The Canada Five-Year yield dropped below 2% today (1.97%, to be precise), the first time it’s been there in a while. But the preferred share market had a good day anyway. So go figure …
| 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 | -0.7750 % | 2,986.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.7750 % | 5,479.8 |
| Floater | 3.37 % | 3.58 % | 74,444 | 18.33 | 4 | -0.7750 % | 3,158.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0398 % | 3,173.6 |
| SplitShare | 4.63 % | 4.64 % | 69,107 | 4.98 | 5 | 0.0398 % | 3,790.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0398 % | 2,957.1 |
| Perpetual-Premium | 5.63 % | -11.52 % | 63,242 | 0.09 | 9 | 0.2141 % | 2,888.8 |
| Perpetual-Discount | 5.37 % | 5.53 % | 63,185 | 14.58 | 26 | 0.2415 % | 2,970.8 |
| FixedReset | 4.32 % | 4.65 % | 151,479 | 5.67 | 106 | 0.0812 % | 2,538.8 |
| Deemed-Retractible | 5.18 % | 5.74 % | 70,347 | 5.54 | 27 | 0.1904 % | 2,949.7 |
| FloatingReset | 3.05 % | 3.72 % | 32,617 | 3.43 | 9 | 0.0200 % | 2,798.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.C | Floater | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-06-22 Maturity Price : 16.80 Evaluated at bid price : 16.80 Bid-YTW : 3.59 % |
| BAM.PR.K | Floater | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-06-22 Maturity Price : 16.82 Evaluated at bid price : 16.82 Bid-YTW : 3.59 % |
| BAM.PR.B | Floater | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-06-22 Maturity Price : 16.83 Evaluated at bid price : 16.83 Bid-YTW : 3.58 % |
| BAM.PF.F | FixedReset | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-06-22 Maturity Price : 24.08 Evaluated at bid price : 24.48 Bid-YTW : 5.00 % |
| IFC.PR.F | Deemed-Retractible | 1.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 5.46 % |
| GWO.PR.N | FixedReset | 1.59 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.20 Bid-YTW : 7.33 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.O | FixedReset | 85,280 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.26 Bid-YTW : 3.85 % |
| RY.PR.W | Perpetual-Discount | 80,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-06-22 Maturity Price : 24.31 Evaluated at bid price : 24.62 Bid-YTW : 5.01 % |
| BAM.PF.A | FixedReset | 75,853 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-06-22 Maturity Price : 23.48 Evaluated at bid price : 24.40 Bid-YTW : 5.05 % |
| NA.PR.G | FixedReset | 73,110 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-06-22 Maturity Price : 23.13 Evaluated at bid price : 24.99 Bid-YTW : 4.79 % |
| BAM.PF.D | Perpetual-Discount | 68,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-06-22 Maturity Price : 21.54 Evaluated at bid price : 21.82 Bid-YTW : 5.63 % |
| BAM.PF.B | FixedReset | 56,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-06-22 Maturity Price : 22.78 Evaluated at bid price : 23.40 Bid-YTW : 4.97 % |
| There were 24 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.G | FixedReset | Quote: 23.95 – 24.57 Spot Rate : 0.6200 Average : 0.4058 YTW SCENARIO |
| SLF.PR.D | Deemed-Retractible | Quote: 20.92 – 21.40 Spot Rate : 0.4800 Average : 0.2958 YTW SCENARIO |
| BAM.PF.E | FixedReset | Quote: 23.05 – 23.53 Spot Rate : 0.4800 Average : 0.3614 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 21.15 – 21.51 Spot Rate : 0.3600 Average : 0.2432 YTW SCENARIO |
| IFC.PR.F | Deemed-Retractible | Quote: 24.80 – 25.24 Spot Rate : 0.4400 Average : 0.3260 YTW SCENARIO |
| BAM.PR.X | FixedReset | Quote: 18.36 – 18.88 Spot Rate : 0.5200 Average : 0.4117 YTW SCENARIO |