Another good day for preferreds, with PerpetualDiscounts gaining 17bp and FixedResets picking up 24bp. Volume remained subdued.
| 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 | -0.9566 % | 1,469.1 |
| FixedFloater | 6.70 % | 4.73 % | 46,608 | 17.87 | 1 | 0.0617 % | 2,325.2 |
| Floater | 2.65 % | 3.15 % | 94,539 | 19.34 | 3 | -0.9566 % | 1,835.3 |
| OpRet | 4.81 % | -10.68 % | 118,237 | 0.09 | 14 | -0.0410 % | 2,301.2 |
| SplitShare | 6.33 % | 6.40 % | 411,654 | 3.91 | 2 | 0.1530 % | 2,089.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0410 % | 2,104.2 |
| Perpetual-Premium | 5.89 % | 5.75 % | 72,650 | 1.17 | 4 | -0.1387 % | 1,859.6 |
| Perpetual-Discount | 5.92 % | 5.96 % | 190,998 | 13.93 | 70 | 0.1722 % | 1,750.8 |
| FixedReset | 5.51 % | 4.09 % | 403,947 | 3.98 | 41 | 0.2437 % | 2,119.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.K | Floater | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-06 Maturity Price : 12.57 Evaluated at bid price : 12.57 Bid-YTW : 3.15 % |
| BAM.PR.B | Floater | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-06 Maturity Price : 12.60 Evaluated at bid price : 12.60 Bid-YTW : 3.15 % |
| BMO.PR.J | Perpetual-Discount | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-06 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 5.67 % |
| GWO.PR.F | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-06 Maturity Price : 24.45 Evaluated at bid price : 24.75 Bid-YTW : 6.03 % |
| BNS.PR.N | Perpetual-Discount | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-06 Maturity Price : 22.85 Evaluated at bid price : 23.00 Bid-YTW : 5.75 % |
| RY.PR.W | Perpetual-Discount | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-06 Maturity Price : 21.62 Evaluated at bid price : 21.62 Bid-YTW : 5.69 % |
| GWO.PR.L | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-06 Maturity Price : 23.45 Evaluated at bid price : 23.61 Bid-YTW : 6.06 % |
| CIU.PR.A | Perpetual-Discount | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-06 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 5.84 % |
| ELF.PR.F | Perpetual-Discount | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-06 Maturity Price : 19.58 Evaluated at bid price : 19.58 Bid-YTW : 6.85 % |
| PWF.PR.M | FixedReset | 2.27 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-02 Maturity Price : 25.00 Evaluated at bid price : 27.00 Bid-YTW : 4.00 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.J | Perpetual-Discount | 154,900 | RBC crossed 143,900 at 20.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-06 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 5.67 % |
| CM.PR.I | Perpetual-Discount | 71,785 | TD crossed 55,000 at 19.79. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-06 Maturity Price : 19.84 Evaluated at bid price : 19.84 Bid-YTW : 5.97 % |
| BMO.PR.N | FixedReset | 68,215 | Desjardins bought 22,100 from RBC at 27.41 and two blocks of 13,800 and 14,500 from National, both at 27.45. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-27 Maturity Price : 25.00 Evaluated at bid price : 27.46 Bid-YTW : 3.97 % |
| SLF.PR.D | Perpetual-Discount | 53,785 | Nesbitt crossed two blocks at 18.55: 28,700 and 20,450 shares. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-11-06 Maturity Price : 18.68 Evaluated at bid price : 18.68 Bid-YTW : 6.04 % |
| TRP.PR.A | FixedReset | 50,980 | Nesbitt bought 19,400 from Macquarie at 25.40. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.43 Bid-YTW : 4.35 % |
| NA.PR.M | Perpetual-Premium | 43,003 | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 6.02 % |
| There were 33 other index-included issues trading in excess of 10,000 shares. | |||