I could have sworn I posted this last night … but the day after PrefLetter goes out is always a little incoherent!
| 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 | 1.1180 % | 2,338.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.1180 % | 4,290.8 |
| Floater | 3.74 % | 3.74 % | 59,671 | 18.00 | 3 | 1.1180 % | 2,472.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3169 % | 3,683.2 |
| SplitShare | 4.76 % | 3.98 % | 40,031 | 3.63 | 9 | 0.3169 % | 4,398.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3169 % | 3,431.9 |
| Perpetual-Premium | 5.31 % | 0.28 % | 75,786 | 0.09 | 21 | 0.1982 % | 3,244.9 |
| Perpetual-Discount | 4.96 % | 4.99 % | 79,662 | 15.49 | 13 | 0.0414 % | 3,737.1 |
| FixedReset Disc | 4.38 % | 3.92 % | 185,594 | 17.11 | 52 | 0.0549 % | 2,649.8 |
| Insurance Straight | 5.01 % | 4.62 % | 84,769 | 15.47 | 22 | 0.0621 % | 3,631.2 |
| FloatingReset | 2.95 % | 3.23 % | 43,050 | 19.16 | 2 | 0.4679 % | 2,421.3 |
| FixedReset Prem | 5.08 % | 3.87 % | 227,465 | 1.02 | 26 | -0.0753 % | 2,722.5 |
| FixedReset Bank Non | 1.80 % | 2.04 % | 218,951 | 0.44 | 1 | 0.0400 % | 2,892.0 |
| FixedReset Ins Non | 4.39 % | 3.82 % | 146,082 | 17.48 | 22 | 0.4100 % | 2,803.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.Z | FixedReset Disc | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 22.18 Evaluated at bid price : 22.50 Bid-YTW : 4.48 % |
| TRP.PR.A | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 16.99 Evaluated at bid price : 16.99 Bid-YTW : 4.50 % |
| BAM.PF.G | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 4.61 % |
| TRP.PR.B | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 12.34 Evaluated at bid price : 12.34 Bid-YTW : 4.40 % |
| BAM.PR.B | Floater | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 11.52 Evaluated at bid price : 11.52 Bid-YTW : 3.72 % |
| MFC.PR.J | FixedReset Ins Non | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 23.45 Evaluated at bid price : 23.78 Bid-YTW : 3.92 % |
| MFC.PR.F | FixedReset Ins Non | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 16.77 Evaluated at bid price : 16.77 Bid-YTW : 3.63 % |
| CIU.PR.A | Perpetual-Discount | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 23.66 Evaluated at bid price : 23.93 Bid-YTW : 4.83 % |
| BIP.PR.A | FixedReset Disc | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 21.89 Evaluated at bid price : 22.32 Bid-YTW : 4.96 % |
| IFC.PR.C | FixedReset Ins Non | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 22.39 Evaluated at bid price : 23.25 Bid-YTW : 3.89 % |
| BIP.PR.E | FixedReset Disc | 1.63 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 4.91 % |
| IFC.PR.A | FixedReset Ins Non | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 3.81 % |
| RS.PR.A | SplitShare | 1.74 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-12-31 Maturity Price : 10.00 Evaluated at bid price : 10.50 Bid-YTW : 4.36 % |
| IFC.PR.G | FixedReset Ins Non | 1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 22.66 Evaluated at bid price : 23.20 Bid-YTW : 3.98 % |
| BAM.PR.K | Floater | 1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 11.40 Evaluated at bid price : 11.40 Bid-YTW : 3.76 % |
| RY.PR.J | FixedReset Disc | 2.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 23.01 Evaluated at bid price : 24.40 Bid-YTW : 3.66 % |
| TRP.PR.C | FixedReset Disc | 3.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 13.68 Evaluated at bid price : 13.68 Bid-YTW : 4.45 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.G | FixedReset Prem | 256,087 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : 1.30 % |
| SLF.PR.B | Insurance Straight | 115,517 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 24.50 Evaluated at bid price : 24.75 Bid-YTW : 4.85 % |
| CM.PR.R | FixedReset Disc | 98,780 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.27 Bid-YTW : 4.04 % |
| PWF.PR.P | FixedReset Disc | 86,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 15.45 Evaluated at bid price : 15.45 Bid-YTW : 4.03 % |
| RY.PR.Q | FixedReset Prem | 39,790 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 1.76 % |
| SLF.PR.A | Insurance Straight | 35,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-03-15 Maturity Price : 24.59 Evaluated at bid price : 24.84 Bid-YTW : 4.78 % |
| There were 22 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.E | Perpetual-Premium | Quote: 25.48 – 27.30 Spot Rate : 1.8200 Average : 1.0316 YTW SCENARIO |
| BAM.PR.T | FixedReset Disc | Quote: 18.25 – 19.15 Spot Rate : 0.9000 Average : 0.5559 YTW SCENARIO |
| BAM.PR.Z | FixedReset Disc | Quote: 22.50 – 23.11 Spot Rate : 0.6100 Average : 0.4398 YTW SCENARIO |
| IFC.PR.A | FixedReset Ins Non | Quote: 18.40 – 18.95 Spot Rate : 0.5500 Average : 0.4057 YTW SCENARIO |
| TRP.PR.A | FixedReset Disc | Quote: 16.99 – 17.30 Spot Rate : 0.3100 Average : 0.2008 YTW SCENARIO |
| BAM.PF.G | FixedReset Disc | Quote: 20.25 – 20.70 Spot Rate : 0.4500 Average : 0.3514 YTW SCENARIO |