |
| SLF.PR.H | FixedReset | -2.72 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.73 Bid-YTW : 9.18 % |
| TD.PF.E | FixedReset | -2.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 20.16 Evaluated at bid price : 20.16 Bid-YTW : 4.49 % |
| RY.PR.M | FixedReset | -2.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 4.47 % |
| TRP.PR.A | FixedReset | -2.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 14.20 Evaluated at bid price : 14.20 Bid-YTW : 4.80 % |
| RY.PR.J | FixedReset | -2.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.53 % |
| CU.PR.C | FixedReset | -2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 16.84 Evaluated at bid price : 16.84 Bid-YTW : 4.64 % |
| FTS.PR.I | FloatingReset | -2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 11.92 Evaluated at bid price : 11.92 Bid-YTW : 4.10 % |
| TRP.PR.G | FixedReset | -2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 18.06 Evaluated at bid price : 18.06 Bid-YTW : 5.12 % |
| BAM.PF.E | FixedReset | -2.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 18.24 Evaluated at bid price : 18.24 Bid-YTW : 4.77 % |
| PWF.PR.T | FixedReset | -2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 20.43 Evaluated at bid price : 20.43 Bid-YTW : 3.97 % |
| HSE.PR.C | FixedReset | -1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 17.21 Evaluated at bid price : 17.21 Bid-YTW : 5.76 % |
| BAM.PR.X | FixedReset | -1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 13.31 Evaluated at bid price : 13.31 Bid-YTW : 4.83 % |
| CM.PR.Q | FixedReset | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.50 % |
| PWF.PR.P | FixedReset | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 13.10 Evaluated at bid price : 13.10 Bid-YTW : 4.38 % |
| TRP.PR.F | FloatingReset | -1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 13.20 Evaluated at bid price : 13.20 Bid-YTW : 4.57 % |
| TRP.PR.E | FixedReset | -1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 17.44 Evaluated at bid price : 17.44 Bid-YTW : 4.71 % |
| TRP.PR.D | FixedReset | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 17.23 Evaluated at bid price : 17.23 Bid-YTW : 4.69 % |
| BAM.PR.N | Perpetual-Discount | -1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 20.67 Evaluated at bid price : 20.67 Bid-YTW : 5.78 % |
| BAM.PR.M | Perpetual-Discount | -1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 20.67 Evaluated at bid price : 20.67 Bid-YTW : 5.78 % |
| BAM.PF.C | Perpetual-Discount | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 21.13 Evaluated at bid price : 21.13 Bid-YTW : 5.77 % |
| BAM.PF.D | Perpetual-Discount | -1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 21.39 Evaluated at bid price : 21.39 Bid-YTW : 5.76 % |
| SLF.PR.G | FixedReset | -1.64 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.36 Bid-YTW : 9.56 % |
| RY.PR.Z | FixedReset | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 4.23 % |
| BAM.PF.B | FixedReset | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.93 % |
| BAM.PF.F | FixedReset | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 19.31 Evaluated at bid price : 19.31 Bid-YTW : 4.80 % |
| SLF.PR.J | FloatingReset | -1.57 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.51 Bid-YTW : 11.05 % |
| NA.PR.W | FixedReset | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 4.58 % |
| RY.PR.H | FixedReset | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 4.29 % |
| TD.PF.D | FixedReset | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 19.52 Evaluated at bid price : 19.52 Bid-YTW : 4.52 % |
| TD.PF.A | FixedReset | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 18.27 Evaluated at bid price : 18.27 Bid-YTW : 4.28 % |
| BAM.PR.C | Floater | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 10.01 Evaluated at bid price : 10.01 Bid-YTW : 4.73 % |
| BAM.PR.K | Floater | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 10.06 Evaluated at bid price : 10.06 Bid-YTW : 4.70 % |
| HSE.PR.G | FixedReset | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 18.95 Evaluated at bid price : 18.95 Bid-YTW : 5.67 % |
