| 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 | 0.2501 % | 1,748.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2501 % | 3,194.7 |
| Floater | 4.29 % | 4.46 % | 48,506 | 16.43 | 4 | 0.2501 % | 1,841.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3255 % | 2,919.8 |
| SplitShare | 4.83 % | 4.29 % | 50,721 | 2.03 | 6 | 0.3255 % | 3,486.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3255 % | 2,720.6 |
| Perpetual-Premium | 5.44 % | 5.05 % | 78,553 | 14.41 | 23 | -0.0732 % | 2,659.3 |
| Perpetual-Discount | 5.41 % | 5.39 % | 92,545 | 14.81 | 15 | -0.2083 % | 2,772.0 |
| FixedReset | 4.90 % | 4.61 % | 208,315 | 6.81 | 96 | 0.0479 % | 2,080.5 |
| Deemed-Retractible | 5.13 % | 5.30 % | 138,156 | 4.51 | 32 | -0.1351 % | 2,752.7 |
| FloatingReset | 2.87 % | 3.64 % | 43,821 | 4.87 | 12 | 0.0424 % | 2,308.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.B | Deemed-Retractible | -1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.97 Bid-YTW : 6.57 % |
| FTS.PR.H | FixedReset | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-23 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 4.54 % |
| PWF.PR.P | FixedReset | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-23 Maturity Price : 13.78 Evaluated at bid price : 13.78 Bid-YTW : 4.61 % |
| SLF.PR.J | FloatingReset | 2.86 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.03 Bid-YTW : 9.94 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.K | FixedReset | 394,198 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-23 Maturity Price : 23.08 Evaluated at bid price : 24.85 Bid-YTW : 4.85 % |
| MFC.PR.R | FixedReset | 276,908 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.93 Bid-YTW : 4.91 % |
| BAM.PF.I | FixedReset | 131,310 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-23 Maturity Price : 23.14 Evaluated at bid price : 25.00 Bid-YTW : 4.74 % |
| TD.PR.Z | FloatingReset | 100,900 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.37 Bid-YTW : 3.52 % |
| CM.PR.O | FixedReset | 75,780 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-11-23 Maturity Price : 19.17 Evaluated at bid price : 19.17 Bid-YTW : 4.47 % |
| TD.PF.H | FixedReset | 72,021 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.47 Bid-YTW : 4.55 % |
| There were 47 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| POW.PR.C | Perpetual-Premium | Quote: 25.50 – 25.77 Spot Rate : 0.2700 Average : 0.1679 YTW SCENARIO |
| W.PR.K | FixedReset | Quote: 25.30 – 25.90 Spot Rate : 0.6000 Average : 0.5106 YTW SCENARIO |
| IGM.PR.B | Perpetual-Premium | Quote: 25.28 – 25.70 Spot Rate : 0.4200 Average : 0.3360 YTW SCENARIO |
| BMO.PR.Y | FixedReset | Quote: 20.82 – 21.07 Spot Rate : 0.2500 Average : 0.1682 YTW SCENARIO |
| CU.PR.H | Perpetual-Premium | Quote: 24.73 – 25.04 Spot Rate : 0.3100 Average : 0.2346 YTW SCENARIO |
| TD.PF.G | FixedReset | Quote: 26.38 – 26.57 Spot Rate : 0.1900 Average : 0.1222 YTW SCENARIO |
Mr. Hymas, I’m a long time subscriber of the news letter and I’m curious if there is a particular issue or chart where you have studied the long term spread between floaters and the 90 day t-bill and/or prime rate?
See the Market Action report for November 24, 2016.