So on the one hand, this is very late and that makes me sad. On the other hand, I had an excellent dinner last night with a dear friend and that makes me happy. So call it a wash.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| 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 | -0.9342 % | 2,151.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.9342 % | 4,127.3 |
| Floater | 11.32 % | 11.52 % | 54,873 | 8.45 | 2 | -0.9342 % | 2,378.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4956 % | 3,277.4 |
| SplitShare | 5.10 % | 8.63 % | 40,446 | 1.90 | 7 | 0.4956 % | 3,913.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4956 % | 3,053.8 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0603 % | 2,447.2 |
| Perpetual-Discount | 7.01 % | 7.16 % | 41,498 | 12.39 | 31 | 0.0603 % | 2,668.6 |
| FixedReset Disc | 6.11 % | 9.34 % | 102,377 | 10.55 | 55 | -0.0913 % | 2,091.5 |
| Insurance Straight | 6.89 % | 7.06 % | 59,015 | 12.47 | 16 | 0.1225 % | 2,609.0 |
| FloatingReset | 11.06 % | 11.27 % | 36,228 | 8.61 | 1 | -0.1326 % | 2,422.3 |
| FixedReset Prem | 4.76 % | 5.30 % | 391,600 | 0.12 | 1 | 0.0401 % | 2,298.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0913 % | 2,138.0 |
| FixedReset Ins Non | 6.27 % | 9.17 % | 65,149 | 10.83 | 14 | -0.3905 % | 2,265.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.P | FixedReset Disc | -3.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 11.95 Evaluated at bid price : 11.95 Bid-YTW : 10.76 % |
| MFC.PR.F | FixedReset Ins Non | -3.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 12.95 Evaluated at bid price : 12.95 Bid-YTW : 9.71 % |
| GWO.PR.N | FixedReset Ins Non | -1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 12.40 Evaluated at bid price : 12.40 Bid-YTW : 9.81 % |
| RY.PR.J | FixedReset Disc | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 17.35 Evaluated at bid price : 17.35 Bid-YTW : 9.58 % |
| RY.PR.S | FixedReset Disc | -1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 20.13 Evaluated at bid price : 20.13 Bid-YTW : 8.40 % |
| MFC.PR.I | FixedReset Ins Non | -1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 19.06 Evaluated at bid price : 19.06 Bid-YTW : 9.06 % |
| BN.PR.X | FixedReset Disc | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 12.85 Evaluated at bid price : 12.85 Bid-YTW : 11.08 % |
| RY.PR.M | FixedReset Disc | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 9.64 % |
| BN.PR.K | Floater | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 11.12 Evaluated at bid price : 11.12 Bid-YTW : 11.55 % |
| BN.PR.R | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 12.67 Evaluated at bid price : 12.67 Bid-YTW : 11.52 % |
| RY.PR.H | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 9.01 % |
| SLF.PR.D | Insurance Straight | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 6.58 % |
| BN.PF.E | FixedReset Disc | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 11.28 % |
| FTS.PR.F | Perpetual-Discount | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 6.54 % |
| SLF.PR.E | Insurance Straight | 2.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 6.62 % |
| BMO.PR.F | FixedReset Disc | 2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 23.29 Evaluated at bid price : 24.00 Bid-YTW : 8.14 % |
| PVS.PR.J | SplitShare | 2.56 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 21.20 Bid-YTW : 8.85 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.L | FixedReset Ins Non | 137,301 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 8.95 % |
| BN.PF.E | FixedReset Disc | 122,002 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 14.25 Evaluated at bid price : 14.25 Bid-YTW : 11.28 % |
| CM.PR.Q | FixedReset Disc | 104,901 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 17.31 Evaluated at bid price : 17.31 Bid-YTW : 9.37 % |
| IFC.PR.A | FixedReset Ins Non | 71,815 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 9.17 % |
| IFC.PR.C | FixedReset Ins Non | 49,322 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 9.40 % |
| PWF.PF.A | Perpetual-Discount | 34,301 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-10-17 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 7.16 % |
| There were 15 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.F | Perpetual-Discount | Quote: 16.49 – 18.28 Spot Rate : 1.7900 Average : 1.3295 YTW SCENARIO |
| MFC.PR.Q | FixedReset Ins Non | Quote: 19.30 – 19.81 Spot Rate : 0.5100 Average : 0.3744 YTW SCENARIO |
| BNS.PR.I | FixedReset Disc | Quote: 21.65 – 22.05 Spot Rate : 0.4000 Average : 0.2735 YTW SCENARIO |
| RY.PR.O | Perpetual-Discount | Quote: 20.30 – 20.93 Spot Rate : 0.6300 Average : 0.5166 YTW SCENARIO |
| FTS.PR.J | Perpetual-Discount | Quote: 18.03 – 18.40 Spot Rate : 0.3700 Average : 0.2614 YTW SCENARIO |
| RY.PR.S | FixedReset Disc | Quote: 20.13 – 20.50 Spot Rate : 0.3700 Average : 0.2661 YTW SCENARIO |