Due to scheduled maintenance at the data centre where I rent my server, I am currently unable to produce the daily report. I’ll do it tomorrow morning, promise!
Update, the next morning:
| 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 | 0.9370 % | 2,290.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.9370 % | 4,392.3 |
| Floater | 10.63 % | 10.77 % | 39,680 | 8.94 | 2 | 0.9370 % | 2,531.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0360 % | 3,426.6 |
| SplitShare | 4.91 % | 7.15 % | 50,591 | 1.96 | 7 | 0.0360 % | 4,092.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0360 % | 3,192.8 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2556 % | 2,682.0 |
| Perpetual-Discount | 6.40 % | 6.54 % | 54,180 | 13.14 | 34 | 0.2556 % | 2,924.5 |
| FixedReset Disc | 5.60 % | 7.55 % | 112,829 | 12.15 | 59 | 0.3821 % | 2,346.1 |
| Insurance Straight | 6.29 % | 6.46 % | 76,389 | 13.23 | 20 | -0.0227 % | 2,880.6 |
| FloatingReset | 10.20 % | 10.62 % | 32,552 | 9.05 | 5 | 0.6109 % | 2,634.0 |
| FixedReset Prem | 5.89 % | 6.40 % | 162,311 | 3.34 | 2 | 0.0397 % | 2,531.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3821 % | 2,398.1 |
| FixedReset Ins Non | 5.46 % | 7.16 % | 96,598 | 12.51 | 14 | 0.1598 % | 2,602.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.Y | Insurance Straight | -5.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 6.65 % |
| BMO.PR.Y | FixedReset Disc | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 7.68 % |
| TD.PF.A | FixedReset Disc | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 7.21 % |
| BMO.PR.W | FixedReset Disc | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 7.57 % |
| FTS.PR.M | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 18.49 Evaluated at bid price : 18.49 Bid-YTW : 8.15 % |
| SLF.PR.C | Insurance Straight | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 5.82 % |
| BN.PR.T | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 15.21 Evaluated at bid price : 15.21 Bid-YTW : 8.96 % |
| MFC.PR.B | Insurance Straight | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 6.13 % |
| SLF.PR.G | FixedReset Ins Non | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 14.52 Evaluated at bid price : 14.52 Bid-YTW : 8.10 % |
| BIP.PR.A | FixedReset Disc | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 9.53 % |
| FFH.PR.G | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 16.69 Evaluated at bid price : 16.69 Bid-YTW : 8.68 % |
| IFC.PR.K | Perpetual-Discount | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.33 % |
| FTS.PR.G | FixedReset Disc | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 7.08 % |
| BN.PF.E | FixedReset Disc | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 16.32 Evaluated at bid price : 16.32 Bid-YTW : 9.14 % |
| FTS.PR.J | Perpetual-Discount | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 19.44 Evaluated at bid price : 19.44 Bid-YTW : 6.22 % |
| RY.PR.O | Perpetual-Discount | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 22.17 Evaluated at bid price : 22.50 Bid-YTW : 5.52 % |
| RY.PR.M | FixedReset Disc | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 7.55 % |
| GWO.PR.M | Insurance Straight | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 22.45 Evaluated at bid price : 22.71 Bid-YTW : 6.45 % |
| BN.PR.K | Floater | 1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 11.93 Evaluated at bid price : 11.93 Bid-YTW : 10.77 % |
| BN.PF.G | FixedReset Disc | 2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 8.78 % |
| RY.PR.J | FixedReset Disc | 3.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 20.31 Evaluated at bid price : 20.31 Bid-YTW : 7.53 % |
| BN.PR.X | FixedReset Disc | 4.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 8.46 % |
| FFH.PR.I | FixedReset Disc | 4.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 8.80 % |
| RY.PR.N | Perpetual-Discount | 4.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 22.09 Evaluated at bid price : 22.41 Bid-YTW : 5.55 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.I | FixedReset Disc | 106,010 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 23.11 Evaluated at bid price : 24.55 Bid-YTW : 6.60 % |
| TD.PF.B | FixedReset Disc | 65,344 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 21.22 Evaluated at bid price : 21.22 Bid-YTW : 6.85 % |
| CU.PR.E | Perpetual-Discount | 60,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 19.47 Evaluated at bid price : 19.47 Bid-YTW : 6.41 % |
| CU.PR.C | FixedReset Disc | 45,690 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 7.40 % |
| TD.PF.C | FixedReset Disc | 38,564 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 7.28 % |
| MFC.PR.J | FixedReset Ins Non | 35,505 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-23 Maturity Price : 22.14 Evaluated at bid price : 22.68 Bid-YTW : 6.87 % |
| There were 19 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BN.PR.T | FixedReset Disc | Quote: 15.21 – 17.17 Spot Rate : 1.9600 Average : 1.1328 YTW SCENARIO |
| BN.PR.R | FixedReset Disc | Quote: 14.65 – 15.65 Spot Rate : 1.0000 Average : 0.6813 YTW SCENARIO |
| FFH.PR.F | FloatingReset | Quote: 17.25 – 18.24 Spot Rate : 0.9900 Average : 0.6821 YTW SCENARIO |
| MFC.PR.Q | FixedReset Ins Non | Quote: 22.50 – 23.40 Spot Rate : 0.9000 Average : 0.6134 YTW SCENARIO |
| POW.PR.B | Perpetual-Discount | Quote: 20.48 – 20.99 Spot Rate : 0.5100 Average : 0.3297 YTW SCENARIO |
| PVS.PR.K | SplitShare | Quote: 22.55 – 23.25 Spot Rate : 0.7000 Average : 0.5292 YTW SCENARIO |