Archive for the ‘HIMI Preferred Indices’ Category

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HIMIPref™ Preferred Indices: June 2008

Tuesday, December 30th, 2008
HIMI Index Values 2008-6-30
These values reflect the December 2008 Revision
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,502.3 1 2.00 3.86% 0.08 47M 4.46%
FixedFloater 1,963.4 7 2.00 4.90% 15.7 43M 4.91%
Floater 2,015.5 3 2.00 4.16% 17.1 68M 4.07%
OpRet 2,108.4 17 1.35 3.86% 1.8 70M 4.92%
SplitShare 2,075.6 15 2.00 5.25% 4.0 54M 5.33%
Interest-Bearing 2,662.3 3 2.00 5.05% 0.6 43M 6.13%
Perpetual-Premium 1,763.9 5 1.40 5.67% 3.8 57M 6.03%
Perpetual-Discount 1,585.1 67 1.24 6.01% 13.9 196M 6.00%
FixedReset 2,024.8 5 1.00 5.04% 4.7 2,152M 5.08%

For Index Revisions during June 2008, see the post HIMIPref™ Index Rebalancing: June 2008.

Publication of index details is embargoed for six months following index date.

Update, 2009-01-02: Index Composition, 2008-6-30, Post-Rebalancing

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HIMIPref™ Preferred Indices: May 2008

Tuesday, December 30th, 2008
HIMI Index Values 2008-5-30
These values reflect the December 2008 Revision
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,496.5 1 2.00 3.86% 0.08 50M 4.44%
FixedFloater 1,985.5 8 2.00 4.77% 15.8 39M 4.80%
Floater 2,082.4 2 2.00 4.05% 17.2 67M 4.05%
OpRet 2,118.4 15 1.27 3.75% 2.3 73M 4.83%
SplitShare 2,118.8 16 2.00 5.00% 4.0 56M 5.26%
Interest-Bearing 2,638.7 3 2.00 6.40% 5.3 41M 6.12%
Perpetual-Premium 1,789.3 13 1.23 5.69% 3.6 89M 5.84%
Perpetual-Discount 1,675.9 59 1.26 5.65% 14.4 192M 5.66%
FixedReset 2,023.8 1 1.00 4.89% 4.4 1,483M 4.92%

For Index Revisions during May 2008, see the post HIMIPref™ Index Rebalancing: May 2008.

Index Composition 2008-05-30, Post-Rebalancing

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HIMIPref™ Preferred Indices: April 2008

Tuesday, December 30th, 2008
HIMI Index Values 2008-4-30
These values reflect the December 2008 Revision
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,470.3 1 2.00 5.02% 15.5 42M 5.00%
FixedFloater 2,030.0 8 2.00 4.85% 15.6 42M 4.69%
Floater 1,883.5 2 2.00 4.51% 16.4 49M 4.48%
OpRet 2,105.2 15 1.27 3.84% 4.4 78M 4.85%
SplitShare 2,088.4 16 2.00 3.84% 4.4 78M 4.85%
Interest-Bearing 2,608.8 3 2.00 6.43% 5.4 45M 6.16%
Perpetual-Premium 1,781.3 9 1.33 5.63% 3.3 52M 5.87%
Perpetual-Discount 1,654.2 63 1.24 5.69% 14.4 193M 5.72%
FixedReset 2,011.8 1 1.00 4.92% 4.4 1,963M 4.95%

For Index Revisions during April 2008, see the post HIMIPref™ Index Rebalancing: April 2008.

Index Composition 2008-04-30, Post-Rebalancing

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HIMIPref™ Preferred Indices: March 2008

Tuesday, December 30th, 2008
HIMI Index Values 2008-3-31
These values reflect the December 2008 Revision
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,463.6 2 2.00 5.21% 15.2 37M 5.14%
FixedFloater 1,996.8 8 2.00 5.24% 15.2 51M 4.80%
Floater 1,902.3 2 2.00 4.93% 15.7 52M 4.90%
OpRet 2,099.3 15 1.27 3.92% 3.6 74M 4.85%
SplitShare 2,057.7 16 2.00 5.09% 4.1 88M 5.37%
Interest-Bearing 2,593.8 3 2.00 6.30% 5.5 50M 6.20%
Perpetual-Premium 1,775.1 7 1.42 5.68% 3.7 45M 5.91%
Perpetual-Discount 1,654.0 62 1.25 5.68% 14.4 210M 5.70%
FixedReset 1,988.7 1 1.00 5.03% 15.5 2,800M 5.01%

For Index Revisions during March 2008, see the post HIMIPref™ Index Rebalancing: March 2008.

