FixedResets outperformed PerpetualDiscounts today, +13bp vs. -8bp, and grabbed the top three spots in the volume table. Volume eased off a little.
| 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 | 0.3968 % | 1,464.8 |
| FixedFloater | 5.73 % | 4.01 % | 59,675 | 18.58 | 1 | 0.1055 % | 2,678.9 |
| Floater | 3.11 % | 3.14 % | 72,136 | 19.32 | 2 | 0.3968 % | 1,829.9 |
| OpRet | 4.87 % | -7.45 % | 138,923 | 0.09 | 15 | -0.0767 % | 2,274.2 |
| SplitShare | 5.65 % | -9.34 % | 99,338 | 0.08 | 3 | 0.7265 % | 2,062.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0767 % | 2,079.5 |
| Perpetual-Premium | 5.70 % | 5.13 % | 70,564 | 2.40 | 4 | 0.1779 % | 1,886.7 |
| Perpetual-Discount | 5.68 % | 5.68 % | 189,585 | 14.33 | 67 | -0.0802 % | 1,811.2 |
| FixedReset | 5.49 % | 4.05 % | 493,195 | 4.11 | 40 | 0.1346 % | 2,105.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| POW.PR.D | Perpetual-Discount | -2.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-27 Maturity Price : 21.45 Evaluated at bid price : 21.75 Bid-YTW : 5.82 % |
| PWF.PR.E | Perpetual-Discount | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-27 Maturity Price : 22.94 Evaluated at bid price : 24.08 Bid-YTW : 5.72 % |
| CM.PR.A | OpRet | -1.36 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2009-09-26 Maturity Price : 25.50 Evaluated at bid price : 26.02 Bid-YTW : -14.21 % |
| BMO.PR.H | Perpetual-Discount | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-27 Maturity Price : 22.77 Evaluated at bid price : 23.73 Bid-YTW : 5.57 % |
| MFC.PR.C | Perpetual-Discount | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-27 Maturity Price : 19.73 Evaluated at bid price : 19.73 Bid-YTW : 5.72 % |
| SLF.PR.D | Perpetual-Discount | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-27 Maturity Price : 19.68 Evaluated at bid price : 19.68 Bid-YTW : 5.66 % |
| BMO.PR.K | Perpetual-Discount | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-27 Maturity Price : 23.38 Evaluated at bid price : 23.56 Bid-YTW : 5.60 % |
| BAM.PR.P | FixedReset | 1.07 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-30 Maturity Price : 25.00 Evaluated at bid price : 27.30 Bid-YTW : 5.35 % |
| CIU.PR.B | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-01 Maturity Price : 25.00 Evaluated at bid price : 28.06 Bid-YTW : 3.95 % |
| CGI.PR.B | SplitShare | 1.11 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2009-09-26 Maturity Price : 26.00 Evaluated at bid price : 26.25 Bid-YTW : -9.77 % |
| GWO.PR.F | Perpetual-Discount | 1.11 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-10-30 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 5.55 % |
| MFC.PR.B | Perpetual-Discount | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-27 Maturity Price : 20.54 Evaluated at bid price : 20.54 Bid-YTW : 5.68 % |
| CIU.PR.A | Perpetual-Discount | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-27 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 5.64 % |
| BNA.PR.C | SplitShare | 1.47 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 19.34 Bid-YTW : 7.83 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.T | FixedReset | 134,559 | Desjardins bought three blocks from Commission Direct (who?) of 14,000 shares, 11,000 and 49,100, all at 27.70, then crossed 11,000 at the same price. RBC crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 27.68 Bid-YTW : 3.92 % |
| RY.PR.P | FixedReset | 73,650 | RBC crossed 65,700 at 27.65. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.62 Bid-YTW : 3.78 % |
| RY.PR.T | FixedReset | 47,392 | RBC crossed 44,500 at 27.65. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 27.56 Bid-YTW : 4.06 % |
| BAM.PR.B | Floater | 46,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-27 Maturity Price : 12.65 Evaluated at bid price : 12.65 Bid-YTW : 3.14 % |
| TD.PR.R | Perpetual-Discount | 39,750 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-27 Maturity Price : 24.78 Evaluated at bid price : 25.00 Bid-YTW : 5.66 % |
| POW.PR.C | Perpetual-Discount | 31,340 | RBC crossed 25,000 at 24.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-27 Maturity Price : 24.32 Evaluated at bid price : 24.66 Bid-YTW : 5.96 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||