| 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 | -0.3384 % | 2,246.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3384 % | 4,309.1 |
| Floater | 9.95 % | 10.14 % | 27,343 | 9.40 | 2 | -0.3384 % | 2,483.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0272 % | 3,526.2 |
| SplitShare | 4.74 % | 6.58 % | 26,676 | 1.19 | 6 | -0.0272 % | 4,211.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0272 % | 3,285.6 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5733 % | 2,813.5 |
| Perpetual-Discount | 6.12 % | 6.25 % | 60,172 | 13.53 | 28 | 0.5733 % | 3,067.9 |
| FixedReset Disc | 5.15 % | 6.86 % | 126,102 | 12.56 | 47 | 0.6746 % | 2,643.5 |
| Insurance Straight | 6.02 % | 6.17 % | 66,129 | 13.63 | 20 | 0.7709 % | 3,010.9 |
| FloatingReset | 8.99 % | 8.84 % | 28,053 | 10.50 | 4 | 0.0770 % | 2,789.6 |
| FixedReset Prem | 6.27 % | 5.64 % | 266,119 | 2.94 | 6 | 0.2768 % | 2,543.1 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6746 % | 2,702.2 |
| FixedReset Ins Non | 5.18 % | 6.37 % | 107,507 | 13.38 | 14 | 0.8588 % | 2,834.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.B | Insurance Straight | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.06 % |
| CU.PR.E | Perpetual-Discount | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 6.18 % |
| BN.PR.R | FixedReset Disc | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 16.26 Evaluated at bid price : 16.26 Bid-YTW : 8.09 % |
| CU.PR.D | Perpetual-Discount | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 20.08 Evaluated at bid price : 20.08 Bid-YTW : 6.22 % |
| TD.PF.D | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 23.35 Evaluated at bid price : 23.90 Bid-YTW : 6.12 % |
| BN.PR.M | Perpetual-Discount | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 6.32 % |
| GWO.PR.I | Insurance Straight | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 6.07 % |
| BIP.PR.F | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 21.99 Evaluated at bid price : 22.48 Bid-YTW : 7.03 % |
| TD.PF.J | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 23.21 Evaluated at bid price : 24.80 Bid-YTW : 5.91 % |
| BN.PF.H | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 23.20 Evaluated at bid price : 23.65 Bid-YTW : 7.64 % |
| NA.PR.E | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 23.11 Evaluated at bid price : 24.55 Bid-YTW : 5.88 % |
| MFC.PR.J | FixedReset Ins Non | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 23.01 Evaluated at bid price : 24.27 Bid-YTW : 6.14 % |
| BMO.PR.Y | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 23.48 Evaluated at bid price : 24.00 Bid-YTW : 5.98 % |
| IFC.PR.G | FixedReset Ins Non | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 22.35 Evaluated at bid price : 23.00 Bid-YTW : 6.42 % |
| FFH.PR.H | FloatingReset | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 9.46 % |
| PWF.PR.E | Perpetual-Discount | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 21.86 Evaluated at bid price : 22.10 Bid-YTW : 6.26 % |
| GWO.PR.Q | Insurance Straight | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 6.17 % |
| BN.PF.J | FixedReset Disc | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 22.57 Evaluated at bid price : 23.30 Bid-YTW : 6.84 % |
| MFC.PR.L | FixedReset Ins Non | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 21.88 Evaluated at bid price : 22.35 Bid-YTW : 6.25 % |
| BIP.PR.E | FixedReset Disc | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 22.67 Evaluated at bid price : 23.55 Bid-YTW : 6.80 % |
| IFC.PR.C | FixedReset Ins Non | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 6.80 % |
| IFC.PR.I | Insurance Straight | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 22.00 Evaluated at bid price : 22.32 Bid-YTW : 6.11 % |
| CU.PR.C | FixedReset Disc | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 7.07 % |
| BN.PR.N | Perpetual-Discount | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 6.34 % |