| SLF.PR.E | Deemed-Retractible | -1.35 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.25 Bid-YTW : 6.86 % |
| BAM.PR.Z | FixedReset | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 18.67 Evaluated at bid price : 18.67 Bid-YTW : 5.01 % |
| SLF.PR.B | Deemed-Retractible | -1.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 6.16 % |
| IFC.PR.A | FixedReset | -1.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.70 Bid-YTW : 10.14 % |
| BMO.PR.W | FixedReset | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 18.02 Evaluated at bid price : 18.02 Bid-YTW : 4.26 % |
| BAM.PF.G | FixedReset | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 4.75 % |
| BAM.PR.T | FixedReset | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 14.97 Evaluated at bid price : 14.97 Bid-YTW : 5.10 % |
| BMO.PR.Y | FixedReset | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 4.39 % |
| FTS.PR.H | FixedReset | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 13.74 Evaluated at bid price : 13.74 Bid-YTW : 4.00 % |
| MFC.PR.K | FixedReset | -1.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.20 Bid-YTW : 8.35 % |
| MFC.PR.I | FixedReset | -1.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.68 Bid-YTW : 7.03 % |
| BIP.PR.A | FixedReset | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 18.92 Evaluated at bid price : 18.92 Bid-YTW : 5.69 % |
| BNS.PR.F | FloatingReset | -1.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.15 Bid-YTW : 8.09 % |
| CM.PR.P | FixedReset | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 4.27 % |
| SLF.PR.C | Deemed-Retractible | -1.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.05 Bid-YTW : 6.95 % |
| MFC.PR.J | FixedReset | -1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.71 Bid-YTW : 7.49 % |
| MFC.PR.B | Deemed-Retractible | -1.12 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.10 Bid-YTW : 6.48 % |
| TD.PF.C | FixedReset | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 4.33 % |
| SLF.PR.A | Deemed-Retractible | -1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.61 Bid-YTW : 6.23 % |
| BMO.PR.T | FixedReset | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 4.26 % |
| TD.PF.B | FixedReset | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 18.19 Evaluated at bid price : 18.19 Bid-YTW : 4.29 % |
| SLF.PR.D | Deemed-Retractible | -1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.02 Bid-YTW : 6.97 % |
| CU.PR.E | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 22.47 Evaluated at bid price : 22.79 Bid-YTW : 5.41 % |
| BMO.PR.S | FixedReset | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 18.44 Evaluated at bid price : 18.44 Bid-YTW : 4.30 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| NA.PR.A | FixedReset | 134,570 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 25.66 Bid-YTW : 4.88 % |
| TD.PF.G | FixedReset | 94,565 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.35 Bid-YTW : 4.47 % |
| TRP.PR.J | FixedReset | 71,029 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.87 Bid-YTW : 4.81 % |
| IFC.PR.C | FixedReset | 61,511 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.40 Bid-YTW : 8.37 % |
| RY.PR.Q | FixedReset | 48,627 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 26.32 Bid-YTW : 4.42 % |
| FTS.PR.M | FixedReset | 41,932 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-24 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.39 % |
| There were 39 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.Q | FloatingReset | Quote: 11.50 – 13.25 Spot Rate : 1.7500 Average : 1.2381 YTW SCENARIO |
| FTS.PR.I | FloatingReset | Quote: 11.92 – 12.89 Spot Rate : 0.9700 Average : 0.6344 YTW SCENARIO |
| GWO.PR.L | Deemed-Retractible | Quote: 25.39 – 25.97 Spot Rate : 0.5800 Average : 0.3452 YTW SCENARIO |
| SLF.PR.J | FloatingReset | Quote: 12.51 – 13.24 Spot Rate : 0.7300 Average : 0.5085 YTW SCENARIO |
| CU.PR.C | FixedReset | Quote: 16.84 – 17.33 Spot Rate : 0.4900 Average : 0.3643 YTW SCENARIO |
| MFC.PR.K | FixedReset | Quote: 17.20 – 17.50 Spot Rate : 0.3000 Average : 0.1974 YTW SCENARIO |