Well – it’s a day late and it’s just the bare bones. But it’s here:
| 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 | 4.69 % | 5.69 % | 11,733 | 17.06 | 1 | 1.3371 % | 1,682.0 |
| FixedFloater | 6.42 % | 5.55 % | 19,670 | 17.06 | 1 | 0.6803 % | 3,148.5 |
| Floater | 4.50 % | 4.69 % | 49,083 | 16.04 | 4 | 0.6467 % | 1,726.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0337 % | 2,812.0 |
| SplitShare | 4.71 % | 4.88 % | 65,927 | 2.51 | 6 | -0.0337 % | 3,290.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0337 % | 2,567.5 |
| Perpetual-Premium | 5.77 % | -9.56 % | 79,867 | 0.09 | 6 | -0.0460 % | 2,594.1 |
| Perpetual-Discount | 5.50 % | 5.56 % | 98,741 | 14.54 | 33 | 0.3431 % | 2,658.0 |
| FixedReset | 5.12 % | 4.74 % | 166,799 | 14.19 | 88 | -0.0838 % | 1,995.5 |
| Deemed-Retractible | 5.17 % | 5.58 % | 125,658 | 5.06 | 33 | -0.0751 % | 2,654.6 |
| FloatingReset | 3.17 % | 4.93 % | 24,390 | 5.33 | 17 | 0.0493 % | 2,084.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IAG.PR.G | FixedReset | -3.43 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.00 Bid-YTW : 6.91 % |
| HSE.PR.A | FixedReset | -2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 10.96 Evaluated at bid price : 10.96 Bid-YTW : 5.76 % |
| BNS.PR.P | FixedReset | -2.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 4.43 % |
| TRP.PR.A | FixedReset | -2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 14.51 Evaluated at bid price : 14.51 Bid-YTW : 4.94 % |
| CM.PR.O | FixedReset | -1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 19.23 Evaluated at bid price : 19.23 Bid-YTW : 4.26 % |
| TD.PR.Y | FixedReset | -1.93 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.84 Bid-YTW : 4.74 % |
| NA.PR.Q | FixedReset | -1.67 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.01 Bid-YTW : 4.99 % |
| TRP.PR.G | FixedReset | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.05 % |
| TD.PR.Z | FloatingReset | -1.57 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.36 Bid-YTW : 5.19 % |
| SLF.PR.J | FloatingReset | -1.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.87 Bid-YTW : 10.64 % |
| SLF.PR.C | Deemed-Retractible | -1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.08 Bid-YTW : 6.97 % |
| BAM.PR.T | FixedReset | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 5.17 % |
| TD.PR.S | FixedReset | -1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 4.59 % |
| IFC.PR.A | FixedReset | 1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.56 Bid-YTW : 9.43 % |
| RY.PR.O | Perpetual-Discount | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 23.33 Evaluated at bid price : 23.64 Bid-YTW : 5.18 % |
| TRP.PR.H | FloatingReset | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 10.16 Evaluated at bid price : 10.16 Bid-YTW : 4.50 % |
| CU.PR.C | FixedReset | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 18.29 Evaluated at bid price : 18.29 Bid-YTW : 4.51 % |
| BAM.PR.E | Ratchet | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 25.00 Evaluated at bid price : 14.40 Bid-YTW : 5.69 % |
| BAM.PF.D | Perpetual-Discount | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 5.95 % |
| RY.PR.M | FixedReset | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 4.30 % |
| BAM.PR.R | FixedReset | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 15.65 Evaluated at bid price : 15.65 Bid-YTW : 5.01 % |
| FTS.PR.G | FixedReset | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 4.51 % |
| FTS.PR.F | Perpetual-Discount | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 23.51 Evaluated at bid price : 23.78 Bid-YTW : 5.23 % |
| FTS.PR.J | Perpetual-Discount | 2.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 22.81 Evaluated at bid price : 23.17 Bid-YTW : 5.19 % |
| TRP.PR.I | FloatingReset | 2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 11.00 Evaluated at bid price : 11.00 Bid-YTW : 4.73 % |
| PWF.PR.Q | FloatingReset | 2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 12.65 Evaluated at bid price : 12.65 Bid-YTW : 4.23 % |
| PWF.PR.A | Floater | 2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 11.80 Evaluated at bid price : 11.80 Bid-YTW : 4.00 % |
| TD.PF.C | FixedReset | 2.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 4.16 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.J | FixedReset | 255,825 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.63 Bid-YTW : 4.87 % |
| TD.PF.G | FixedReset | 112,854 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.05 Bid-YTW : 4.58 % |
| BMO.PR.T | FixedReset | 86,174 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 18.96 Evaluated at bid price : 18.96 Bid-YTW : 4.20 % |
| CM.PR.O | FixedReset | 41,350 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 19.23 Evaluated at bid price : 19.23 Bid-YTW : 4.26 % |
| BMO.PR.S | FixedReset | 32,689 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 4.18 % |
| RY.PR.H | FixedReset | 29,540 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-05-02 Maturity Price : 19.23 Evaluated at bid price : 19.23 Bid-YTW : 4.17 % |
| There were 10 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IAG.PR.G | FixedReset | Quote: 20.00 – 20.75 Spot Rate : 0.7500 Average : 0.5231 YTW SCENARIO |
| BAM.PR.X | FixedReset | Quote: 13.95 – 14.48 Spot Rate : 0.5300 Average : 0.3524 YTW SCENARIO |
| CM.PR.O | FixedReset | Quote: 19.23 – 19.72 Spot Rate : 0.4900 Average : 0.3253 YTW SCENARIO |
| NA.PR.Q | FixedReset | Quote: 23.01 – 23.50 Spot Rate : 0.4900 Average : 0.3334 YTW SCENARIO |
| BNS.PR.B | FloatingReset | Quote: 21.12 – 21.73 Spot Rate : 0.6100 Average : 0.4545 YTW SCENARIO |
| BNS.PR.P | FixedReset | Quote: 23.25 – 23.88 Spot Rate : 0.6300 Average : 0.4745 YTW SCENARIO |