And now it’s time for me to prepare PrefLetter!
| 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 | 0.6039 % | 1,903.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6039 % | 3,493.2 |
| Floater | 4.54 % | 4.58 % | 48,923 | 16.30 | 3 | 0.6039 % | 2,013.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1836 % | 3,614.9 |
| SplitShare | 4.72 % | 4.53 % | 39,313 | 3.77 | 8 | -0.1836 % | 4,316.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1836 % | 3,368.2 |
| Perpetual-Premium | 5.35 % | -4.06 % | 64,765 | 0.09 | 18 | -0.0804 % | 3,227.1 |
| Perpetual-Discount | 5.01 % | 5.04 % | 68,245 | 15.39 | 13 | -0.2372 % | 3,687.6 |
| FixedReset Disc | 4.97 % | 3.82 % | 134,370 | 17.46 | 57 | 0.4028 % | 2,364.1 |
| Insurance Straight | 5.04 % | 4.79 % | 84,241 | 15.34 | 22 | -0.1630 % | 3,568.5 |
| FloatingReset | 2.55 % | 0.80 % | 31,902 | 0.15 | 3 | -0.4394 % | 1,875.3 |
| FixedReset Prem | 5.14 % | 3.27 % | 195,064 | 1.02 | 20 | 0.0729 % | 2,692.0 |
| FixedReset Bank Non | 1.94 % | 1.78 % | 144,670 | 1.05 | 2 | 0.0000 % | 2,881.4 |
| FixedReset Ins Non | 4.88 % | 3.78 % | 86,752 | 17.61 | 22 | 0.2080 % | 2,497.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.I | FixedReset Ins Non | -3.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 21.67 Evaluated at bid price : 22.10 Bid-YTW : 3.83 % |
| SLF.PR.J | FloatingReset | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 11.07 Evaluated at bid price : 11.07 Bid-YTW : 3.34 % |
| TRP.PR.B | FixedReset Disc | -1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 9.25 Evaluated at bid price : 9.25 Bid-YTW : 4.67 % |
| IFC.PR.E | Insurance Straight | -1.55 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-06-30 Maturity Price : 25.25 Evaluated at bid price : 25.40 Bid-YTW : 5.06 % |
| RS.PR.A | SplitShare | -1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-12-31 Maturity Price : 10.00 Evaluated at bid price : 10.16 Bid-YTW : 4.94 % |
| MFC.PR.G | FixedReset Ins Non | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 21.71 Evaluated at bid price : 22.15 Bid-YTW : 3.79 % |
| MFC.PR.C | Insurance Straight | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 23.74 Evaluated at bid price : 24.05 Bid-YTW : 4.70 % |
| BIP.PR.E | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 23.29 Evaluated at bid price : 24.40 Bid-YTW : 5.10 % |
| BMO.PR.S | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 3.62 % |
| MFC.PR.M | FixedReset Ins Non | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 19.98 Evaluated at bid price : 19.98 Bid-YTW : 3.78 % |
| BMO.PR.Y | FixedReset Disc | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 21.35 Evaluated at bid price : 21.65 Bid-YTW : 3.63 % |
| BAM.PR.Z | FixedReset Disc | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 4.71 % |
| PWF.PR.T | FixedReset Disc | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.07 % |
| SLF.PR.G | FixedReset Ins Non | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 12.28 Evaluated at bid price : 12.28 Bid-YTW : 3.78 % |
| BAM.PF.E | FixedReset Disc | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.76 % |
| BAM.PF.B | FixedReset Disc | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.71 % |
| BAM.PF.A | FixedReset Disc | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 4.64 % |
| TRP.PR.E | FixedReset Disc | 1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 4.88 % |
| NA.PR.E | FixedReset Disc | 2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 3.76 % |
| IAF.PR.G | FixedReset Ins Non | 3.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 21.52 Evaluated at bid price : 21.89 Bid-YTW : 3.79 % |
| BAM.PR.T | FixedReset Disc | 5.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 4.67 % |
| GWO.PR.N | FixedReset Ins Non | 5.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 11.93 Evaluated at bid price : 11.93 Bid-YTW : 3.67 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PF.B | FixedReset Disc | 163,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.71 % |
| BMO.PR.S | FixedReset Disc | 114,425 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 3.62 % |
| NA.PR.A | FixedReset Prem | 100,077 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : 2.37 % |
| TRP.PR.K | FixedReset Disc | 82,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 23.75 Evaluated at bid price : 24.95 Bid-YTW : 4.90 % |
| BMO.PR.T | FixedReset Disc | 72,153 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 19.77 Evaluated at bid price : 19.77 Bid-YTW : 3.65 % |
| TD.PF.A | FixedReset Disc | 49,375 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-08 Maturity Price : 20.41 Evaluated at bid price : 20.41 Bid-YTW : 3.50 % |
| There were 18 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.H | Perpetual-Premium | Quote: 25.60 – 26.60 Spot Rate : 1.0000 Average : 0.6000 YTW SCENARIO |
| MFC.PR.I | FixedReset Ins Non | Quote: 22.10 – 22.86 Spot Rate : 0.7600 Average : 0.4970 YTW SCENARIO |
| TD.PF.A | FixedReset Disc | Quote: 20.41 – 20.98 Spot Rate : 0.5700 Average : 0.3511 YTW SCENARIO |
| MFC.PR.G | FixedReset Ins Non | Quote: 22.15 – 22.90 Spot Rate : 0.7500 Average : 0.5338 YTW SCENARIO |
| GWO.PR.I | Insurance Straight | Quote: 23.73 – 24.10 Spot Rate : 0.3700 Average : 0.2386 YTW SCENARIO |
| MFC.PR.C | Insurance Straight | Quote: 24.05 – 24.53 Spot Rate : 0.4800 Average : 0.3536 YTW SCENARIO |
Thanks for your assistance recently with nuances of many of the instruments you cover. I have been diving in to Split Shares to understand if there is value there for my purposes.
Regarding NAVs: It seems that the determination of this value is by the value of the combined common and preferred at market on any given day, rather than the value of the underlying securities on the same day.
I have spent time digging into prospectuses and can not get a clear definition. There are references to combined value of the two securities on a given date.
Thanks, JA