| 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 | -0.2675 % | 2,161.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2675 % | 4,145.8 |
| Floater | 11.27 % | 11.37 % | 54,316 | 8.57 | 2 | -0.2675 % | 2,389.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.8764 % | 3,330.4 |
| SplitShare | 5.07 % | 8.28 % | 44,410 | 2.23 | 7 | -0.8764 % | 3,977.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.8764 % | 3,103.1 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1078 % | 2,485.4 |
| Perpetual-Discount | 6.87 % | 7.07 % | 43,404 | 12.46 | 33 | 0.1078 % | 2,710.2 |
| FixedReset Disc | 5.96 % | 9.18 % | 100,999 | 10.61 | 55 | 0.4855 % | 2,113.4 |
| Insurance Straight | 6.86 % | 6.96 % | 58,211 | 12.63 | 17 | 0.1079 % | 2,622.2 |
| FloatingReset | 11.26 % | 11.40 % | 39,266 | 8.55 | 1 | 3.1579 % | 2,364.4 |
| FixedReset Prem | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4855 % | 2,316.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4855 % | 2,160.4 |
| FixedReset Ins Non | 6.56 % | 8.64 % | 122,275 | 11.07 | 11 | -0.0521 % | 2,286.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CU.PR.D | Perpetual-Discount | -6.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 16.69 Evaluated at bid price : 16.69 Bid-YTW : 7.45 % |
| PVS.PR.G | SplitShare | -2.32 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2026-02-28 Maturity Price : 25.00 Evaluated at bid price : 23.20 Bid-YTW : 8.44 % |
| PVS.PR.H | SplitShare | -1.94 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 7.97 % |
| PVS.PR.J | SplitShare | -1.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 7.48 % |
| PWF.PR.T | FixedReset Disc | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 9.04 % |
| BN.PF.G | FixedReset Disc | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 14.28 Evaluated at bid price : 14.28 Bid-YTW : 11.57 % |
| BIK.PR.A | FixedReset Disc | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 9.93 % |
| RY.PR.Z | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 17.99 Evaluated at bid price : 17.99 Bid-YTW : 9.06 % |
| CU.PR.F | Perpetual-Discount | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 16.49 Evaluated at bid price : 16.49 Bid-YTW : 6.92 % |
| CU.PR.E | Perpetual-Discount | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 17.94 Evaluated at bid price : 17.94 Bid-YTW : 6.93 % |
| BN.PF.H | FixedReset Disc | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 10.30 % |
| FTS.PR.G | FixedReset Disc | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 19.02 Evaluated at bid price : 19.02 Bid-YTW : 8.46 % |
| POW.PR.D | Perpetual-Discount | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 18.16 Evaluated at bid price : 18.16 Bid-YTW : 6.92 % |
| SLF.PR.J | FloatingReset | 3.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 14.70 Evaluated at bid price : 14.70 Bid-YTW : 11.40 % |
| BN.PF.A | FixedReset Disc | 32.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 18.68 Evaluated at bid price : 18.68 Bid-YTW : 9.76 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.Z | FixedReset Disc | 88,134 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 17.99 Evaluated at bid price : 17.99 Bid-YTW : 9.06 % |
| TD.PF.E | FixedReset Disc | 81,639 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 9.27 % |
| GWO.PR.N | FixedReset Ins Non | 75,676 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 12.62 Evaluated at bid price : 12.62 Bid-YTW : 9.66 % |
| BN.PF.G | FixedReset Disc | 60,632 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 14.28 Evaluated at bid price : 14.28 Bid-YTW : 11.57 % |
| BMO.PR.T | FixedReset Disc | 57,493 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 17.27 Evaluated at bid price : 17.27 Bid-YTW : 9.37 % |
| CM.PR.O | FixedReset Disc | 56,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-09-29 Maturity Price : 17.81 Evaluated at bid price : 17.81 Bid-YTW : 9.05 % |
| There were 13 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| POW.PR.B | Perpetual-Discount | Quote: 19.12 – 23.00 Spot Rate : 3.8800 Average : 2.2035 YTW SCENARIO |
| CU.PR.D | Perpetual-Discount | Quote: 16.69 – 18.05 Spot Rate : 1.3600 Average : 0.7840 YTW SCENARIO |
| CU.PR.C | FixedReset Disc | Quote: 17.25 – 18.60 Spot Rate : 1.3500 Average : 0.7995 YTW SCENARIO |
| PVS.PR.G | SplitShare | Quote: 23.20 – 24.02 Spot Rate : 0.8200 Average : 0.5370 YTW SCENARIO |
| BN.PR.N | Perpetual-Discount | Quote: 16.30 – 17.00 Spot Rate : 0.7000 Average : 0.4363 YTW SCENARIO |
| GWO.PR.I | Insurance Straight | Quote: 16.45 – 17.80 Spot Rate : 1.3500 Average : 1.1063 YTW SCENARIO |
[…] continue to yield more, in general, than PerpetualDiscounts; on September 29, I reported median YTWs of 9.18% and 7.07%, respectively, for these two indices; compare with mean […]