| 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 | -3.5067 % | 2,219.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -3.5067 % | 4,072.9 |
| Floater | 3.90 % | 3.95 % | 50,907 | 17.47 | 3 | -3.5067 % | 2,347.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0879 % | 3,669.6 |
| SplitShare | 4.70 % | 4.27 % | 36,048 | 4.18 | 8 | -0.0879 % | 4,382.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0879 % | 3,419.3 |
| Perpetual-Premium | 5.36 % | 3.06 % | 72,674 | 0.13 | 19 | -0.1299 % | 3,234.7 |
| Perpetual-Discount | 4.97 % | 5.00 % | 96,284 | 15.38 | 13 | 0.2363 % | 3,733.2 |
| FixedReset Disc | 4.58 % | 3.88 % | 183,088 | 17.15 | 56 | -0.6891 % | 2,566.4 |
| Insurance Straight | 5.02 % | 4.78 % | 80,284 | 15.31 | 22 | -0.2139 % | 3,596.1 |
| FloatingReset | 3.14 % | 2.64 % | 32,290 | 20.69 | 2 | -0.1860 % | 2,279.6 |
| FixedReset Prem | 5.13 % | 2.71 % | 231,582 | 0.89 | 20 | -0.0373 % | 2,709.9 |
| FixedReset Bank Non | 1.81 % | 1.92 % | 220,686 | 0.49 | 1 | -0.0400 % | 2,890.8 |
| FixedReset Ins Non | 4.45 % | 3.72 % | 131,701 | 17.75 | 22 | -0.5439 % | 2,762.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.P | FixedReset Disc | -13.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 13.25 Evaluated at bid price : 13.25 Bid-YTW : 4.45 % |
| BAM.PR.B | Floater | -4.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 10.93 Evaluated at bid price : 10.93 Bid-YTW : 3.97 % |
| BAM.PR.C | Floater | -4.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 10.99 Evaluated at bid price : 10.99 Bid-YTW : 3.95 % |
| CU.PR.C | FixedReset Disc | -3.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 4.15 % |
| PWF.PR.T | FixedReset Disc | -2.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 21.27 Evaluated at bid price : 21.55 Bid-YTW : 3.93 % |
| GWO.PR.N | FixedReset Ins Non | -2.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 14.32 Evaluated at bid price : 14.32 Bid-YTW : 3.65 % |
| PWF.PR.S | Perpetual-Discount | -2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 23.56 Evaluated at bid price : 24.00 Bid-YTW : 5.03 % |
| BAM.PR.K | Floater | -2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 11.10 Evaluated at bid price : 11.10 Bid-YTW : 3.91 % |
| BIP.PR.E | FixedReset Disc | -1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 23.24 Evaluated at bid price : 23.56 Bid-YTW : 5.29 % |
| BAM.PR.R | FixedReset Disc | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 17.48 Evaluated at bid price : 17.48 Bid-YTW : 4.59 % |
| MFC.PR.M | FixedReset Ins Non | -1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 22.01 Evaluated at bid price : 22.45 Bid-YTW : 3.67 % |
| CM.PR.Q | FixedReset Disc | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 22.15 Evaluated at bid price : 22.73 Bid-YTW : 3.88 % |
| NA.PR.W | FixedReset Disc | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 3.87 % |
| MFC.PR.Q | FixedReset Ins Non | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 22.91 Evaluated at bid price : 23.64 Bid-YTW : 3.70 % |
| TD.PF.D | FixedReset Disc | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 22.51 Evaluated at bid price : 23.36 Bid-YTW : 3.77 % |
| BAM.PR.T | FixedReset Disc | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.56 % |
| IFC.PR.I | Perpetual-Premium | -1.33 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-03-31 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 4.95 % |
| BAM.PF.A | FixedReset Disc | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 21.95 Evaluated at bid price : 22.21 Bid-YTW : 4.49 % |
| BAM.PR.X | FixedReset Disc | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 4.49 % |
| NA.PR.E | FixedReset Disc | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 22.71 Evaluated at bid price : 23.01 Bid-YTW : 3.88 % |
