| 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 | 0.3952 % | 1,707.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3952 % | 3,120.0 |
| Floater | 4.38 % | 4.49 % | 43,791 | 16.45 | 4 | 0.3952 % | 1,798.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1061 % | 2,896.1 |
| SplitShare | 4.83 % | 4.53 % | 45,588 | 2.11 | 6 | 0.1061 % | 3,458.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1061 % | 2,698.5 |
| Perpetual-Premium | 5.36 % | 4.80 % | 71,171 | 2.07 | 23 | 0.0826 % | 2,687.7 |
| Perpetual-Discount | 5.14 % | 5.13 % | 100,732 | 15.30 | 15 | 0.2872 % | 2,901.0 |
| FixedReset | 4.89 % | 4.30 % | 154,271 | 6.90 | 92 | 0.9939 % | 2,076.9 |
| Deemed-Retractible | 5.02 % | 3.82 % | 113,129 | 0.45 | 32 | 0.1057 % | 2,800.8 |
| FloatingReset | 3.00 % | 4.15 % | 38,939 | 4.96 | 12 | 0.8319 % | 2,239.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BNS.PR.C | FloatingReset | 1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.83 Bid-YTW : 4.15 % |
| TD.PR.Z | FloatingReset | 1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.68 Bid-YTW : 4.08 % |
| PWF.PR.T | FixedReset | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 4.16 % |
| HSE.PR.E | FixedReset | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.18 % |
| CU.PR.G | Perpetual-Discount | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 22.17 Evaluated at bid price : 22.50 Bid-YTW : 5.05 % |
| MFC.PR.N | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.71 Bid-YTW : 7.63 % |
| BMO.PR.T | FixedReset | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 19.03 Evaluated at bid price : 19.03 Bid-YTW : 4.18 % |
| BMO.PR.W | FixedReset | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 18.97 Evaluated at bid price : 18.97 Bid-YTW : 4.16 % |
| TD.PF.B | FixedReset | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 4.22 % |
| BMO.PR.Y | FixedReset | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 4.24 % |
| BMO.PR.R | FloatingReset | 1.20 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.71 Bid-YTW : 4.14 % |
| CM.PR.O | FixedReset | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 4.21 % |
| BAM.PF.E | FixedReset | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 19.02 Evaluated at bid price : 19.02 Bid-YTW : 4.67 % |
| TD.PF.E | FixedReset | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 4.28 % |
| TD.PF.C | FixedReset | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 4.21 % |
| HSE.PR.A | FixedReset | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 11.92 Evaluated at bid price : 11.92 Bid-YTW : 5.22 % |
| BMO.PR.Q | FixedReset | 1.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.11 Bid-YTW : 6.28 % |
| MFC.PR.K | FixedReset | 1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.65 Bid-YTW : 8.24 % |
| MFC.PR.L | FixedReset | 1.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.33 Bid-YTW : 7.78 % |
| BAM.PR.Z | FixedReset | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 19.36 Evaluated at bid price : 19.36 Bid-YTW : 4.95 % |
| MFC.PR.J | FixedReset | 1.47 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.33 Bid-YTW : 7.25 % |
| TD.PF.D | FixedReset | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 4.31 % |
| IAG.PR.G | FixedReset | 1.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.20 Bid-YTW : 6.79 % |
| TRP.PR.E | FixedReset | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 4.41 % |
| NA.PR.W | FixedReset | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 18.33 Evaluated at bid price : 18.33 Bid-YTW : 4.31 % |
| BNS.PR.D | FloatingReset | 1.61 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.55 Bid-YTW : 6.39 % |
| TRP.PR.A | FixedReset | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 4.47 % |
| FTS.PR.M | FixedReset | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 19.54 Evaluated at bid price : 19.54 Bid-YTW : 4.39 % |
| FTS.PR.G | FixedReset | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 4.24 % |
| SLF.PR.H | FixedReset | 1.72 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.59 Bid-YTW : 8.69 % |
| FTS.PR.K | FixedReset | 1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.22 % |
| TRP.PR.B | FixedReset | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 12.25 Evaluated at bid price : 12.25 Bid-YTW : 4.24 % |
