That’s it for another month! Not a bad one at all, TXPR up 70bp.
| 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 | 0.6967 % | 2,488.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6967 % | 4,566.4 |
| Floater | 3.63 % | 3.86 % | 102,491 | 17.65 | 3 | 0.6967 % | 2,631.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0656 % | 3,126.0 |
| SplitShare | 4.72 % | 3.56 % | 55,006 | 1.08 | 6 | 0.0656 % | 3,733.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0656 % | 2,912.7 |
| Perpetual-Premium | 5.34 % | 4.66 % | 55,292 | 2.20 | 20 | -0.0039 % | 2,842.2 |
| Perpetual-Discount | 5.18 % | 5.23 % | 68,746 | 15.05 | 15 | -0.0422 % | 3,029.6 |
| FixedReset | 4.22 % | 4.17 % | 145,204 | 4.46 | 98 | -0.0142 % | 2,502.8 |
| Deemed-Retractible | 5.03 % | 5.24 % | 90,099 | 5.97 | 30 | 0.0389 % | 2,957.5 |
| FloatingReset | 2.71 % | 2.70 % | 41,186 | 3.94 | 8 | -0.1301 % | 2,686.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.P | FixedReset | -1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-30 Maturity Price : 17.94 Evaluated at bid price : 17.94 Bid-YTW : 4.32 % |
| BIP.PR.A | FixedReset | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-30 Maturity Price : 23.16 Evaluated at bid price : 24.27 Bid-YTW : 5.18 % |
| GWO.PR.F | Deemed-Retractible | 1.04 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-12-30 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : -35.06 % |
| SLF.PR.G | FixedReset | 1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.65 Bid-YTW : 7.34 % |
| PWF.PR.A | Floater | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-30 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 3.31 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| W.PR.M | FixedReset | 701,193 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-15 Maturity Price : 25.00 Evaluated at bid price : 26.31 Bid-YTW : 3.94 % |
| BMO.PR.M | FixedReset | 319,200 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 3.40 % |
| BAM.PF.B | FixedReset | 125,650 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-30 Maturity Price : 23.82 Evaluated at bid price : 24.24 Bid-YTW : 4.42 % |
| NA.PR.A | FixedReset | 120,300 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 26.66 Bid-YTW : 3.56 % |
| BAM.PF.I | FixedReset | 78,560 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 26.06 Bid-YTW : 3.96 % |
| BMO.PR.C | FixedReset | 64,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 3.90 % |
| There were 25 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.K | FixedReset | Quote: 22.90 – 23.31 Spot Rate : 0.4100 Average : 0.2965 YTW SCENARIO |
| BAM.PF.J | FixedReset | Quote: 25.65 – 26.00 Spot Rate : 0.3500 Average : 0.2452 YTW SCENARIO |
| GWO.PR.G | Deemed-Retractible | Quote: 24.87 – 25.17 Spot Rate : 0.3000 Average : 0.1994 YTW SCENARIO |
| BAM.PR.T | FixedReset | Quote: 21.15 – 21.38 Spot Rate : 0.2300 Average : 0.1485 YTW SCENARIO |
| BAM.PF.F | FixedReset | Quote: 24.80 – 25.00 Spot Rate : 0.2000 Average : 0.1236 YTW SCENARIO |
| PWF.PR.E | Perpetual-Premium | Quote: 25.30 – 25.57 Spot Rate : 0.2700 Average : 0.1962 YTW SCENARIO |