| BNS.PR.I | FixedReset Disc | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 23.03 Evaluated at bid price : 24.10 Bid-YTW : 3.60 % |
| BIP.PR.F | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 23.09 Evaluated at bid price : 24.20 Bid-YTW : 5.21 % |
| GWO.PR.R | Insurance Straight | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 24.35 Evaluated at bid price : 24.60 Bid-YTW : 4.94 % |
| SLF.PR.I | FixedReset Ins Non | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 23.24 Evaluated at bid price : 23.85 Bid-YTW : 3.72 % |
| MFC.PR.G | FixedReset Ins Non | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 23.89 Evaluated at bid price : 24.44 Bid-YTW : 3.82 % |
| MFC.PR.I | FixedReset Ins Non | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 23.82 Evaluated at bid price : 24.20 Bid-YTW : 3.87 % |
| TRP.PR.F | FloatingReset | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 13.99 Evaluated at bid price : 13.99 Bid-YTW : 3.62 % |
| TD.PF.M | FixedReset Prem | 1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.74 Bid-YTW : 4.31 % |
| SLF.PR.H | FixedReset Ins Non | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 20.91 Evaluated at bid price : 20.91 Bid-YTW : 3.62 % |
| TD.PF.A | FixedReset Disc | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 22.26 Evaluated at bid price : 22.82 Bid-YTW : 3.49 % |
| BAM.PR.Z | FixedReset Disc | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 21.56 Evaluated at bid price : 21.95 Bid-YTW : 4.49 % |
| CU.PR.E | Perpetual-Discount | 2.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 24.50 Evaluated at bid price : 24.81 Bid-YTW : 4.95 % |
| CU.PR.G | Perpetual-Discount | 3.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 23.43 Evaluated at bid price : 23.70 Bid-YTW : 4.75 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| SLF.PR.J | FloatingReset | 184,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 14.31 Evaluated at bid price : 14.31 Bid-YTW : 2.64 % |
| SLF.PR.G | FixedReset Ins Non | 156,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 3.75 % |
| TRP.PR.C | FixedReset Disc | 123,440 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 12.80 Evaluated at bid price : 12.80 Bid-YTW : 4.50 % |
| BAM.PF.H | FixedReset Prem | 70,101 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 4.37 % |
| TRP.PR.E | FixedReset Disc | 52,535 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-02-26 Maturity Price : 18.12 Evaluated at bid price : 18.12 Bid-YTW : 4.63 % |
| BNS.PR.G | FixedReset Prem | 47,069 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 25.42 Bid-YTW : 2.52 % |
| There were 40 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.P | FixedReset Disc | Quote: 13.25 – 15.50 Spot Rate : 2.2500 Average : 1.2907 YTW SCENARIO |
| TRP.PR.A | FixedReset Disc | Quote: 15.57 – 18.00 Spot Rate : 2.4300 Average : 1.8549 YTW SCENARIO |
| CM.PR.Q | FixedReset Disc | Quote: 22.73 – 23.48 Spot Rate : 0.7500 Average : 0.4638 YTW SCENARIO |
| SLF.PR.J | FloatingReset | Quote: 14.31 – 15.00 Spot Rate : 0.6900 Average : 0.4429 YTW SCENARIO |
| SLF.PR.I | FixedReset Ins Non | Quote: 23.85 – 24.48 Spot Rate : 0.6300 Average : 0.3865 YTW SCENARIO |
| BIP.PR.E | FixedReset Disc | Quote: 23.56 – 24.20 Spot Rate : 0.6400 Average : 0.4475 YTW SCENARIO |
Canadian 5y bond yield jumped to almost 1% on Friday but a majority of prefs dropped. I was thinking that an improvement of reset yields was good for preferred shares. Were they simply victim of a broad stock devaluation
Yes, jumped from .72 to 1.02, but it has since dropped off to .88…. That definitely is quite a bit of volatility in a short range of time….. Pref resets have done really well over the last two weeks, so this increase will help keep these bonds moving forward. Yesterday was just a “pause” i hope….