| 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 | 1.1001 % | 3,083.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.1001 % | 5,658.9 |
| Floater | 3.52 % | 3.67 % | 39,059 | 18.14 | 4 | 1.1001 % | 3,261.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1907 % | 3,228.4 |
| SplitShare | 4.61 % | 4.55 % | 56,631 | 4.80 | 5 | 0.1907 % | 3,855.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1907 % | 3,008.1 |
| Perpetual-Premium | 5.54 % | 0.37 % | 52,056 | 0.12 | 12 | 0.1445 % | 2,918.4 |
| Perpetual-Discount | 5.42 % | 5.53 % | 57,115 | 14.53 | 22 | 0.1913 % | 2,998.5 |
| FixedReset Disc | 4.19 % | 4.98 % | 136,573 | 15.64 | 42 | 0.0481 % | 2,573.3 |
| Deemed-Retractible | 5.15 % | 5.85 % | 59,839 | 5.37 | 27 | 0.3844 % | 3,002.1 |
| FloatingReset | 3.36 % | 4.17 % | 38,797 | 5.66 | 5 | -0.1175 % | 2,852.3 |
| FixedReset Prem | 4.84 % | 4.14 % | 166,259 | 3.08 | 35 | -0.0346 % | 2,566.0 |
| FixedReset Bank Non | 3.19 % | 4.02 % | 68,837 | 3.13 | 9 | -0.0678 % | 2,569.0 |
| FixedReset Ins Non | 4.30 % | 5.11 % | 92,623 | 5.44 | 22 | 0.5150 % | 2,575.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| EMA.PR.F | FixedReset Disc | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-17 Maturity Price : 23.04 Evaluated at bid price : 23.49 Bid-YTW : 5.17 % |
| CU.PR.C | FixedReset Disc | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-17 Maturity Price : 21.81 Evaluated at bid price : 22.15 Bid-YTW : 4.98 % |
| BAM.PF.C | Perpetual-Discount | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-17 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 5.81 % |
| MFC.PR.K | FixedReset Ins Non | -1.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.43 Bid-YTW : 6.49 % |
| BAM.PR.X | FixedReset Disc | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-17 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 5.01 % |
| TRP.PR.B | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-17 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 5.02 % |
| PWF.PR.E | Perpetual-Premium | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-17 Maturity Price : 24.83 Evaluated at bid price : 25.05 Bid-YTW : 5.56 % |
| MFC.PR.B | Deemed-Retractible | 1.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 7.06 % |
| BAM.PR.K | Floater | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-17 Maturity Price : 17.12 Evaluated at bid price : 17.12 Bid-YTW : 3.78 % |
| PWF.PR.A | Floater | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-17 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 3.05 % |
| TD.PF.B | FixedReset Disc | 1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-17 Maturity Price : 22.67 Evaluated at bid price : 23.25 Bid-YTW : 4.85 % |
| BAM.PR.Z | FixedReset Disc | 2.50 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.60 Bid-YTW : 5.09 % |
| CM.PR.O | FixedReset Disc | 3.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-17 Maturity Price : 22.86 Evaluated at bid price : 23.45 Bid-YTW : 4.86 % |
| BAM.PF.D | Perpetual-Discount | 3.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-17 Maturity Price : 21.22 Evaluated at bid price : 21.22 Bid-YTW : 5.80 % |
| BAM.PR.R | FixedReset Disc | 3.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-17 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 5.19 % |
| SLF.PR.G | FixedReset Ins Non | 4.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.69 Bid-YTW : 7.52 % |
| CU.PR.D | Perpetual-Discount | 4.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-17 Maturity Price : 22.59 Evaluated at bid price : 22.90 Bid-YTW : 5.38 % |
| MFC.PR.I | FixedReset Ins Non | 4.15 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-09-19 Maturity Price : 25.00 Evaluated at bid price : 24.84 Bid-YTW : 4.55 % |
| SLF.PR.D | Deemed-Retractible | 4.65 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.39 Bid-YTW : 7.34 % |
| SLF.PR.H | FixedReset Ins Non | 7.18 % | Just a reversal of Friday’s nonsense.
YTW SCENARIO |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.E | FixedReset Disc | 1,362,183 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-17 Maturity Price : 23.14 Evaluated at bid price : 24.98 Bid-YTW : 4.83 % |
| CM.PR.R | FixedReset Prem | 438,965 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 4.14 % |
| TD.PF.K | FixedReset Disc | 234,979 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-17 Maturity Price : 23.13 Evaluated at bid price : 24.94 Bid-YTW : 4.76 % |
| BNS.PR.H | FixedReset Prem | 204,090 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 26.07 Bid-YTW : 3.72 % |
| BIP.PR.F | FixedReset Disc | 57,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-17 Maturity Price : 23.14 Evaluated at bid price : 24.98 Bid-YTW : 5.08 % |
| BMO.PR.S | FixedReset Disc | 55,368 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-09-17 Maturity Price : 22.86 Evaluated at bid price : 23.53 Bid-YTW : 4.85 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| EMA.PR.F | FixedReset Disc | Quote: 23.49 – 24.15 Spot Rate : 0.6600 Average : 0.4304 YTW SCENARIO |
| BAM.PF.J | FixedReset Prem | Quote: 25.21 – 25.55 Spot Rate : 0.3400 Average : 0.2162 YTW SCENARIO |
| TRP.PR.B | FixedReset Disc | Quote: 17.00 – 17.50 Spot Rate : 0.5000 Average : 0.3966 YTW SCENARIO |
| W.PR.M | FixedReset Prem | Quote: 25.87 – 26.20 Spot Rate : 0.3300 Average : 0.2331 YTW SCENARIO |
| MFC.PR.K | FixedReset Ins Non | Quote: 22.43 – 23.15 Spot Rate : 0.7200 Average : 0.6258 YTW SCENARIO |
| PWF.PR.P | FixedReset Disc | Quote: 19.34 – 19.69 Spot Rate : 0.3500 Average : 0.2598 YTW SCENARIO |