| BIP.PR.B | FixedReset Disc | 1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 23.85 Evaluated at bid price : 24.25 Bid-YTW : 7.85 % |
| MFC.PR.M | FixedReset Ins Non | 1.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 21.63 Evaluated at bid price : 22.00 Bid-YTW : 6.37 % |
| FTS.PR.G | FixedReset Disc | 1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 21.61 Evaluated at bid price : 21.90 Bid-YTW : 6.49 % |
| PWF.PR.R | Perpetual-Discount | 1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 22.01 Evaluated at bid price : 22.24 Bid-YTW : 6.22 % |
| FTS.PR.K | FixedReset Disc | 2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 19.91 Evaluated at bid price : 19.91 Bid-YTW : 6.86 % |
| GWO.PR.G | Insurance Straight | 2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 6.17 % |
| BN.PF.C | Perpetual-Discount | 2.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.31 % |
| SLF.PR.C | Insurance Straight | 2.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 19.83 Evaluated at bid price : 19.83 Bid-YTW : 5.68 % |
| GWO.PR.Y | Insurance Straight | 3.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 6.15 % |
| PWF.PR.S | Perpetual-Discount | 4.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.20 % |
| BN.PF.A | FixedReset Disc | 5.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 21.76 Evaluated at bid price : 22.12 Bid-YTW : 7.24 % |
| BN.PF.E | FixedReset Disc | 6.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 18.08 Evaluated at bid price : 18.08 Bid-YTW : 7.95 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| POW.PR.G | Perpetual-Discount | 111,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 22.12 Evaluated at bid price : 22.40 Bid-YTW : 6.31 % |
| FTS.PR.M | FixedReset Disc | 72,277 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 19.93 Evaluated at bid price : 19.93 Bid-YTW : 7.25 % |
| MFC.PR.L | FixedReset Ins Non | 62,399 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 21.88 Evaluated at bid price : 22.35 Bid-YTW : 6.25 % |
| CM.PR.Q | FixedReset Disc | 60,591 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 23.46 Evaluated at bid price : 24.00 Bid-YTW : 6.09 % |
| CM.PR.S | FixedReset Disc | 59,065 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 24.78 Evaluated at bid price : 24.78 Bid-YTW : 5.83 % |
| MFC.PR.M | FixedReset Ins Non | 57,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-01 Maturity Price : 21.63 Evaluated at bid price : 22.00 Bid-YTW : 6.37 % |
| There were 21 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.C | FixedReset Disc | Quote: 20.05 – 21.88 Spot Rate : 1.8300 Average : 1.1666 YTW SCENARIO |
| POW.PR.B | Perpetual-Discount | Quote: 21.57 – 22.75 Spot Rate : 1.1800 Average : 0.8453 YTW SCENARIO |
| BN.PF.I | FixedReset Disc | Quote: 22.75 – 24.00 Spot Rate : 1.2500 Average : 0.9423 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 21.99 – 22.96 Spot Rate : 0.9700 Average : 0.6646 YTW SCENARIO |
| MFC.PR.B | Insurance Straight | Quote: 19.50 – 20.26 Spot Rate : 0.7600 Average : 0.5309 YTW SCENARIO |
| RY.PR.M | FixedReset Disc | Quote: 23.56 – 24.10 Spot Rate : 0.5400 Average : 0.3310 YTW SCENARIO |
ENB.PR.Y should have reset based on 5 GOC yesterday, I marked it at just above 3.xx + spread. Resets getting their respect now, many above par….has been a long and patient ride out of ZIRP. Nice holdings on a day like today!
reset today 2.908+. news release on their website
Funny how this all works:
BX TMBMKCA-05Y, 5:15 PM close = 3.021
Right, always someone in admin looking for a reason to earn their paygrade.
Right, always someone in admin looking for a reason to earn their paygrade.
Calculation time is 10am. I was watching … I don’t want to swear to every digit of the 2.908% GOC-5 rate they used (what with the official data source being Bloomberg and all), but it’s about right.