A good solid day for preferred shares with both PerpetualDiscounts and FixedResets gaining 10bp on moderate volume.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| 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 | 0.5059 % | 1,507.7 |
| FixedFloater | 6.08 % | 4.19 % | 42,183 | 18.56 | 1 | -0.4449 % | 2,564.4 |
| Floater | 2.59 % | 3.02 % | 89,956 | 19.62 | 3 | 0.5059 % | 1,883.6 |
| OpRet | 4.81 % | -5.94 % | 121,126 | 0.09 | 14 | 0.0273 % | 2,306.4 |
| SplitShare | 6.35 % | -3.04 % | 325,499 | 0.08 | 2 | 0.0000 % | 2,115.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0273 % | 2,109.0 |
| Perpetual-Premium | 5.88 % | 5.54 % | 124,458 | 2.40 | 4 | 0.0000 % | 1,870.9 |
| Perpetual-Discount | 5.83 % | 5.88 % | 184,808 | 14.04 | 70 | 0.1039 % | 1,780.9 |
| FixedReset | 5.45 % | 3.91 % | 392,325 | 3.94 | 41 | 0.1035 % | 2,142.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.C | Perpetual-Discount | -1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-24 Maturity Price : 18.95 Evaluated at bid price : 18.95 Bid-YTW : 5.87 % |
| MFC.PR.B | Perpetual-Discount | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-24 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 6.00 % |
| PWF.PR.G | Perpetual-Discount | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-24 Maturity Price : 24.64 Evaluated at bid price : 24.85 Bid-YTW : 6.00 % |
| RY.PR.Y | FixedReset | -1.19 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-24 Maturity Price : 25.00 Evaluated at bid price : 27.42 Bid-YTW : 4.03 % |
| SLF.PR.F | FixedReset | -1.10 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-30 Maturity Price : 25.00 Evaluated at bid price : 26.95 Bid-YTW : 4.05 % |
| HSB.PR.C | Perpetual-Discount | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-24 Maturity Price : 22.35 Evaluated at bid price : 22.51 Bid-YTW : 5.76 % |
| ELF.PR.F | Perpetual-Discount | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-24 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.72 % |
| CM.PR.P | Perpetual-Discount | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-24 Maturity Price : 22.59 Evaluated at bid price : 23.26 Bid-YTW : 5.95 % |
| PWF.PR.F | Perpetual-Discount | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-24 Maturity Price : 22.14 Evaluated at bid price : 22.54 Bid-YTW : 5.87 % |
| PWF.PR.K | Perpetual-Discount | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-24 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 5.92 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.L | FixedReset | 217,805 | Nesbitt crossed 150,000 at 27.72; RBC crossed 50,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.72 Bid-YTW : 4.00 % |
| HSB.PR.E | FixedReset | 56,703 | Nesbitt crossed 50,000 at 28.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-30 Maturity Price : 25.00 Evaluated at bid price : 28.05 Bid-YTW : 4.02 % |
| RY.PR.X | FixedReset | 56,061 | Desjardins crossed blocks of 11,700 and 15,000 shares, both at 27.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 27.55 Bid-YTW : 3.97 % |
| ELF.PR.G | Perpetual-Discount | 45,253 | Scotia crossed 30,000 at 17.70. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-24 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 6.82 % |
| TD.PR.O | Perpetual-Discount | 39,457 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-24 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.70 % |
| BMO.PR.J | Perpetual-Discount | 36,759 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-24 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 5.58 % |
| There were 34 other index-included issues trading in excess of 10,000 shares. | |||