The preferred share market just kept on keeping on today, with PerpetualDiscounts gaining 42bp to close with a yield of 5.65%. The last time yields on this index were this low was May 28, 2008. FixedResets are in something of a holding pattern, seeming reluctant to reduce yields below 4%.
| 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 | -0.3199 % | 1,443.3 |
| FixedFloater | 6.04 % | 4.31 % | 59,850 | 18.19 | 1 | 1.9819 % | 2,543.3 |
| Floater | 3.16 % | 3.18 % | 145,188 | 19.24 | 2 | -0.3199 % | 1,803.2 |
| OpRet | 4.85 % | -12.56 % | 143,559 | 0.09 | 15 | 0.0993 % | 2,280.9 |
| SplitShare | 5.68 % | 2.49 % | 102,459 | 0.08 | 3 | 0.2102 % | 2,043.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0993 % | 2,085.7 |
| Perpetual-Premium | 5.72 % | 5.35 % | 74,025 | 2.42 | 4 | 0.2283 % | 1,880.0 |
| Perpetual-Discount | 5.63 % | 5.65 % | 188,257 | 14.37 | 67 | 0.4208 % | 1,824.0 |
| FixedReset | 5.49 % | 4.02 % | 497,669 | 4.14 | 40 | -0.0562 % | 2,105.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.G | Perpetual-Discount | -2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 23.09 Evaluated at bid price : 23.30 Bid-YTW : 5.66 % |
| IAG.PR.C | FixedReset | -1.79 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 26.91 Bid-YTW : 4.53 % |
| GWO.PR.I | Perpetual-Discount | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 20.21 Evaluated at bid price : 20.21 Bid-YTW : 5.66 % |
| MFC.PR.B | Perpetual-Discount | -1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 20.67 Evaluated at bid price : 20.67 Bid-YTW : 5.63 % |
| W.PR.J | Perpetual-Discount | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 23.92 Evaluated at bid price : 24.16 Bid-YTW : 5.86 % |
| RY.PR.E | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 21.06 Evaluated at bid price : 21.06 Bid-YTW : 5.37 % |
| BAM.PR.O | OpRet | 1.11 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 4.77 % |
| RY.PR.G | Perpetual-Discount | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 5.37 % |
| CM.PR.J | Perpetual-Discount | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.55 % |
| NA.PR.L | Perpetual-Discount | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 21.60 Evaluated at bid price : 21.60 Bid-YTW : 5.66 % |
| HSB.PR.C | Perpetual-Discount | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 23.87 Evaluated at bid price : 24.11 Bid-YTW : 5.36 % |
| TD.PR.O | Perpetual-Discount | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 22.91 Evaluated at bid price : 23.10 Bid-YTW : 5.29 % |
| RY.PR.W | Perpetual-Discount | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 23.02 Evaluated at bid price : 23.23 Bid-YTW : 5.29 % |
| BAM.PR.G | FixedFloater | 1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 25.00 Evaluated at bid price : 18.01 Bid-YTW : 4.31 % |
| BAM.PR.N | Perpetual-Discount | 1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 19.03 Evaluated at bid price : 19.03 Bid-YTW : 6.35 % |
| CM.PR.H | Perpetual-Discount | 2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 21.63 Evaluated at bid price : 21.97 Bid-YTW : 5.50 % |
| BMO.PR.K | Perpetual-Discount | 2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 23.80 Evaluated at bid price : 24.00 Bid-YTW : 5.49 % |
| HSB.PR.D | Perpetual-Discount | 2.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 23.30 Evaluated at bid price : 23.50 Bid-YTW : 5.39 % |
| ELF.PR.G | Perpetual-Discount | 2.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 6.52 % |
| ELF.PR.F | Perpetual-Discount | 3.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 20.26 Evaluated at bid price : 20.26 Bid-YTW : 6.64 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.O | FixedReset | 66,180 | National crossed 11,600 at 27.90. Nesbitt crossed 35,000 at 27.85. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-24 Maturity Price : 25.00 Evaluated at bid price : 27.82 Bid-YTW : 3.96 % |
| BNS.PR.M | Perpetual-Discount | 53,690 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 5.42 % |
| BAM.PR.N | Perpetual-Discount | 50,905 | RBC crossed 18,400 at 18.80, then another 16,200 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 19.03 Evaluated at bid price : 19.03 Bid-YTW : 6.35 % |
| BAM.PR.B | Floater | 50,622 | TD bought 20,000 from National at 12.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-20 Maturity Price : 12.50 Evaluated at bid price : 12.50 Bid-YTW : 3.18 % |
| RY.PR.X | FixedReset | 44,820 | Nesbitt crossed 30,000 at 27.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 27.60 Bid-YTW : 4.02 % |
| NA.PR.O | FixedReset | 38,460 | National crossed 21,600 at 27.90. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-17 Maturity Price : 25.00 Evaluated at bid price : 27.75 Bid-YTW : 4.02 % |
| There were 43 other index-included issues trading in excess of 10,000 shares. | |||