Index Composition 2008-3-31, Post-Rebalancing

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HIMIPref™ Preferred Indices : February 2008

Monday, December 29th, 2008
HIMI Index Values 2008-2-29
These values reflect the December 2008 Revision
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,458.8 2 2.00 5.38% 14.9 37M 5.45%
FixedFloater 1,988.8 8 2.00 5.52% 14.8 66M 4.93%
Floater 1,939.7 2 2.00 5.26% 15.0 69M 5.23%
OpRet 2,102.3 15 1.27 3.66% 1.3 57M 4.81%
SplitShare 2,115.2 16 2.00 4.95% 4.2 67M 5.22%
Interest-Bearing 2,615.8 3 2.00 6.45% 5.5 52M 6.14%
Perpetual-Premium 1,808.5 17 1.41 5.38% 3.8 80M 5.70%
Perpetual-Discount 1,746.5 51 1.21 5.32% 14.9 265M 5.36%

For Index Revisions during February 2008, see the post HIMIPref™ Index Rebalancing: February 2008.

Index Composition 2008-2-29, Post-Rebalancing

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HIMIPref™ Preferred Indices : Pending Revisions

Saturday, March 29th, 2008

The first run-through for the HIMIPref™ Preferred Indices has been completed and I am now in the joyous phase of hunting down and killing errors.

Due to errors in cash-flow characterization, the following monthly results will have to be recomputed:

October 1997 / OpRet
November 1999 / PerpetualDiscount
November 1999 / FixedFloater
March 2000 / OpRet
January 2005 / PerpetualDiscount

Making these changes will also change subsequent index levels. No errors have yet been found in the characterizations of the indices (e.g., reported yields).

The checking process continues.

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HIMIPref™ Preferred Indices : February 2007

Friday, March 28th, 2008

All indices were assigned a value of 1000.0 as of December 31, 1993.

HIMI Index Values 2007-2-28
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,370.3 1 2.00 3.89% 3.9 81M 4.05%
FixedFloater 2,359.2 7 2.00 3.47% 1.1 64M 4.98%
Floater 2,216.5 3 2.00 1.46% 0.1 54M 4.71%
OpRet 1,935.4 17 1.36 2.48% 2.1 65M 4.70%
SplitShare 2,029.6 17 1.94 3.97% 2.6 78M 5.01%
Interest-Bearing 2,404.8 5 2.00 5.43% 2.6 64M 6.49%
Perpetual-Premium 1,556.0 53 1.32 4.33% 5.9 135M 5.01%
Perpetual-Discount 1,661.8 9 1.22 4.51% 16.4 436M 4.54%

 

HIMI Index Changes, February 28, 2007
Issue From To Because
ASC.PR.A Scraps SplitShare Volume
BNA.PR.B Scraps SplitShare Volume
BCE.PR.S Ratchet Scraps Volume
BCE.PR.H Scraps Ratchet Volume
BCE.PR.I FixFloat Scraps Volume
BMO.PR.J PerpetualDiscount PerpetualPremium Price
BAM.PR.G FixFloat Scraps Volume
BAM.PR.M PerpetualDiscount PerpetualPremium Price
PWF.PR.D OpRet Scraps Volume
PWF.PR.A Floater Scraps Volume
RY.PR.E PerpetualDiscount PerpetualPremium Price
PAY.PR.A SplitShare Scraps Volume
TOC.PR.B Floater Scraps Volume
WN.PR.E PerpetualPremium PerpetualDiscount Price

There were the following intra-month changes:

HIMI Index Changes during February 2007
Issue Action Index Because
CM.PR.B Delete PerpetualPremium Redemption
BCE.PR.H Add Scraps Exchange
BC.PR.E Delete Scraps Exchange
BCE.PR.I Add FixFloat Exchange
BC.PR.C Delete FixFloat Exchange
BCE.PR.G Add FixFloat Exchange
BC.PR.B Delete FixFloat Exchange
SLF.PR.E Add PerpetualDiscount New Issue
FCI.PR.A Delete Scraps Exchange
FCF.PR.A Delete Scraps Exchange
FCN.PR.A Delete Scraps Exchange
CFS.PR.A Add SplitShare New Issue
CM.PR.J Add PerpetualDiscount New Issue
ENB.PR.D Delete InterestBearing Redemption
CVF.PR.A Delete Scraps Redemption

Index Composition 2007-2-28, Post-Rebalancing

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HIMIPref™ Preferred Indices : January 2007

Friday, March 28th, 2008

All indices were assigned a value of 1000.0 as of December 31, 1993.

