That’s it for another month! It turned out pretty well, with TXPR up 1.36% … with roughly half that coming in the last two days!
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 | -0.5614 % | 2,397.6 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5614 % | 4,399.4 |
Floater | 3.95 % | 3.96 % | 94,574 | 17.50 | 3 | -0.5614 % | 2,535.4 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0661 % | 3,066.7 |
SplitShare | 4.76 % | 4.71 % | 87,444 | 4.42 | 6 | 0.0661 % | 3,662.3 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0661 % | 2,857.5 |
Perpetual-Premium | 5.42 % | 4.84 % | 57,851 | 5.78 | 16 | 0.1483 % | 2,785.3 |
Perpetual-Discount | 5.35 % | 5.41 % | 72,851 | 14.70 | 19 | 0.4020 % | 2,907.4 |
FixedReset | 4.33 % | 4.52 % | 154,789 | 6.13 | 99 | 0.5185 % | 2,427.6 |
Deemed-Retractible | 5.13 % | 5.68 % | 101,429 | 6.04 | 30 | 0.3361 % | 2,870.5 |
FloatingReset | 2.83 % | 2.90 % | 51,774 | 4.07 | 8 | 0.3003 % | 2,659.5 |
Performance Highlights | |||
Issue | Index | Change | Notes |
BAM.PF.H | FixedReset | 1.00 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.24 Bid-YTW : 3.39 % |
BAM.PF.B | FixedReset | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-29 Maturity Price : 22.75 Evaluated at bid price : 23.17 Bid-YTW : 4.75 % |
BAM.PF.A | FixedReset | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-29 Maturity Price : 23.63 Evaluated at bid price : 24.16 Bid-YTW : 4.84 % |
RY.PR.M | FixedReset | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-29 Maturity Price : 22.83 Evaluated at bid price : 23.75 Bid-YTW : 4.49 % |
PWF.PR.K | Perpetual-Discount | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-29 Maturity Price : 22.82 Evaluated at bid price : 23.10 Bid-YTW : 5.44 % |
SLF.PR.H | FixedReset | 1.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.85 Bid-YTW : 6.19 % |
POW.PR.D | Perpetual-Discount | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-29 Maturity Price : 23.20 Evaluated at bid price : 23.50 Bid-YTW : 5.32 % |
HSE.PR.C | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-29 Maturity Price : 23.20 Evaluated at bid price : 24.20 Bid-YTW : 4.99 % |
BMO.PR.T | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-29 Maturity Price : 21.82 Evaluated at bid price : 22.33 Bid-YTW : 4.51 % |
BAM.PR.T | FixedReset | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-29 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 4.82 % |
CM.PR.Q | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-29 Maturity Price : 22.99 Evaluated at bid price : 23.99 Bid-YTW : 4.55 % |
MFC.PR.C | Deemed-Retractible | 1.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.65 Bid-YTW : 6.92 % |
TD.PF.D | FixedReset | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-29 Maturity Price : 23.18 Evaluated at bid price : 24.40 Bid-YTW : 4.52 % |
GWO.PR.H | Deemed-Retractible | 1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.88 Bid-YTW : 6.35 % |
TD.PF.B | FixedReset | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-29 Maturity Price : 22.17 Evaluated at bid price : 22.48 Bid-YTW : 4.53 % |
BAM.PR.X | FixedReset | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-29 Maturity Price : 17.57 Evaluated at bid price : 17.57 Bid-YTW : 4.82 % |
BAM.PR.R | FixedReset | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-29 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 4.82 % |
MFC.PR.B | Deemed-Retractible | 1.73 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.38 Bid-YTW : 6.53 % |
BNS.PR.Z | FixedReset | 1.86 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.98 Bid-YTW : 4.46 % |
TRP.PR.D | FixedReset | 1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-29 Maturity Price : 21.65 Evaluated at bid price : 22.08 Bid-YTW : 4.68 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
BNS.PR.Z | FixedReset | 210,100 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.98 Bid-YTW : 4.46 % |
TRP.PR.K | FixedReset | 124,187 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.95 Bid-YTW : 4.12 % |
CM.PR.R | FixedReset | 120,488 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.13 Bid-YTW : 4.22 % |
RY.PR.Q | FixedReset | 119,250 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 26.78 Bid-YTW : 3.58 % |
BMO.PR.B | FixedReset | 111,500 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.26 Bid-YTW : 3.73 % |
BMO.PR.R | FloatingReset | 109,765 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.52 Bid-YTW : 3.06 % |
There were 37 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
HSE.PR.C | FixedReset | Quote: 24.20 – 25.00 Spot Rate : 0.8000 Average : 0.5034 YTW SCENARIO |
TD.PF.B | FixedReset | Quote: 22.48 – 23.00 Spot Rate : 0.5200 Average : 0.3323 YTW SCENARIO |
SLF.PR.A | Deemed-Retractible | Quote: 22.40 – 22.80 Spot Rate : 0.4000 Average : 0.2724 YTW SCENARIO |
BIP.PR.C | FixedReset | Quote: 25.76 – 26.10 Spot Rate : 0.3400 Average : 0.2226 YTW SCENARIO |
GWO.PR.N | FixedReset | Quote: 17.12 – 17.55 Spot Rate : 0.4300 Average : 0.3321 YTW SCENARIO |
CM.PR.P | FixedReset | Quote: 22.00 – 22.25 Spot Rate : 0.2500 Average : 0.1603 YTW SCENARIO |