HIMIPref™ Index Rebalancing: October 2010

HIMI Index Changes, October 29, 2010
Issue From To Because
IGM.PR.B PerpetualPremium PerpetualDiscount Price
PWF.PR.H PerpetualPremium PerpetualDiscount Price
FTS.PR.H Scraps FixedReset Credit
FTS.PR.G Scraps FixedReset Credit
FTS.PR.F Scraps PerpetualDiscount Credit
FTS.PR.E Scraps OpRet Credit
CM.PR.R Scraps OpRet Volume
TRI.PR.B Scraps Floater Volume
BAM.PR.G Scraps FixFloat Volume
TCA.PR.X PerpetualDiscount PerpetualPremium Price
TCA.PR.Y PerpetualDiscount PerpetualPremium Price
IAG.PR.F PerpetualDiscount PerpetualPremium Price
CM.PR.P PerpetualDiscount PerpetualPremium Price
CM.PR.E PerpetualDiscount PerpetualPremium Price
GWO.PR.M PerpetualDiscount PerpetualPremium Price
TD.PR.P PerpetualDiscount PerpetualPremium Price

It’s very nice to see that there is now an issue in the FixFloat index! It became empty as of the June, 2010, rebalancing.

There were the following intra-month changes:

HIMI Index Changes during October 2010
Issue Action Index Because
FFH.PR.I Add Scraps New Issue
BPO.PR.P Add Scraps New Issue
BAM.PR.T Add FixedReset New Issue

2 Responses to “HIMIPref™ Index Rebalancing: October 2010”

  1. lafontaine says:

    RĂ©: IGM.PR.B PerpetualPremium to PerpetualDiscount Price…

    Not sure I understand ? And considering that PPremium medium yeld is 5,66% and PDiscount is 5,38% does it become a better value ( so to speak ?).


  2. jiHymas says:

    IGM.PR.B closed with a bid of 24.99 on October 29, and hence no longer qualified as a PerpetualPremium; it was therefore moved to PerpetualDiscount.

    Since it is a near-par issue, one would expect it to trade with a higher yield than other PerpetualDiscounts as compensation for the embedded option value.

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