It was another busy day for the MOC facility, with 68 preferred share issues listed on the imbalances, many of them in lots of 5,000 shares.
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| 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 | 0.0576 % | 2,084.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0576 % | 3,825.6 |
| Floater | 5.64 % | 5.95 % | 51,381 | 13.96 | 3 | 0.0576 % | 2,204.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1389 % | 3,289.3 |
| SplitShare | 4.87 % | 4.69 % | 72,362 | 3.80 | 8 | 0.1389 % | 3,928.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1389 % | 3,064.9 |
| Perpetual-Premium | 5.59 % | -9.87 % | 87,499 | 0.09 | 10 | -0.0945 % | 2,950.7 |
| Perpetual-Discount | 5.40 % | 5.52 % | 79,930 | 14.62 | 23 | 0.0733 % | 3,108.2 |
| FixedReset Disc | 5.23 % | 5.38 % | 184,533 | 14.89 | 61 | -0.2403 % | 2,200.7 |
| Deemed-Retractible | 5.22 % | 5.84 % | 96,575 | 8.11 | 27 | -0.0867 % | 3,073.1 |
| FloatingReset | 4.23 % | 4.32 % | 54,685 | 2.66 | 5 | 0.0433 % | 2,410.8 |
| FixedReset Prem | 5.07 % | 3.81 % | 283,933 | 2.18 | 23 | -0.0491 % | 2,585.0 |
| FixedReset Bank Non | 1.98 % | 3.97 % | 142,098 | 2.67 | 3 | 0.1252 % | 2,645.2 |
| FixedReset Ins Non | 5.00 % | 6.77 % | 102,056 | 8.24 | 22 | -0.2706 % | 2,255.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TD.PF.C | FixedReset Disc | -2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-23 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 5.18 % |
| EMA.PR.F | FixedReset Disc | -2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-23 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 5.76 % |
| MFC.PR.Q | FixedReset Ins Non | -1.35 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.40 Bid-YTW : 6.96 % |
| MFC.PR.K | FixedReset Ins Non | -1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.47 Bid-YTW : 7.20 % |
| TRP.PR.D | FixedReset Disc | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-23 Maturity Price : 16.71 Evaluated at bid price : 16.71 Bid-YTW : 6.02 % |
| PWF.PR.A | Floater | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-23 Maturity Price : 13.35 Evaluated at bid price : 13.35 Bid-YTW : 5.18 % |
| TD.PF.A | FixedReset Disc | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-23 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.19 % |
| CM.PR.S | FixedReset Disc | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-23 Maturity Price : 20.43 Evaluated at bid price : 20.43 Bid-YTW : 5.12 % |
| NA.PR.E | FixedReset Disc | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-23 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 5.42 % |
| RY.PR.Z | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-23 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 5.22 % |
| BMO.PR.E | FixedReset Disc | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-23 Maturity Price : 22.00 Evaluated at bid price : 22.51 Bid-YTW : 4.98 % |
| MFC.PR.N | FixedReset Ins Non | -1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.21 Bid-YTW : 7.76 % |
| BAM.PF.J | FixedReset Disc | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-23 Maturity Price : 22.75 Evaluated at bid price : 23.70 Bid-YTW : 5.00 % |
| GWO.PR.P | Deemed-Retractible | 1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 5.49 % |
| BAM.PR.K | Floater | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-23 Maturity Price : 11.74 Evaluated at bid price : 11.74 Bid-YTW : 5.95 % |
| PWF.PR.P | FixedReset Disc | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-23 Maturity Price : 14.42 Evaluated at bid price : 14.42 Bid-YTW : 5.43 % |
| BIP.PR.D | FixedReset Disc | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-23 Maturity Price : 22.51 Evaluated at bid price : 23.11 Bid-YTW : 5.80 % |
| RY.PR.M | FixedReset Disc | 2.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-23 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.13 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PF.I | FixedReset Prem | 157,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-23 Maturity Price : 23.18 Evaluated at bid price : 24.45 Bid-YTW : 5.46 % |
| IAF.PR.G | FixedReset Ins Non | 91,500 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.25 Bid-YTW : 6.22 % |
| BMO.PR.F | FixedReset Prem | 69,316 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.28 Bid-YTW : 4.89 % |
| CM.PR.R | FixedReset Disc | 64,162 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-23 Maturity Price : 22.19 Evaluated at bid price : 22.65 Bid-YTW : 5.39 % |
| BMO.PR.E | FixedReset Disc | 62,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-04-23 Maturity Price : 22.00 Evaluated at bid price : 22.51 Bid-YTW : 4.98 % |
| BAM.PF.H | FixedReset Prem | 58,170 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 3.72 % |
| There were 43 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.G | FixedReset Ins Non | Quote: 20.31 – 21.20 Spot Rate : 0.8900 Average : 0.6060 YTW SCENARIO |
| TRP.PR.C | FixedReset Disc | Quote: 13.15 – 13.70 Spot Rate : 0.5500 Average : 0.3398 YTW SCENARIO |
| NA.PR.S | FixedReset Disc | Quote: 18.35 – 18.79 Spot Rate : 0.4400 Average : 0.2698 YTW SCENARIO |
| MFC.PR.M | FixedReset Ins Non | Quote: 18.82 – 19.40 Spot Rate : 0.5800 Average : 0.4250 YTW SCENARIO |
| PWF.PR.F | Perpetual-Discount | Quote: 23.61 – 24.06 Spot Rate : 0.4500 Average : 0.3130 YTW SCENARIO |
| IFC.PR.A | FixedReset Ins Non | Quote: 15.61 – 16.03 Spot Rate : 0.4200 Average : 0.2845 YTW SCENARIO |