| RY.PR.M | FixedReset | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 4.23 % |
| CM.PR.P | FixedReset | 1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 18.79 Evaluated at bid price : 18.79 Bid-YTW : 4.18 % |
| MFC.PR.G | FixedReset | 1.96 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.27 Bid-YTW : 6.75 % |
| MFC.PR.F | FixedReset | 1.99 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.87 Bid-YTW : 10.36 % |
| NA.PR.S | FixedReset | 1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 4.32 % |
| MFC.PR.I | FixedReset | 2.00 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.41 Bid-YTW : 6.71 % |
| VNR.PR.A | FixedReset | 2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.74 % |
| BAM.PF.B | FixedReset | 2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 4.89 % |
| BAM.PF.H | FixedReset | 2.06 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 27.21 Bid-YTW : 2.83 % |
| BIP.PR.A | FixedReset | 2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 21.38 Evaluated at bid price : 21.70 Bid-YTW : 5.04 % |
| RY.PR.J | FixedReset | 2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 20.92 Evaluated at bid price : 20.92 Bid-YTW : 4.26 % |
| BAM.PR.T | FixedReset | 2.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 5.01 % |
| BAM.PR.R | FixedReset | 2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 16.04 Evaluated at bid price : 16.04 Bid-YTW : 4.79 % |
| GWO.PR.N | FixedReset | 2.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.00 Bid-YTW : 10.14 % |
| BAM.PF.F | FixedReset | 2.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 4.65 % |
| BAM.PF.A | FixedReset | 2.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.85 % |
| TRP.PR.G | FixedReset | 2.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 4.55 % |
| BAM.PF.G | FixedReset | 2.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 4.57 % |
| CU.PR.C | FixedReset | 3.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 4.21 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| NA.PR.A | FixedReset | 179,421 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 25.96 Bid-YTW : 4.43 % |
| CM.PR.Q | FixedReset | 125,710 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 20.54 Evaluated at bid price : 20.54 Bid-YTW : 4.35 % |
| RY.PR.M | FixedReset | 91,650 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 4.23 % |
| TD.PF.H | FixedReset | 91,337 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.62 Bid-YTW : 4.30 % |
| BNS.PR.E | FixedReset | 87,266 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 26.61 Bid-YTW : 3.91 % |
| TRP.PR.D | FixedReset | 73,350 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-10-14 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 4.48 % |
| There were 65 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.D | FloatingReset | Quote: 18.30 – 19.30 Spot Rate : 1.0000 Average : 0.8358 YTW SCENARIO |
| CU.PR.I | FixedReset | Quote: 25.89 – 26.34 Spot Rate : 0.4500 Average : 0.3049 YTW SCENARIO |
| BAM.PR.X | FixedReset | Quote: 13.49 – 13.81 Spot Rate : 0.3200 Average : 0.1984 YTW SCENARIO |
| EML.PR.A | FixedReset | Quote: 26.22 – 26.54 Spot Rate : 0.3200 Average : 0.2031 YTW SCENARIO |
| BAM.PF.E | FixedReset | Quote: 19.02 – 19.37 Spot Rate : 0.3500 Average : 0.2345 YTW SCENARIO |
| CU.PR.C | FixedReset | Quote: 19.15 – 19.50 Spot Rate : 0.3500 Average : 0.2545 YTW SCENARIO |
It was a great day for fixed resets today and I certainly won’t complain about that but I hate it when the market makes a big move and I don’t even understand why! Bond yields were up today but nothing remarkable… anybody have any thoughts on why the fixed reset prefs surged today? Maybe new money coming into ZPR??
I’ve given up trying to figure out why fixed resets are up, down or sideways. It certainly doesn’t seem to be related to bond yields.
I started buying prefs about ten years ago, initially all perpetuals. I recall thinking that the 5% yield I was getting on big 5 Canadian bank perpetuals was quite reasonable given that 5 year term deposits were around 4%, maybe a bit less.
Now its hard to get 2% on a 5 year term deposits, insurance perpetuals still yield 5% and fixed resets yield around 4.25 – 4.5%.
So who knows what investors are thinking. I suspect they are too busy looking in the rear view mirror and putting their money in real estate.