| 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 | -0.4820 % | 2,194.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4820 % | 4,208.8 |
| Floater | 11.10 % | 11.44 % | 43,304 | 8.40 | 2 | -0.4820 % | 2,425.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0428 % | 3,352.6 |
| SplitShare | 5.03 % | 7.25 % | 43,277 | 2.04 | 8 | 0.0428 % | 4,003.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0428 % | 3,123.8 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3332 % | 2,469.3 |
| Perpetual-Discount | 6.95 % | 7.16 % | 47,984 | 12.33 | 31 | 0.3332 % | 2,692.6 |
| FixedReset Disc | 6.04 % | 9.06 % | 98,322 | 10.64 | 56 | -0.0644 % | 2,073.3 |
| Insurance Straight | 6.89 % | 7.08 % | 53,706 | 12.37 | 18 | 0.2815 % | 2,612.0 |
| FloatingReset | 11.00 % | 11.35 % | 35,647 | 8.46 | 1 | 0.0000 % | 2,431.9 |
| FixedReset Prem | 7.07 % | 7.32 % | 217,645 | 3.61 | 1 | -0.2408 % | 2,287.0 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0644 % | 2,119.3 |
| FixedReset Ins Non | 6.59 % | 8.53 % | 95,781 | 10.98 | 10 | -0.4246 % | 2,244.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BN.PF.H | FixedReset Disc | -3.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 18.01 Evaluated at bid price : 18.01 Bid-YTW : 10.69 % |
| RY.PR.J | FixedReset Disc | -2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 17.41 Evaluated at bid price : 17.41 Bid-YTW : 9.20 % |
| GWO.PR.M | Insurance Straight | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 7.05 % |
| MFC.PR.J | FixedReset Ins Non | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 8.26 % |
| GWO.PR.Y | Insurance Straight | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 16.03 Evaluated at bid price : 16.03 Bid-YTW : 7.17 % |
| IFC.PR.G | FixedReset Ins Non | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 8.53 % |
| RY.PR.Z | FixedReset Disc | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 9.05 % |
| IFC.PR.A | FixedReset Ins Non | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 16.12 Evaluated at bid price : 16.12 Bid-YTW : 8.70 % |
| MFC.PR.I | FixedReset Ins Non | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 8.35 % |
| BMO.PR.E | FixedReset Disc | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 21.45 Evaluated at bid price : 21.75 Bid-YTW : 7.84 % |
| BN.PR.X | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 13.27 Evaluated at bid price : 13.27 Bid-YTW : 10.59 % |
| CU.PR.I | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 9.06 % |
| BN.PF.E | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 11.20 % |
| FTS.PR.K | FixedReset Disc | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 16.54 Evaluated at bid price : 16.54 Bid-YTW : 9.28 % |
| FTS.PR.H | FixedReset Disc | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 12.40 Evaluated at bid price : 12.40 Bid-YTW : 10.17 % |
| MFC.PR.C | Insurance Straight | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 16.46 Evaluated at bid price : 16.46 Bid-YTW : 6.86 % |
| CU.PR.G | Perpetual-Discount | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 6.87 % |
| FTS.PR.F | Perpetual-Discount | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.33 % |
| SLF.PR.E | Insurance Straight | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 17.08 Evaluated at bid price : 17.08 Bid-YTW : 6.72 % |
| FTS.PR.J | Perpetual-Discount | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 6.48 % |
| MFC.PR.L | FixedReset Ins Non | 2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 9.33 % |
| POW.PR.C | Perpetual-Discount | 3.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 21.25 Evaluated at bid price : 21.52 Bid-YTW : 6.84 % |
| SLF.PR.C | Insurance Straight | 6.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 6.68 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.Z | FixedReset Disc | 117,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 9.05 % |
| BN.PR.K | Floater | 114,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 11.37 Evaluated at bid price : 11.37 Bid-YTW : 11.44 % |
| TD.PF.B | FixedReset Disc | 107,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 9.23 % |
| BN.PF.G | FixedReset Disc | 104,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 14.45 Evaluated at bid price : 14.45 Bid-YTW : 11.17 % |
| CU.PR.C | FixedReset Disc | 57,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 17.07 Evaluated at bid price : 17.07 Bid-YTW : 9.04 % |
| BN.PF.B | FixedReset Disc | 49,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-08-28 Maturity Price : 16.02 Evaluated at bid price : 16.02 Bid-YTW : 10.50 % |
| There were 37 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BN.PF.A | FixedReset Disc | Quote: 19.40 – 20.50 Spot Rate : 1.1000 Average : 0.7021 YTW SCENARIO |
| RY.PR.J | FixedReset Disc | Quote: 17.41 – 18.50 Spot Rate : 1.0900 Average : 0.8228 YTW SCENARIO |
| FTS.PR.M | FixedReset Disc | Quote: 16.40 – 16.99 Spot Rate : 0.5900 Average : 0.3475 YTW SCENARIO |
| BIP.PR.B | FixedReset Disc | Quote: 21.12 – 21.95 Spot Rate : 0.8300 Average : 0.5977 YTW SCENARIO |
| CM.PR.T | FixedReset Disc | Quote: 22.55 – 23.40 Spot Rate : 0.8500 Average : 0.6277 YTW SCENARIO |
| CU.PR.I | FixedReset Disc | Quote: 20.05 – 21.99 Spot Rate : 1.9400 Average : 1.7291 YTW SCENARIO |
Ugly day for most prefs yet again. Even on a day with the yields are down big. Just when I thought I was beginning to understand this pref share market.
they are selling prefs to buy tsla…
@Uub
And yet, it is very simple:
– Rates go up = financial or economic crisis on the horizon = sell prefs
– Rates go down = the financial or economic crisis has started = sell prefs.
I hope this comment was useful.
More seriously, it sometimes feels like on a short-term basis, the moves in the pref market have no correlation with what is going on with rates.
Yesterday and today are the ex-dividend dates for a lot of issues.
Liquidity may be a serious factor ìn pricing. I held a lot of ELF preferred shares as a cash “equivalent” for many years as the shares were fully backed by marketable securities. When interest rates collapsed with the onset of COVID I expected to benefit from a substantial rise in the price of the shares I held but this never materialized. I was handed a few shekels more and moved on.