I had a stray thought today regarding the HSE.PR.C reset fiasco … if they calculated the rate in good faith as of November 29, why didn’t they announce the rate on November 29?
But now it’s time for 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 | 1.2857 % | 2,016.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.2857 % | 3,699.4 |
| Floater | 6.05 % | 6.18 % | 57,958 | 13.67 | 4 | 1.2857 % | 2,132.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0953 % | 3,445.2 |
| SplitShare | 4.63 % | 4.11 % | 41,255 | 3.84 | 7 | 0.0953 % | 4,114.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0953 % | 3,210.1 |
| Perpetual-Premium | 5.55 % | -11.63 % | 58,385 | 0.09 | 10 | -0.2889 % | 3,039.7 |
| Perpetual-Discount | 5.28 % | 5.36 % | 70,921 | 14.87 | 25 | 0.3881 % | 3,280.3 |
| FixedReset Disc | 5.58 % | 5.81 % | 205,252 | 14.19 | 66 | 0.1000 % | 2,114.9 |
| Deemed-Retractible | 5.19 % | 5.29 % | 72,090 | 14.92 | 27 | 0.0668 % | 3,217.2 |
| FloatingReset | 6.10 % | 6.31 % | 130,430 | 13.49 | 2 | 0.6273 % | 2,525.3 |
| FixedReset Prem | 5.11 % | 3.59 % | 151,683 | 1.53 | 20 | 0.0273 % | 2,633.2 |
| FixedReset Bank Non | 1.95 % | 3.93 % | 60,359 | 2.06 | 3 | 0.0411 % | 2,712.4 |
| FixedReset Ins Non | 5.48 % | 5.84 % | 131,435 | 14.14 | 22 | 0.3629 % | 2,139.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.A | FixedReset Ins Non | -2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 14.16 Evaluated at bid price : 14.16 Bid-YTW : 5.94 % |
| PWF.PR.I | Perpetual-Premium | -1.96 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-01-12 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : -11.63 % |
| HSE.PR.A | FixedReset Disc | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 10.91 Evaluated at bid price : 10.91 Bid-YTW : 7.54 % |
| MFC.PR.R | FixedReset Ins Non | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 23.31 Evaluated at bid price : 24.45 Bid-YTW : 5.46 % |
| PWF.PR.G | Perpetual-Premium | -1.12 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-01-12 Maturity Price : 25.00 Evaluated at bid price : 25.56 Bid-YTW : -12.30 % |
| MFC.PR.F | FixedReset Ins Non | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 12.44 Evaluated at bid price : 12.44 Bid-YTW : 5.97 % |
| GWO.PR.N | FixedReset Ins Non | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 13.64 Evaluated at bid price : 13.64 Bid-YTW : 5.30 % |
| SLF.PR.G | FixedReset Ins Non | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 13.11 Evaluated at bid price : 13.11 Bid-YTW : 5.77 % |
| MFC.PR.M | FixedReset Ins Non | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 5.82 % |
| MFC.PR.I | FixedReset Ins Non | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 18.87 Evaluated at bid price : 18.87 Bid-YTW : 5.94 % |
| IAF.PR.G | FixedReset Ins Non | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.86 % |
| PWF.PR.E | Perpetual-Discount | 1.20 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-01-12 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : -5.93 % |
| TRP.PR.F | FloatingReset | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 14.22 Evaluated at bid price : 14.22 Bid-YTW : 6.31 % |
| MFC.PR.L | FixedReset Ins Non | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 16.62 Evaluated at bid price : 16.62 Bid-YTW : 5.72 % |
| PWF.PR.K | Perpetual-Discount | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 23.04 Evaluated at bid price : 23.31 Bid-YTW : 5.37 % |
| PWF.PR.S | Perpetual-Discount | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 22.40 Evaluated at bid price : 22.81 Bid-YTW : 5.31 % |
| BAM.PF.C | Perpetual-Discount | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 22.00 Evaluated at bid price : 22.00 Bid-YTW : 5.53 % |
| HSE.PR.E | FixedReset Disc | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 7.43 % |
| IFC.PR.G | FixedReset Ins Non | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 18.36 Evaluated at bid price : 18.36 Bid-YTW : 5.91 % |
| EMA.PR.F | FixedReset Disc | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 6.23 % |
| SLF.PR.H | FixedReset Ins Non | 1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 5.88 % |
| TRP.PR.A | FixedReset Disc | 2.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 6.13 % |
| PWF.PR.P | FixedReset Disc | 4.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 13.51 Evaluated at bid price : 13.51 Bid-YTW : 5.93 % |
| PWF.PR.A | Floater | 4.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 12.29 Evaluated at bid price : 12.29 Bid-YTW : 5.69 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.D | FixedReset Disc | 210,314 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 19.12 Evaluated at bid price : 19.12 Bid-YTW : 5.82 % |
| MFC.PR.N | FixedReset Ins Non | 158,298 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 16.64 Evaluated at bid price : 16.64 Bid-YTW : 5.93 % |
| BMO.PR.E | FixedReset Disc | 89,758 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 5.77 % |
| PWF.PR.P | FixedReset Disc | 75,788 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 13.51 Evaluated at bid price : 13.51 Bid-YTW : 5.93 % |
| NA.PR.S | FixedReset Disc | 72,178 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 17.03 Evaluated at bid price : 17.03 Bid-YTW : 5.98 % |
| EMA.PR.C | FixedReset Disc | 71,475 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-13 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 6.19 % |
| There were 69 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.R | Perpetual-Premium | Quote: 25.37 – 25.96 Spot Rate : 0.5900 Average : 0.3635 YTW SCENARIO |
| PWF.PR.A | Floater | Quote: 12.29 – 12.94 Spot Rate : 0.6500 Average : 0.4488 YTW SCENARIO |
| CM.PR.Y | FixedReset Disc | Quote: 24.34 – 24.74 Spot Rate : 0.4000 Average : 0.2716 YTW SCENARIO |
| CU.PR.E | Perpetual-Discount | Quote: 23.07 – 23.46 Spot Rate : 0.3900 Average : 0.2690 YTW SCENARIO |
| POW.PR.B | Perpetual-Discount | Quote: 24.84 – 25.15 Spot Rate : 0.3100 Average : 0.2123 YTW SCENARIO |
| IFC.PR.A | FixedReset Ins Non | Quote: 14.16 – 14.43 Spot Rate : 0.2700 Average : 0.1791 YTW SCENARIO |
Since the prefletter just came out when we want to order it, do we ask for the ‘last issue’ or the ‘future issue’ to get the current one?
thanks
The December PrefLetter is now being produced – this is my monthly ‘Hell Weekend’!
It will be sent to subscribers either very late on December 15 or in the small hours of December 16, depending on when it’s finished. There will be a post on PrefBlog announcing publication.
If you want the December issue, order the ‘future issue’ until the notification post is published, or ‘last issue’ afterwards.