I have some urgent matters to take care of and anticipate that the Wednesday and Thursday Market Action reports will not be published until the weekend.
| 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 | 0.0322 % | 2,086.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0322 % | 3,828.7 |
| Floater | 4.14 % | 4.18 % | 43,700 | 17.05 | 3 | 0.0322 % | 2,206.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1049 % | 3,632.3 |
| SplitShare | 4.70 % | 4.34 % | 37,736 | 3.72 | 8 | -0.1049 % | 4,337.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1049 % | 3,384.5 |
| Perpetual-Premium | 5.37 % | -5.90 % | 69,896 | 0.09 | 18 | -0.5755 % | 3,221.5 |
| Perpetual-Discount | 5.00 % | 4.96 % | 71,423 | 15.40 | 13 | -0.0316 % | 3,697.3 |
| FixedReset Disc | 4.86 % | 3.77 % | 142,522 | 17.53 | 56 | 0.0567 % | 2,413.5 |
| Insurance Straight | 5.02 % | 4.83 % | 84,000 | 15.33 | 22 | 0.0878 % | 3,580.0 |
| FloatingReset | 2.48 % | -0.00 % | 27,231 | 0.10 | 3 | 0.1222 % | 1,937.2 |
| FixedReset Prem | 5.13 % | 3.11 % | 189,747 | 0.97 | 20 | -0.0608 % | 2,703.5 |
| FixedReset Bank Non | 1.93 % | 1.92 % | 168,762 | 1.00 | 2 | 0.0000 % | 2,886.0 |
| FixedReset Ins Non | 4.85 % | 3.70 % | 91,172 | 17.67 | 22 | -0.3284 % | 2,514.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CU.PR.H | Perpetual-Premium | -5.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 23.88 Evaluated at bid price : 24.40 Bid-YTW : 5.44 % |
| RY.PR.N | Perpetual-Premium | -5.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 24.51 Evaluated at bid price : 25.00 Bid-YTW : 4.88 % |
| IAF.PR.G | FixedReset Ins Non | -4.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 3.88 % |
| SLF.PR.H | FixedReset Ins Non | -3.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 3.64 % |
| TRP.PR.C | FixedReset Disc | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 10.91 Evaluated at bid price : 10.91 Bid-YTW : 4.52 % |
| MFC.PR.M | FixedReset Ins Non | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 20.17 Evaluated at bid price : 20.17 Bid-YTW : 3.73 % |
| CU.PR.F | Perpetual-Discount | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 23.23 Evaluated at bid price : 23.50 Bid-YTW : 4.85 % |
| MFC.PR.L | FixedReset Ins Non | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 3.70 % |
| RY.PR.S | FixedReset Disc | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 22.47 Evaluated at bid price : 23.07 Bid-YTW : 3.29 % |
| IFC.PR.E | Insurance Straight | 1.06 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-06-30 Maturity Price : 25.25 Evaluated at bid price : 25.65 Bid-YTW : 4.87 % |
| TRP.PR.E | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.67 % |
| BAM.PR.R | FixedReset Disc | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 15.18 Evaluated at bid price : 15.18 Bid-YTW : 4.53 % |
| TRP.PR.D | FixedReset Disc | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 4.57 % |
| PWF.PR.P | FixedReset Disc | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 12.76 Evaluated at bid price : 12.76 Bid-YTW : 3.98 % |
| TD.PF.K | FixedReset Disc | 2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 22.17 Evaluated at bid price : 22.55 Bid-YTW : 3.58 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CU.PR.C | FixedReset Disc | 175,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 18.56 Evaluated at bid price : 18.56 Bid-YTW : 3.91 % |
| IFC.PR.A | FixedReset Ins Non | 170,666 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 3.71 % |
| TRP.PR.E | FixedReset Disc | 84,188 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.67 % |
| RY.PR.P | Perpetual-Premium | 74,900 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-03-26 Maturity Price : 26.00 Evaluated at bid price : 26.50 Bid-YTW : -9.02 % |
| BMO.PR.T | FixedReset Disc | 57,444 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 3.59 % |
| TRP.PR.A | FixedReset Disc | 56,902 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-26 Maturity Price : 13.95 Evaluated at bid price : 13.95 Bid-YTW : 4.68 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| RY.PR.N | Perpetual-Premium | Quote: 25.00 – 26.49 Spot Rate : 1.4900 Average : 0.9093 YTW SCENARIO |
| CU.PR.H | Perpetual-Premium | Quote: 24.40 – 25.94 Spot Rate : 1.5400 Average : 0.9643 YTW SCENARIO |
| IAF.PR.G | FixedReset Ins Non | Quote: 21.50 – 22.67 Spot Rate : 1.1700 Average : 0.8058 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 18.00 – 18.87 Spot Rate : 0.8700 Average : 0.5288 YTW SCENARIO |
| NA.PR.S | FixedReset Disc | Quote: 20.00 – 20.40 Spot Rate : 0.4000 Average : 0.2561 YTW SCENARIO |
| MFC.PR.L | FixedReset Ins Non | Quote: 19.01 – 19.45 Spot Rate : 0.4400 Average : 0.3346 YTW SCENARIO |