A red letter day today! Aided by a small bump in the GOC-5 rate, the calculated median YTW for the FixedResets subindex is greater than its mean current yield for the first time since 2008!
| 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 | -1.7499 % | 2,353.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.7499 % | 4,318.9 |
| Floater | 3.68 % | 3.70 % | 97,796 | 18.09 | 3 | -1.7499 % | 2,489.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0783 % | 3,067.3 |
| SplitShare | 4.69 % | 4.21 % | 57,892 | 1.43 | 5 | 0.0783 % | 3,663.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0783 % | 2,858.1 |
| Perpetual-Premium | 5.37 % | 4.73 % | 69,759 | 5.93 | 21 | -0.1468 % | 2,775.1 |
| Perpetual-Discount | 5.30 % | 5.29 % | 92,632 | 14.99 | 15 | -0.2113 % | 2,914.2 |
| FixedReset | 4.33 % | 4.34 % | 180,669 | 6.41 | 98 | -0.0626 % | 2,397.9 |
| Deemed-Retractible | 5.07 % | 5.41 % | 117,300 | 6.16 | 30 | -0.2596 % | 2,855.5 |
| FloatingReset | 2.60 % | 2.99 % | 45,439 | 4.30 | 10 | -0.0497 % | 2,625.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.K | Floater | -2.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-14 Maturity Price : 13.93 Evaluated at bid price : 13.93 Bid-YTW : 3.73 % |
| PWF.PR.P | FixedReset | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-14 Maturity Price : 16.93 Evaluated at bid price : 16.93 Bid-YTW : 4.37 % |
| BAM.PR.C | Floater | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-14 Maturity Price : 14.05 Evaluated at bid price : 14.05 Bid-YTW : 3.70 % |
| GWO.PR.I | Deemed-Retractible | -1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.64 Bid-YTW : 6.88 % |
| ELF.PR.H | Perpetual-Premium | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-14 Maturity Price : 24.18 Evaluated at bid price : 24.69 Bid-YTW : 5.58 % |
| BAM.PR.B | Floater | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-14 Maturity Price : 14.13 Evaluated at bid price : 14.13 Bid-YTW : 3.68 % |
| CU.PR.H | Perpetual-Premium | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-14 Maturity Price : 24.59 Evaluated at bid price : 25.01 Bid-YTW : 5.30 % |
| CU.PR.F | Perpetual-Discount | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-14 Maturity Price : 21.56 Evaluated at bid price : 21.56 Bid-YTW : 5.29 % |
| IAG.PR.A | Deemed-Retractible | -1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.51 Bid-YTW : 6.35 % |
| HSE.PR.A | FixedReset | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-14 Maturity Price : 16.30 Evaluated at bid price : 16.30 Bid-YTW : 4.72 % |
| IFC.PR.C | FixedReset | 1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 5.21 % |
| VNR.PR.A | FixedReset | 2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-14 Maturity Price : 21.89 Evaluated at bid price : 22.39 Bid-YTW : 4.81 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.I | FixedReset | 775,498 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-07-14 Maturity Price : 23.14 Evaluated at bid price : 25.00 Bid-YTW : 4.41 % |
| MFC.PR.O | FixedReset | 298,785 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.78 Bid-YTW : 3.77 % |
| TRP.PR.J | FixedReset | 176,767 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.87 Bid-YTW : 3.62 % |
| CM.PR.R | FixedReset | 176,654 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 4.44 % |
| RY.PR.R | FixedReset | 103,900 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.95 Bid-YTW : 3.67 % |
| BMO.PR.B | FixedReset | 79,483 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.25 Bid-YTW : 3.84 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BMO.PR.Q | FixedReset | Quote: 21.50 – 21.99 Spot Rate : 0.4900 Average : 0.3274 YTW SCENARIO |
| PWF.PR.P | FixedReset | Quote: 16.93 – 17.43 Spot Rate : 0.5000 Average : 0.3403 YTW SCENARIO |
| BAM.PF.E | FixedReset | Quote: 22.65 – 23.08 Spot Rate : 0.4300 Average : 0.2742 YTW SCENARIO |
| CU.PR.H | Perpetual-Premium | Quote: 25.01 – 25.40 Spot Rate : 0.3900 Average : 0.2464 YTW SCENARIO |
| GWO.PR.I | Deemed-Retractible | Quote: 21.64 – 22.05 Spot Rate : 0.4100 Average : 0.2675 YTW SCENARIO |
| BAM.PR.K | Floater | Quote: 13.93 – 14.35 Spot Rate : 0.4200 Average : 0.2826 YTW SCENARIO |