Yet another bare-bones effort!
| 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 | 5.03 % | 6.11 % | 10,981 | 16.56 | 1 | -0.4441 % | 1,564.9 |
| FixedFloater | 6.76 % | 5.94 % | 23,901 | 16.37 | 1 | 1.4440 % | 2,940.3 |
| Floater | 4.59 % | 4.73 % | 61,799 | 15.98 | 4 | 0.8815 % | 1,687.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2660 % | 2,798.5 |
| SplitShare | 4.73 % | 5.11 % | 89,430 | 1.61 | 6 | 0.2660 % | 3,274.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2660 % | 2,555.1 |
| Perpetual-Premium | 5.78 % | -3.92 % | 89,509 | 0.09 | 6 | 0.1516 % | 2,564.3 |
| Perpetual-Discount | 5.59 % | 5.61 % | 93,910 | 14.42 | 33 | 0.3084 % | 2,600.4 |
| FixedReset | 5.29 % | 4.81 % | 182,307 | 13.60 | 87 | -0.0717 % | 1,920.2 |
| Deemed-Retractible | 5.19 % | 5.63 % | 128,777 | 5.08 | 34 | 0.1209 % | 2,620.9 |
| FloatingReset | 3.14 % | 5.12 % | 36,780 | 5.39 | 17 | -0.6155 % | 2,006.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.I | FloatingReset | -6.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-31 Maturity Price : 10.30 Evaluated at bid price : 10.30 Bid-YTW : 4.80 % |
| HSE.PR.G | FixedReset | -2.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-31 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.04 % |
| RY.PR.M | FixedReset | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-31 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 4.45 % |
| BAM.PR.R | FixedReset | -1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-31 Maturity Price : 14.84 Evaluated at bid price : 14.84 Bid-YTW : 5.10 % |
| MFC.PR.L | FixedReset | -1.77 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.25 Bid-YTW : 8.40 % |
| RY.PR.J | FixedReset | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-31 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.51 % |
| TRP.PR.A | FixedReset | -1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-31 Maturity Price : 14.81 Evaluated at bid price : 14.81 Bid-YTW : 4.67 % |
| IFC.PR.A | FixedReset | -1.49 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.51 Bid-YTW : 10.21 % |
| MFC.PR.H | FixedReset | -1.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.08 Bid-YTW : 7.00 % |
| MFC.PR.F | FixedReset | -1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.03 Bid-YTW : 10.67 % |
| CIU.PR.C | FixedReset | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-31 Maturity Price : 10.92 Evaluated at bid price : 10.92 Bid-YTW : 4.77 % |
| BNS.PR.P | FixedReset | -1.25 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.65 Bid-YTW : 4.13 % |
| FTS.PR.M | FixedReset | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-31 Maturity Price : 18.02 Evaluated at bid price : 18.02 Bid-YTW : 4.72 % |
| BMO.PR.M | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 4.03 % |
| W.PR.K | FixedReset | 1.00 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-01-15 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 5.04 % |
| GWO.PR.S | Deemed-Retractible | 1.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.10 Bid-YTW : 5.81 % |
| MFC.PR.J | FixedReset | 1.27 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.27 Bid-YTW : 7.82 % |
| PWF.PR.A | Floater | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-31 Maturity Price : 11.25 Evaluated at bid price : 11.25 Bid-YTW : 4.24 % |
| TRP.PR.D | FixedReset | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-31 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 4.70 % |
| BMO.PR.R | FloatingReset | 1.43 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.01 Bid-YTW : 4.43 % |
| BAM.PR.G | FixedFloater | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-31 Maturity Price : 25.00 Evaluated at bid price : 14.05 Bid-YTW : 5.94 % |
| PWF.PR.T | FixedReset | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-31 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 4.18 % |
| TD.PR.S | FixedReset | 1.55 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.96 Bid-YTW : 4.49 % |
| BAM.PF.F | FixedReset | 1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-31 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 4.84 % |
| FTS.PR.I | FloatingReset | 2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-31 Maturity Price : 10.75 Evaluated at bid price : 10.75 Bid-YTW : 4.44 % |
| IAG.PR.G | FixedReset | 2.55 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.33 Bid-YTW : 7.21 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.L | Deemed-Retractible | 160,460 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-05-27 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : 3.19 % |
| TD.PF.G | FixedReset | 116,840 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 4.89 % |
| RY.PR.Q | FixedReset | 76,644 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 26.11 Bid-YTW : 4.89 % |
| TD.PF.B | FixedReset | 56,930 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-31 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 4.29 % |
| BAM.PF.G | FixedReset | 55,806 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-31 Maturity Price : 19.63 Evaluated at bid price : 19.63 Bid-YTW : 4.82 % |
| W.PR.K | FixedReset | 36,400 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-01-15 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 5.04 % |
| There were 29 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.F | FixedReset | Quote: 19.45 – 21.40 Spot Rate : 1.9500 Average : 1.1782 YTW SCENARIO |
| TRP.PR.I | FloatingReset | Quote: 10.30 – 11.75 Spot Rate : 1.4500 Average : 1.1511 YTW SCENARIO |
| BMO.PR.T | FixedReset | Quote: 18.30 – 18.98 Spot Rate : 0.6800 Average : 0.4581 YTW SCENARIO |
| TD.PR.Z | FloatingReset | Quote: 21.28 – 22.14 Spot Rate : 0.8600 Average : 0.7043 YTW SCENARIO |
| MFC.PR.L | FixedReset | Quote: 17.25 – 17.68 Spot Rate : 0.4300 Average : 0.2900 YTW SCENARIO |
| HSE.PR.G | FixedReset | Quote: 18.00 – 18.70 Spot Rate : 0.7000 Average : 0.5652 YTW SCENARIO |