Assiduous Reader AB points out that there have been more bank-issued preferred share derivative notes since the last update April 25:
- BMO JHN12352, based on ZPR
- BMO JHN12362, based on ZPR
- BMO JHN12363, based on ZPR
- BMO JHN12370, based on ZPR, link currently broken
- TD ZPR ETF-Linked Autocallable Coupon Notes (USD) , Series 351, denominated in USD!
| 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 | -0.8750 % | 2,053.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.8750 % | 3,768.4 |
| Floater | 5.72 % | 6.08 % | 49,477 | 13.73 | 3 | -0.8750 % | 2,171.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1469 % | 3,292.9 |
| SplitShare | 4.68 % | 4.79 % | 79,827 | 4.27 | 7 | -0.1469 % | 3,932.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1469 % | 3,068.3 |
| Perpetual-Premium | 5.52 % | 3.95 % | 93,645 | 0.09 | 12 | 0.0956 % | 2,953.7 |
| Perpetual-Discount | 5.43 % | 5.45 % | 76,502 | 14.74 | 20 | -0.0792 % | 3,108.8 |
| FixedReset Disc | 5.27 % | 5.40 % | 164,379 | 14.92 | 63 | -0.0187 % | 2,179.5 |
| Deemed-Retractible | 5.22 % | 5.81 % | 96,397 | 8.07 | 27 | 0.0805 % | 3,082.4 |
| FloatingReset | 3.95 % | 4.33 % | 52,782 | 2.62 | 4 | 0.0641 % | 2,408.0 |
| FixedReset Prem | 5.12 % | 3.83 % | 268,275 | 2.13 | 21 | 0.0520 % | 2,582.5 |
| FixedReset Bank Non | 1.97 % | 3.96 % | 156,588 | 2.64 | 3 | 0.2644 % | 2,652.0 |
| FixedReset Ins Non | 5.04 % | 6.84 % | 98,797 | 8.19 | 22 | -0.0368 % | 2,234.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.K | Floater | -1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-09 Maturity Price : 11.35 Evaluated at bid price : 11.35 Bid-YTW : 6.18 % |
| CU.PR.C | FixedReset Disc | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-09 Maturity Price : 17.59 Evaluated at bid price : 17.59 Bid-YTW : 5.54 % |
| CCS.PR.C | Deemed-Retractible | -1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.24 Bid-YTW : 6.00 % |
| NA.PR.S | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-09 Maturity Price : 18.47 Evaluated at bid price : 18.47 Bid-YTW : 5.43 % |
| BAM.PF.D | Perpetual-Discount | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-09 Maturity Price : 21.48 Evaluated at bid price : 21.48 Bid-YTW : 5.79 % |
| MFC.PR.Q | FixedReset Ins Non | 1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.63 Bid-YTW : 6.84 % |
| EMA.PR.F | FixedReset Disc | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-09 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 5.64 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| SLF.PR.D | Deemed-Retractible | 103,120 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.98 Bid-YTW : 6.67 % |
| TRP.PR.J | FixedReset Prem | 84,720 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.11 Bid-YTW : 3.79 % |
| TRP.PR.D | FixedReset Disc | 76,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-09 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.86 % |
| BMO.PR.W | FixedReset Disc | 68,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-05-09 Maturity Price : 17.91 Evaluated at bid price : 17.91 Bid-YTW : 5.34 % |
| PWF.PR.R | Perpetual-Premium | 48,575 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.43 Bid-YTW : 4.67 % |
| SLF.PR.I | FixedReset Ins Non | 44,127 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.32 Bid-YTW : 6.73 % |
| There were 19 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.J | FixedReset Disc | Quote: 23.17 – 23.65 Spot Rate : 0.4800 Average : 0.3493 YTW SCENARIO |
| BIP.PR.A | FixedReset Disc | Quote: 20.30 – 20.74 Spot Rate : 0.4400 Average : 0.3241 YTW SCENARIO |
| EIT.PR.B | SplitShare | Quote: 25.00 – 25.28 Spot Rate : 0.2800 Average : 0.1688 YTW SCENARIO |
| CU.PR.H | Perpetual-Discount | Quote: 24.42 – 24.85 Spot Rate : 0.4300 Average : 0.3248 YTW SCENARIO |
| IAF.PR.B | Deemed-Retractible | Quote: 21.90 – 22.23 Spot Rate : 0.3300 Average : 0.2451 YTW SCENARIO |
| BAM.PR.K | Floater | Quote: 11.35 – 11.70 Spot Rate : 0.3500 Average : 0.2685 YTW SCENARIO |