HIMI Index Values 2007-1-31
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,357.8 1 2.00 4.03% 17.4 29M 4.02%
FixedFloater 2,355.9 7 2.00 3.58% 4.3 66M 4.83%
Floater 2,217.1 5 2.00 -23.14% 0.1 46M 4.46%
OpRet 1,930.1 18 1.34 2.79% 2.1 64M 4.72%
SplitShare 2,030.2 15 1.93 3.43% 2.6 76M 5.07%
Interest-Bearing 2,392.1 7 2.00 5.66% 2.7 49M 6.65%
Perpetual-Premium 1,549.7 52 1.33 4.36% 5.7 129M 5.05%
Perpetual-Discount 1,648.8 9 1.22 4.54% 16.3 681M 4.55%

 

HIMI Index Changes, January 31, 2007
Issue From To Because
BNA.PR.A Scraps SplitShare Volume
BAM.PR.M PerpetualPremium PerpetualDiscount Price
CGI.PR.C SplitShare Scraps Volume
MUH.PR.A Scraps SplitShare Volume
MFC.PR.C PerpetualPremium PerpetualDiscount Price
PWF.PR.D Scraps OpRet Volume
PWF.PR.A Scraps Floater Volume
RY.PR.A PerpetualPremium PerpetualDiscount Price
PAY.PR.A Scraps SplitShare Volume
IAG.PR.A PerpetualPremium PerpetualDiscount Price

There were the following intra-month changes:

HIMI Index Changes during January 2007
Issue Action Index Because
TA.PR.C Delete Scraps Redemption
BAM.PR.S Delete InterestBearing Redemption
BNA.PR.C Add SplitShare New Issue
BMO.PR.J Add PerpetualDiscount New Issue
RY.PR.E Add PerpetualDiscount New Issue
BNS.PR.L Add PerpetualPremium New Issue

Index Constitution 2007-01-31, Post-Rebalancing

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HIMIPref™ Preferred Indices : December 2006

Monday, March 24th, 2008

All indices were assigned a value of 1000.0 as of December 31, 1993.

HIMI Index Values 2006-12-29
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,360.5 1 2.00 4.10% 17.3 31M 4.10%
FixedFloater 2,361.2 7 2.00 3.61% 4.4 65M 4.78%
Floater 2,193.1 4 2.00 -23.56% 0.1 41M 4.59%
OpRet 1,942.4 17 1.36 2.50% 2.2 75M 4.66%
SplitShare 2,030.9 12 1.92 3.17% 2.7 86M 4.89%
Interest-Bearing 2,382.4 8 2.00 6.05% 2.7 56M 6.88%
Perpetual-Premium 1,554.5 55 1.34 4.23% 5.8 133M 5.00%
Perpetual-Discount 1,656.9 3 1.00 4.50% 16.4 585M 4.50%
HIMI Index Changes, December 29, 2006
Issue From To Because
BNA.PR.A SplitShare Scraps Volume
BAM.PR.M PerpetualDiscount PerpetualPremium Price
CGI.PR.C Scraps SplitShare Volume
CAC.PR.A SplitShare Scraps Volume
MFC.PR.C PerpetualDiscount PerpetualPremium Price
PWF.PR.D OpRet Scraps Volume
PWF.PR.A Floater Scraps Volume
RY.PR.A PerpetualDiscount PerpetualPremium Price
IAG.PR.A PerpetualDiscount PerpetualPremium Price
SXT.PR.A Scraps SplitShare Volume

There were the following intra-month changes:

HIMI Index Changes during December 2006
Issue Action Index Because
RY.PR.D Add PerpetualPremium New Issue
FBS.PR.B Add SplitShare New Issue
FBS.PR.A Delete Scraps Redemption

Index Constitution, 2006-12-29, Post-rebalancing

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HIMIPref™ Indices : November 2006

Thursday, March 20th, 2008

All indices were assigned a value of 1000.0 as of December 31, 1993.

HIMI Index Values 2006-11-30
Index Closing Value (Total Return) Issues Mean Credit Quality Median YTW Median DTW Median Daily Trading Mean Current Yield
Ratchet 1,344.2 1 2.00 4.27% 16.9 39M 4.27%
FixedFloater 2,341.5 7 2.00 3.93% 3.7 65M 4.80%
Floater 2,198.0 5 1.80 -21.01% 0.1 42M 4.46%
OpRet 1,941.8 18 1.34 2.24% 2.3 70M 4.65%
SplitShare 2,020.0 11 1.91 3.33% 2.8 86M 5.09%
Interest-Bearing 2,368.3 8 2.00 5.55% 2.6 55M 6.84%
Perpetual-Premium 1,549.4 50 1.34 4.08% 5.2 125M 5.03%
Perpetual-Discount 1,640.1 7 1.29 4.55% 16.3 452M 4.57%
HIMI Index Changes, November 30, 2006
Issue From To Because
CGI.PR.C SplitShare Scraps Volume
CM.PR.I PerpetualDiscount PerpetualPremium Price
WN.PR.E PerpetualDiscount PerpetualPremium Price
FIG.PR.A Scraps InterestBearing Volume

There were the following intra-month changes:

HIMI Index Changes during November 2006
Issue Action Index Because
RY.PR.C Add PerpetualDiscount New Issue
FAL.PR.F Delete Scraps Redemption
FAL.PR.G Delete Scraps Redemption
CM.PR.I Add PerpetualDiscount New Issue
BAM.PR.M Add PerpetualDiscount New Issue
RY.PR.O Delete PerpetualPremium Redemption

Index Constitution, 2006-11-30, Post-rebalancing

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