Sorry this is late – I was out for dinner again last night. Social Butterfly, that’s me!
| 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 | 0.5957 % | 2,257.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5957 % | 4,329.5 |
| Floater | 10.29 % | 10.65 % | 58,873 | 8.93 | 1 | 0.5957 % | 2,495.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0413 % | 3,478.0 |
| SplitShare | 4.84 % | 6.46 % | 30,854 | 1.63 | 7 | -0.0413 % | 4,153.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0413 % | 3,240.7 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2387 % | 2,693.7 |
| Perpetual-Discount | 6.39 % | 6.55 % | 54,344 | 13.06 | 28 | 0.2387 % | 2,937.3 |
| FixedReset Disc | 5.23 % | 7.37 % | 117,207 | 12.19 | 49 | 1.5215 % | 2,554.4 |
| Insurance Straight | 6.34 % | 6.43 % | 59,213 | 13.32 | 20 | 0.0789 % | 2,862.9 |
| FloatingReset | 9.27 % | 9.27 % | 34,237 | 10.09 | 3 | -0.1043 % | 2,738.7 |
| FixedReset Prem | 6.37 % | 6.77 % | 216,369 | 12.26 | 7 | 0.3015 % | 2,525.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.5215 % | 2,611.1 |
| FixedReset Ins Non | 5.33 % | 7.22 % | 104,046 | 12.72 | 14 | 0.1160 % | 2,666.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.Q | Insurance Straight | -5.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 6.84 % |
| BIP.PR.F | FixedReset Disc | -3.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 8.27 % |
| BN.PR.M | Perpetual-Discount | -2.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 17.42 Evaluated at bid price : 17.42 Bid-YTW : 6.98 % |
| SLF.PR.G | FixedReset Ins Non | -1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 16.20 Evaluated at bid price : 16.20 Bid-YTW : 7.32 % |
| NA.PR.W | FixedReset Disc | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 20.22 Evaluated at bid price : 20.22 Bid-YTW : 7.14 % |
| IFC.PR.A | FixedReset Ins Non | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 18.32 Evaluated at bid price : 18.32 Bid-YTW : 7.22 % |
| MFC.PR.F | FixedReset Ins Non | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 15.64 Evaluated at bid price : 15.64 Bid-YTW : 7.36 % |
| MFC.PR.M | FixedReset Ins Non | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 7.27 % |
| BN.PF.F | FixedReset Disc | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 8.20 % |
| BN.PF.E | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 17.68 Evaluated at bid price : 17.68 Bid-YTW : 8.57 % |
| PWF.PR.R | Perpetual-Discount | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 6.53 % |
| TD.PF.I | FixedReset Prem | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 23.28 Evaluated at bid price : 24.88 Bid-YTW : 6.58 % |
| TD.PF.A | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 22.47 Evaluated at bid price : 23.40 Bid-YTW : 6.17 % |
| TD.PF.C | FixedReset Disc | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 22.01 Evaluated at bid price : 22.59 Bid-YTW : 6.39 % |
| CU.PR.J | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 6.36 % |
| SLF.PR.E | Insurance Straight | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 6.02 % |
| TD.PF.E | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 21.93 Evaluated at bid price : 22.50 Bid-YTW : 6.84 % |
| SLF.PR.C | Insurance Straight | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 18.59 Evaluated at bid price : 18.59 Bid-YTW : 6.01 % |
| IFC.PR.F | Insurance Straight | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.45 % |
| CU.PR.E | Perpetual-Discount | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 19.13 Evaluated at bid price : 19.13 Bid-YTW : 6.47 % |
| BMO.PR.T | FixedReset Disc | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 23.34 Evaluated at bid price : 24.36 Bid-YTW : 5.92 % |
| FFH.PR.M | FixedReset Disc | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 23.52 Evaluated at bid price : 24.12 Bid-YTW : 7.78 % |
| PWF.PR.P | FixedReset Disc | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 14.89 Evaluated at bid price : 14.89 Bid-YTW : 8.07 % |
