| 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 | 0.4255 % | 2,279.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4255 % | 4,371.9 |
| Floater | 10.68 % | 10.92 % | 49,151 | 8.82 | 1 | 0.4255 % | 2,519.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4338 % | 3,351.8 |
| SplitShare | 5.03 % | 7.70 % | 47,558 | 2.37 | 7 | -0.4338 % | 4,002.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4338 % | 3,123.1 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4104 % | 2,566.1 |
| Perpetual-Discount | 6.64 % | 6.83 % | 47,423 | 12.78 | 28 | 0.4104 % | 2,798.2 |
| FixedReset Disc | 5.78 % | 8.51 % | 85,887 | 11.13 | 64 | 0.5193 % | 2,159.9 |
| Insurance Straight | 6.61 % | 6.75 % | 56,461 | 12.85 | 19 | 0.4588 % | 2,722.8 |
| FloatingReset | 11.34 % | 10.93 % | 36,788 | 8.81 | 2 | 0.5705 % | 2,432.5 |
| FixedReset Prem | 7.01 % | 6.94 % | 251,720 | 3.69 | 1 | 0.0000 % | 2,305.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5193 % | 2,207.9 |
| FixedReset Ins Non | 6.17 % | 7.99 % | 62,052 | 11.58 | 11 | 0.2310 % | 2,323.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.C | FixedReset Disc | -3.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 10.90 Evaluated at bid price : 10.90 Bid-YTW : 10.96 % |
| TRP.PR.B | FixedReset Disc | -2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 10.50 Evaluated at bid price : 10.50 Bid-YTW : 11.22 % |
| BN.PR.T | FixedReset Disc | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 14.15 Evaluated at bid price : 14.15 Bid-YTW : 9.91 % |
| PVS.PR.K | SplitShare | -1.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 21.45 Bid-YTW : 7.70 % |
| MFC.PR.L | FixedReset Ins Non | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 17.12 Evaluated at bid price : 17.12 Bid-YTW : 8.91 % |
| PWF.PR.T | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 8.49 % |
| POW.PR.C | Perpetual-Discount | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 21.49 Evaluated at bid price : 21.75 Bid-YTW : 6.73 % |
| BN.PR.R | FixedReset Disc | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 13.93 Evaluated at bid price : 13.93 Bid-YTW : 10.10 % |
| TRP.PR.G | FixedReset Disc | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 15.73 Evaluated at bid price : 15.73 Bid-YTW : 10.01 % |
| BMO.PR.S | FixedReset Disc | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 18.16 Evaluated at bid price : 18.16 Bid-YTW : 8.55 % |
| BN.PF.E | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 10.25 % |
| MFC.PR.K | FixedReset Ins Non | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 7.99 % |
| FTS.PR.J | Perpetual-Discount | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 18.97 Evaluated at bid price : 18.97 Bid-YTW : 6.39 % |
| NA.PR.S | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 8.78 % |
| SLF.PR.D | Insurance Straight | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 17.69 Evaluated at bid price : 17.69 Bid-YTW : 6.38 % |
| BN.PF.C | Perpetual-Discount | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 17.61 Evaluated at bid price : 17.61 Bid-YTW : 6.99 % |
| TD.PF.L | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 22.65 Evaluated at bid price : 23.26 Bid-YTW : 7.73 % |
| BN.PF.I | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 19.28 Evaluated at bid price : 19.28 Bid-YTW : 9.34 % |
| BMO.PR.E | FixedReset Disc | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 21.45 Evaluated at bid price : 21.75 Bid-YTW : 7.65 % |
| TRP.PR.F | FloatingReset | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 14.68 Evaluated at bid price : 14.68 Bid-YTW : 12.31 % |
| TD.PF.I | FixedReset Disc | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 22.84 Evaluated at bid price : 24.02 Bid-YTW : 7.08 % |
| IFC.PR.E | Insurance Straight | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 6.75 % |
| TD.PF.A | FixedReset Disc | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 17.78 Evaluated at bid price : 17.78 Bid-YTW : 8.50 % |
| BN.PF.D | Perpetual-Discount | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 17.73 Evaluated at bid price : 17.73 Bid-YTW : 7.02 % |
| ELF.PR.H | Perpetual-Discount | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 20.67 Evaluated at bid price : 20.67 Bid-YTW : 6.73 % |
| NA.PR.G | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 21.49 Evaluated at bid price : 21.81 Bid-YTW : 7.76 % |
| POW.PR.D | Perpetual-Discount | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 6.78 % |
| BMO.PR.W | FixedReset Disc | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 8.83 % |
| BN.PF.F | FixedReset Disc | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 16.32 Evaluated at bid price : 16.32 Bid-YTW : 10.25 % |
| SLF.PR.G | FixedReset Ins Non | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 13.02 Evaluated at bid price : 13.02 Bid-YTW : 9.43 % |
| BMO.PR.Y | FixedReset Disc | 1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 8.51 % |
| BN.PF.H | FixedReset Disc | 2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 9.36 % |
| TD.PF.C | FixedReset Disc | 2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 8.56 % |
| CCS.PR.C | Insurance Straight | 3.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.68 % |
| TD.PF.B | FixedReset Disc | 4.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 8.51 % |
| RY.PR.S | FixedReset Disc | 5.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 7.92 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.J | FixedReset Disc | 67,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 8.43 % |
| TD.PF.C | FixedReset Disc | 61,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 8.56 % |
| NA.PR.S | FixedReset Disc | 53,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 8.78 % |
| TD.PF.I | FixedReset Disc | 38,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 22.84 Evaluated at bid price : 24.02 Bid-YTW : 7.08 % |
| MFC.PR.L | FixedReset Ins Non | 32,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 17.12 Evaluated at bid price : 17.12 Bid-YTW : 8.91 % |
| BIP.PR.B | FixedReset Disc | 25,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-07-31 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 9.43 % |
| There were 8 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.G | FixedReset Disc | Quote: 15.73 – 17.00 Spot Rate : 1.2700 Average : 0.9362 YTW SCENARIO |
| CU.PR.J | Perpetual-Discount | Quote: 17.61 – 20.00 Spot Rate : 2.3900 Average : 2.1128 YTW SCENARIO |
| FTS.PR.F | Perpetual-Discount | Quote: 19.55 – 20.25 Spot Rate : 0.7000 Average : 0.4785 YTW SCENARIO |
| TRP.PR.A | FixedReset Disc | Quote: 13.50 – 14.50 Spot Rate : 1.0000 Average : 0.7796 YTW SCENARIO |
| MFC.PR.I | FixedReset Ins Non | Quote: 21.03 – 21.55 Spot Rate : 0.5200 Average : 0.3190 YTW SCENARIO |
| IFC.PR.F | Insurance Straight | Quote: 19.75 – 20.65 Spot Rate : 0.9000 Average : 0.7053 YTW SCENARIO |
[…] continue to yield more, in general, than PerpetualDiscounts; on July 31, I reported median YTWs of 8.51% and 6.83%, respectively, for these two indices; compare with mean […]