Well, we all know what day it is, don’t we? It’s February PrefLetter preparation day!
| 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 | 0.1719 % | 2,062.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1719 % | 3,785.0 |
| Floater | 5.93 % | 6.13 % | 54,624 | 13.65 | 4 | 0.1719 % | 2,181.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0710 % | 3,478.3 |
| SplitShare | 4.73 % | 4.25 % | 39,267 | 4.10 | 6 | -0.0710 % | 4,153.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0710 % | 3,241.0 |
| Perpetual-Premium | 5.56 % | -1.13 % | 58,276 | 0.09 | 11 | -0.0036 % | 3,071.6 |
| Perpetual-Discount | 5.18 % | 5.22 % | 67,288 | 14.95 | 24 | 0.0813 % | 3,371.1 |
| FixedReset Disc | 5.49 % | 5.42 % | 177,445 | 14.78 | 64 | -0.0183 % | 2,183.9 |
| Deemed-Retractible | 5.09 % | 5.18 % | 71,894 | 14.90 | 27 | 0.1186 % | 3,285.7 |
| FloatingReset | 6.02 % | 6.08 % | 59,363 | 13.79 | 3 | -0.7018 % | 2,542.6 |
| FixedReset Prem | 5.07 % | 3.32 % | 140,143 | 1.44 | 22 | 0.0159 % | 2,662.6 |
| FixedReset Bank Non | 1.93 % | 3.24 % | 73,669 | 1.91 | 3 | 0.0814 % | 2,755.8 |
| FixedReset Ins Non | 5.33 % | 5.42 % | 108,099 | 14.62 | 22 | -0.2672 % | 2,201.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.M | FixedReset Ins Non | -2.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-14 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 5.39 % |
| MFC.PR.N | FixedReset Ins Non | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-14 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 5.50 % |
| SLF.PR.J | FloatingReset | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-14 Maturity Price : 13.31 Evaluated at bid price : 13.31 Bid-YTW : 5.83 % |
| NA.PR.G | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-14 Maturity Price : 19.99 Evaluated at bid price : 19.99 Bid-YTW : 5.44 % |
| CU.PR.D | Perpetual-Discount | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-14 Maturity Price : 23.09 Evaluated at bid price : 23.56 Bid-YTW : 5.19 % |
| NA.PR.E | FixedReset Disc | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-14 Maturity Price : 18.93 Evaluated at bid price : 18.93 Bid-YTW : 5.43 % |
| IFC.PR.A | FixedReset Ins Non | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-14 Maturity Price : 14.30 Evaluated at bid price : 14.30 Bid-YTW : 5.60 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.C | Deemed-Retractible | 62,548 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-14 Maturity Price : 21.72 Evaluated at bid price : 21.97 Bid-YTW : 5.19 % |
| BMO.PR.B | FixedReset Prem | 50,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 3.36 % |
| RY.PR.J | FixedReset Disc | 42,495 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-14 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.25 % |
| BMO.PR.Y | FixedReset Disc | 40,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-14 Maturity Price : 19.12 Evaluated at bid price : 19.12 Bid-YTW : 5.37 % |
| TRP.PR.C | FixedReset Disc | 40,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-14 Maturity Price : 12.21 Evaluated at bid price : 12.21 Bid-YTW : 5.97 % |
| TD.PF.I | FixedReset Disc | 28,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-02-14 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 5.27 % |
| There were 18 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CIU.PR.A | Perpetual-Discount | Quote: 22.03 – 22.59 Spot Rate : 0.5600 Average : 0.3298 YTW SCENARIO |
| GWO.PR.S | Deemed-Retractible | Quote: 24.97 – 25.49 Spot Rate : 0.5200 Average : 0.3414 YTW SCENARIO |
| BAM.PF.I | FixedReset Prem | Quote: 25.40 – 25.75 Spot Rate : 0.3500 Average : 0.2195 YTW SCENARIO |
| GWO.PR.F | Deemed-Retractible | Quote: 25.86 – 26.18 Spot Rate : 0.3200 Average : 0.1989 YTW SCENARIO |
| TD.PF.L | FixedReset Disc | Quote: 24.00 – 24.38 Spot Rate : 0.3800 Average : 0.2613 YTW SCENARIO |
| SLF.PR.J | FloatingReset | Quote: 13.31 – 13.62 Spot Rate : 0.3100 Average : 0.2107 YTW SCENARIO |