| BMO.PR.W | FixedReset Disc | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 22.78 Evaluated at bid price : 23.55 Bid-YTW : 6.09 % |
| CM.PR.Q | FixedReset Disc | 1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 22.43 Evaluated at bid price : 22.90 Bid-YTW : 6.70 % |
| NA.PR.S | FixedReset Disc | 1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 22.52 Evaluated at bid price : 23.44 Bid-YTW : 6.48 % |
| TD.PF.J | FixedReset Disc | 2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 22.87 Evaluated at bid price : 24.00 Bid-YTW : 6.43 % |
| RY.PR.M | FixedReset Disc | 2.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 21.82 Evaluated at bid price : 22.33 Bid-YTW : 6.59 % |
| BN.PR.X | FixedReset Disc | 2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 8.25 % |
| RY.PR.J | FixedReset Disc | 2.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 22.88 Evaluated at bid price : 23.45 Bid-YTW : 6.52 % |
| RY.PR.H | FixedReset Disc | 2.67 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-08-24 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 5.47 % |
| CU.PR.C | FixedReset Disc | 2.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 7.49 % |
| MFC.PR.Q | FixedReset Ins Non | 2.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 22.13 Evaluated at bid price : 22.65 Bid-YTW : 6.71 % |
| TD.PF.D | FixedReset Disc | 3.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 22.39 Evaluated at bid price : 22.85 Bid-YTW : 6.72 % |
| RY.PR.S | FixedReset Disc | 4.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 22.90 Evaluated at bid price : 24.25 Bid-YTW : 6.11 % |
| FFH.PR.K | FixedReset Disc | 5.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 8.22 % |
| CM.PR.P | FixedReset Disc | 5.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 22.19 Evaluated at bid price : 22.90 Bid-YTW : 6.29 % |
| PWF.PR.T | FixedReset Disc | 31.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 21.65 Evaluated at bid price : 21.99 Bid-YTW : 6.72 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.H | FixedReset Disc | 283,516 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-08-24 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 5.47 % |
| NA.PR.W | FixedReset Disc | 103,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 20.22 Evaluated at bid price : 20.22 Bid-YTW : 7.14 % |
| RY.PR.M | FixedReset Disc | 77,804 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 21.82 Evaluated at bid price : 22.33 Bid-YTW : 6.59 % |
| NA.PR.S | FixedReset Disc | 73,327 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 22.52 Evaluated at bid price : 23.44 Bid-YTW : 6.48 % |
| TD.PF.D | FixedReset Disc | 72,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 22.39 Evaluated at bid price : 22.85 Bid-YTW : 6.72 % |
| TD.PF.C | FixedReset Disc | 71,949 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-06-10 Maturity Price : 22.01 Evaluated at bid price : 22.59 Bid-YTW : 6.39 % |
| There were 13 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IFC.PR.C | FixedReset Ins Non | Quote: 20.05 – 22.00 Spot Rate : 1.9500 Average : 1.1938 YTW SCENARIO |
| GWO.PR.Q | Insurance Straight | Quote: 18.90 – 20.14 Spot Rate : 1.2400 Average : 0.7213 YTW SCENARIO |
| BN.PF.F | FixedReset Disc | Quote: 19.80 – 21.00 Spot Rate : 1.2000 Average : 0.7108 YTW SCENARIO |
| RY.PR.J | FixedReset Disc | Quote: 23.45 – 24.49 Spot Rate : 1.0400 Average : 0.6216 YTW SCENARIO |
| IFC.PR.I | Insurance Straight | Quote: 21.25 – 23.49 Spot Rate : 2.2400 Average : 1.9823 YTW SCENARIO |
| MFC.PR.F | FixedReset Ins Non | Quote: 15.64 – 16.86 Spot Rate : 1.2200 Average : 0.9968 YTW SCENARIO |
RBC announced a RY.PR.H redemption yesterday morning… halted the pref slide for now.
https://www.rbc.com/newsroom/news/article.html?article=125915
Also NBF is apparently buying CWB.
https://financialpost.com/globe-newswire/national-bank-to-accelerate-domestic-growth-with-the-acquisition-of-canadian-western-bank
[…] Thanks to Assiduous Reader IrateAR for bringing this to my attention! […]