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 | 0.1616 % | 2,368.1 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1616 % | 4,542.0 |
Floater | 10.16 % | 10.27 % | 43,849 | 9.36 | 1 | 0.1616 % | 2,617.6 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2332 % | 3,441.0 |
SplitShare | 4.89 % | 6.99 % | 35,021 | 1.81 | 7 | 0.2332 % | 4,109.2 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2332 % | 3,206.2 |
Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4162 % | 2,680.1 |
Perpetual-Discount | 6.41 % | 6.57 % | 45,430 | 13.09 | 31 | 0.4162 % | 2,922.5 |
FixedReset Disc | 5.31 % | 6.89 % | 108,320 | 12.21 | 59 | 0.2879 % | 2,490.2 |
Insurance Straight | 6.29 % | 6.45 % | 49,522 | 13.30 | 22 | 0.5497 % | 2,858.2 |
FloatingReset | 9.91 % | 10.21 % | 28,675 | 9.40 | 3 | 0.4509 % | 2,619.5 |
FixedReset Prem | 6.88 % | 6.69 % | 147,309 | 3.16 | 1 | 0.0392 % | 2,536.2 |
FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2879 % | 2,545.5 |
FixedReset Ins Non | 5.40 % | 7.21 % | 73,833 | 12.60 | 14 | -0.1502 % | 2,630.9 |
Performance Highlights | |||
Issue | Index | Change | Notes |
SLF.PR.C | Insurance Straight | -5.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 17.72 Evaluated at bid price : 17.72 Bid-YTW : 6.32 % |
MFC.PR.I | FixedReset Ins Non | -2.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 21.86 Evaluated at bid price : 22.20 Bid-YTW : 7.17 % |
IFC.PR.K | Insurance Straight | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 20.21 Evaluated at bid price : 20.21 Bid-YTW : 6.54 % |
MFC.PR.F | FixedReset Ins Non | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 15.08 Evaluated at bid price : 15.08 Bid-YTW : 7.63 % |
CU.PR.I | FixedReset Disc | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 21.71 Evaluated at bid price : 22.17 Bid-YTW : 7.89 % |
GWO.PR.T | Insurance Straight | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 20.10 Evaluated at bid price : 20.10 Bid-YTW : 6.45 % |
BN.PF.C | Perpetual-Discount | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 18.22 Evaluated at bid price : 18.22 Bid-YTW : 6.70 % |
SLF.PR.E | Insurance Straight | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 5.99 % |
PWF.PR.G | Perpetual-Discount | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 22.49 Evaluated at bid price : 22.75 Bid-YTW : 6.60 % |
BN.PR.N | Perpetual-Discount | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 17.96 Evaluated at bid price : 17.96 Bid-YTW : 6.66 % |
PWF.PR.L | Perpetual-Discount | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 6.57 % |
CM.PR.S | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 22.99 Evaluated at bid price : 22.99 Bid-YTW : 6.50 % |
RY.PR.N | Perpetual-Discount | 1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 22.21 Evaluated at bid price : 22.50 Bid-YTW : 5.50 % |
TD.PF.A | FixedReset Disc | 2.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 22.91 Evaluated at bid price : 23.62 Bid-YTW : 6.12 % |
TD.PF.B | FixedReset Disc | 3.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 22.94 Evaluated at bid price : 23.81 Bid-YTW : 6.14 % |
GWO.PR.Y | Insurance Straight | 3.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 6.33 % |
IAF.PR.B | Insurance Straight | 9.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 5.24 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
CM.PR.Q | FixedReset Disc | 55,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 22.56 Evaluated at bid price : 23.00 Bid-YTW : 6.56 % |
BN.PF.F | FixedReset Disc | 51,951 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 19.02 Evaluated at bid price : 19.02 Bid-YTW : 8.43 % |
PWF.PR.E | Perpetual-Discount | 41,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 21.37 Evaluated at bid price : 21.37 Bid-YTW : 6.56 % |
BMO.PR.S | FixedReset Disc | 41,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 23.19 Evaluated at bid price : 24.29 Bid-YTW : 6.08 % |
BMO.PR.E | FixedReset Disc | 34,856 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 23.16 Evaluated at bid price : 24.93 Bid-YTW : 6.43 % |
BMO.PR.T | FixedReset Disc | 30,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-03-28 Maturity Price : 23.06 Evaluated at bid price : 23.89 Bid-YTW : 6.06 % |
There were 9 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
IFC.PR.K | Insurance Straight | Quote: 20.21 – 21.25 Spot Rate : 1.0400 Average : 0.6221 YTW SCENARIO |
SLF.PR.C | Insurance Straight | Quote: 17.72 – 19.05 Spot Rate : 1.3300 Average : 0.9430 YTW SCENARIO |
PVS.PR.K | SplitShare | Quote: 22.40 – 23.20 Spot Rate : 0.8000 Average : 0.5227 YTW SCENARIO |
BN.PF.E | FixedReset Disc | Quote: 16.58 – 17.12 Spot Rate : 0.5400 Average : 0.3407 YTW SCENARIO |
MFC.PR.I | FixedReset Ins Non | Quote: 22.20 – 22.82 Spot Rate : 0.6200 Average : 0.4628 YTW SCENARIO |
BIP.PR.F | FixedReset Disc | Quote: 20.90 – 21.40 Spot Rate : 0.5000 Average : 0.3649 YTW SCENARIO |
[…] than PerpetualDiscounts although the spread has narrowed considerably in the past month; on March 28, I reported median YTWs of 6.89% and 6.57%, respectively, for these two indices; compare with mean […]