Again, just the bare bones. Sorry!
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 5.55 % | 6.73 % | 13,580 | 15.82 | 1 | -0.4082 % | 1,412.8 |
| FixedFloater | 7.91 % | 6.93 % | 22,338 | 15.23 | 1 | 0.0000 % | 2,513.4 |
| Floater | 4.96 % | 5.18 % | 82,060 | 15.10 | 4 | 1.1943 % | 1,546.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2247 % | 2,733.6 |
| SplitShare | 4.86 % | 5.66 % | 80,750 | 2.66 | 7 | -0.2247 % | 3,198.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2247 % | 2,495.9 |
| Perpetual-Premium | 5.84 % | 2.80 % | 80,096 | 0.08 | 6 | 0.1730 % | 2,529.5 |
| Perpetual-Discount | 5.80 % | 5.83 % | 98,060 | 14.07 | 33 | 0.1450 % | 2,493.4 |
| FixedReset | 5.83 % | 5.32 % | 204,410 | 14.09 | 85 | 0.1518 % | 1,743.7 |
| Deemed-Retractible | 5.36 % | 6.00 % | 120,056 | 5.14 | 34 | 0.0163 % | 2,526.3 |
| FloatingReset | 3.19 % | 5.58 % | 46,485 | 5.46 | 16 | -0.2794 % | 1,910.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.O | FloatingReset | -10.43 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 10.30 Bid-YTW : 13.22 % |
| IAG.PR.A | Deemed-Retractible | -3.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.78 Bid-YTW : 7.88 % |
| PVS.PR.D | SplitShare | -2.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 7.01 % |
| CM.PR.Q | FixedReset | -2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 17.24 Evaluated at bid price : 17.24 Bid-YTW : 5.12 % |
| ELF.PR.G | Perpetual-Discount | -1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 19.67 Evaluated at bid price : 19.67 Bid-YTW : 6.14 % |
| TD.PF.A | FixedReset | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 4.87 % |
| RY.PR.M | FixedReset | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.72 Evaluated at bid price : 16.72 Bid-YTW : 5.07 % |
| BNS.PR.P | FixedReset | -1.58 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.01 Bid-YTW : 4.58 % |
| TD.PF.D | FixedReset | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 17.49 Evaluated at bid price : 17.49 Bid-YTW : 5.04 % |
| TD.PR.Y | FixedReset | -1.52 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.64 Bid-YTW : 4.85 % |
| CM.PR.O | FixedReset | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 4.85 % |
| TRP.PR.G | FixedReset | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.76 Evaluated at bid price : 16.76 Bid-YTW : 5.51 % |
| RY.PR.Z | FixedReset | -1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 4.78 % |
| BMO.PR.Y | FixedReset | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 17.52 Evaluated at bid price : 17.52 Bid-YTW : 4.99 % |
| BNS.PR.C | FloatingReset | -1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.61 Bid-YTW : 5.83 % |
| RY.PR.I | FixedReset | -1.25 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.20 Bid-YTW : 5.34 % |
| BNS.PR.F | FloatingReset | -1.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.51 Bid-YTW : 8.34 % |
| BMO.PR.T | FixedReset | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.16 Evaluated at bid price : 16.16 Bid-YTW : 4.81 % |
| RY.PR.L | FixedReset | -1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.25 Bid-YTW : 4.43 % |
| FTS.PR.I | FloatingReset | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 8.90 Evaluated at bid price : 8.90 Bid-YTW : 5.30 % |
| RY.PR.J | FixedReset | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.12 % |
| NA.PR.S | FixedReset | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 15.43 Evaluated at bid price : 15.43 Bid-YTW : 5.32 % |
| TRP.PR.F | FloatingReset | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 10.31 Evaluated at bid price : 10.31 Bid-YTW : 5.69 % |
| BIP.PR.B | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 22.60 Evaluated at bid price : 23.60 Bid-YTW : 5.78 % |
| TRP.PR.B | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 9.78 Evaluated at bid price : 9.78 Bid-YTW : 5.09 % |
| FTS.PR.G | FixedReset | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 5.14 % |
| MFC.PR.N | FixedReset | 1.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.00 Bid-YTW : 9.49 % |
| SLF.PR.J | FloatingReset | 1.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 11.12 Bid-YTW : 12.22 % |
| RY.PR.P | Perpetual-Discount | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 24.00 Evaluated at bid price : 24.36 Bid-YTW : 5.41 % |
| BAM.PR.C | Floater | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 9.12 Evaluated at bid price : 9.12 Bid-YTW : 5.26 % |
| BAM.PR.X | FixedReset | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 12.33 Evaluated at bid price : 12.33 Bid-YTW : 5.44 % |
| PVS.PR.E | SplitShare | 1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 6.65 % |
| VNR.PR.A | FixedReset | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.52 Evaluated at bid price : 16.52 Bid-YTW : 5.46 % |
| HSE.PR.A | FixedReset | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 8.55 Evaluated at bid price : 8.55 Bid-YTW : 7.01 % |
| BAM.PF.G | FixedReset | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.65 % |
| SLF.PR.I | FixedReset | 1.44 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.32 Bid-YTW : 9.25 % |
| TD.PR.Z | FloatingReset | 1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.00 Bid-YTW : 5.26 % |
| TRP.PR.C | FixedReset | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 10.35 Evaluated at bid price : 10.35 Bid-YTW : 5.42 % |
| BAM.PF.E | FixedReset | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.15 Evaluated at bid price : 16.15 Bid-YTW : 5.52 % |
| BAM.PR.K | Floater | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 9.21 Evaluated at bid price : 9.21 Bid-YTW : 5.21 % |
| BAM.PF.B | FixedReset | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 15.40 Evaluated at bid price : 15.40 Bid-YTW : 5.73 % |
| CU.PR.C | FixedReset | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 5.22 % |
| MFC.PR.I | FixedReset | 1.71 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.64 Bid-YTW : 9.31 % |
| MFC.PR.G | FixedReset | 1.86 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.45 Bid-YTW : 9.39 % |
| PWF.PR.Q | FloatingReset | 1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 10.55 Evaluated at bid price : 10.55 Bid-YTW : 4.86 % |
| BAM.PF.A | FixedReset | 2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 16.77 Evaluated at bid price : 16.77 Bid-YTW : 5.64 % |
| BAM.PR.B | Floater | 2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 9.25 Evaluated at bid price : 9.25 Bid-YTW : 5.18 % |
| HSE.PR.C | FixedReset | 2.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 7.10 % |
| HSE.PR.E | FixedReset | 2.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 6.81 % |
| MFC.PR.H | FixedReset | 2.96 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.43 Bid-YTW : 8.09 % |
| SLF.PR.H | FixedReset | 3.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.60 Bid-YTW : 10.04 % |
| BAM.PR.R | FixedReset | 3.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 13.56 Evaluated at bid price : 13.56 Bid-YTW : 5.65 % |
| TRP.PR.I | FloatingReset | 5.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 4.98 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.O | FixedReset | 185,650 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.65 % |
| BNS.PR.E | FixedReset | 46,548 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 23.21 Evaluated at bid price : 25.18 Bid-YTW : 5.22 % |
| IAG.PR.G | FixedReset | 45,235 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.45 Bid-YTW : 9.37 % |
| PVS.PR.D | SplitShare | 38,379 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2021-10-08 Maturity Price : 25.00 Evaluated at bid price : 22.15 Bid-YTW : 7.01 % |
| BAM.PF.D | Perpetual-Discount | 37,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 19.56 Evaluated at bid price : 19.56 Bid-YTW : 6.39 % |
| TD.PF.G | FixedReset | 31,551 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-03-01 Maturity Price : 23.20 Evaluated at bid price : 25.15 Bid-YTW : 5.31 % |
| There were 20 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.I | FloatingReset | Quote: 10.00 – 12.00 Spot Rate : 2.0000 Average : 1.4088 YTW SCENARIO |
| GWO.PR.O | FloatingReset | Quote: 10.30 – 11.50 Spot Rate : 1.2000 Average : 0.7928 YTW SCENARIO |
| TRP.PR.F | FloatingReset | Quote: 10.31 – 11.30 Spot Rate : 0.9900 Average : 0.6497 YTW SCENARIO |
| BNS.PR.P | FixedReset | Quote: 23.01 – 23.90 Spot Rate : 0.8900 Average : 0.5697 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 19.78 – 20.98 Spot Rate : 1.2000 Average : 0.9420 YTW SCENARIO |
| TD.PF.A | FixedReset | Quote: 16.10 – 16.60 Spot Rate : 0.5000 Average : 0.3690 YTW SCENARIO |
I have been trying to calculate YTW for various issues myself, andIi get quite different numbes than you do. Do you have a calculator for that? Or an explanation of how you calculate it?
Thanks
For Straight Perpetuals, see Research: Yield Ahead, with additional discussion at Research: Yield from On-Line Calculator.
For discussion of a yield calculator for FixedResets, see What is the Yield of HSE.PR.A?