I have updated the post ZPR Is Now A Laddered Fund Again! with new data. The page Investigation of ZPR – BMO Laddered Preferred Share Index ETF has been updated with a link to this post.
| 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 | 1.1638 % | 2,238.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.1638 % | 4,292.6 |
| Floater | 9.99 % | 10.28 % | 76,177 | 9.22 | 2 | 1.1638 % | 2,473.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3057 % | 3,538.2 |
| SplitShare | 4.70 % | 5.23 % | 29,502 | 1.13 | 4 | -0.3057 % | 4,225.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3057 % | 3,296.8 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0120 % | 2,892.4 |
| Perpetual-Discount | 5.95 % | 6.08 % | 58,216 | 13.75 | 31 | -0.0120 % | 3,154.0 |
| FixedReset Disc | 5.43 % | 6.76 % | 123,225 | 12.68 | 60 | -0.0577 % | 2,682.4 |
| Insurance Straight | 5.82 % | 5.90 % | 69,128 | 14.05 | 21 | -0.8269 % | 3,111.4 |
| FloatingReset | 8.66 % | 8.66 % | 26,563 | 10.71 | 3 | 0.2432 % | 2,782.1 |
| FixedReset Prem | 6.68 % | 5.66 % | 220,687 | 3.90 | 5 | -0.1923 % | 2,579.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0577 % | 2,742.0 |
| FixedReset Ins Non | 5.17 % | 6.03 % | 99,255 | 13.87 | 14 | 0.0918 % | 2,842.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MIC.PR.A | Perpetual-Discount | -5.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 6.97 % |
| FFH.PR.G | FixedReset Disc | -5.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 17.22 Evaluated at bid price : 17.22 Bid-YTW : 7.83 % |
| BN.PF.E | FixedReset Disc | -2.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 7.70 % |
| CU.PR.J | Perpetual-Discount | -2.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 5.98 % |
| IFC.PR.K | Insurance Straight | -2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 22.06 Evaluated at bid price : 22.40 Bid-YTW : 5.95 % |
| PWF.PR.E | Perpetual-Discount | -1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 22.17 Evaluated at bid price : 22.45 Bid-YTW : 6.19 % |
| CCS.PR.C | Insurance Straight | -1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 21.33 Evaluated at bid price : 21.33 Bid-YTW : 5.97 % |
| GWO.PR.Q | Insurance Straight | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 6.11 % |
| MFC.PR.I | FixedReset Ins Non | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 23.30 Evaluated at bid price : 24.80 Bid-YTW : 5.85 % |
| BN.PR.K | Floater | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 11.72 Evaluated at bid price : 11.72 Bid-YTW : 10.31 % |
| CU.PR.G | Perpetual-Discount | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 5.81 % |
| BIP.PR.B | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.60 Bid-YTW : 6.44 % |
| GWO.PR.H | Insurance Straight | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 5.91 % |
| BN.PR.B | Floater | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 11.75 Evaluated at bid price : 11.75 Bid-YTW : 10.28 % |
| PWF.PR.F | Perpetual-Discount | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 21.59 Evaluated at bid price : 21.85 Bid-YTW : 6.07 % |
| GWO.PR.S | Insurance Straight | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 21.86 Evaluated at bid price : 22.10 Bid-YTW : 5.93 % |
| BN.PR.R | FixedReset Disc | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 7.53 % |
| GWO.PR.R | Insurance Straight | 2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 20.36 Evaluated at bid price : 20.36 Bid-YTW : 5.90 % |
| PWF.PR.R | Perpetual-Discount | 3.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 22.43 Evaluated at bid price : 22.69 Bid-YTW : 6.13 % |
| BN.PR.Z | FixedReset Disc | 5.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 21.92 Evaluated at bid price : 22.26 Bid-YTW : 6.83 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.D | FixedReset Disc | 74,233 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 7.38 % |
| TD.PF.C | FixedReset Disc | 56,269 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 23.18 Evaluated at bid price : 24.00 Bid-YTW : 5.41 % |
| ENB.PR.J | FixedReset Disc | 39,870 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 19.78 Evaluated at bid price : 19.78 Bid-YTW : 7.24 % |
| BN.PR.R | FixedReset Disc | 26,006 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 7.53 % |
| BN.PF.G | FixedReset Disc | 25,718 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 7.55 % |
| IFC.PR.G | FixedReset Ins Non | 16,972 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-08-30 Maturity Price : 22.72 Evaluated at bid price : 23.68 Bid-YTW : 6.03 % |
| There were 2 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MIC.PR.A | Perpetual-Discount | Quote: 19.80 – 21.10 Spot Rate : 1.3000 Average : 0.7643 YTW SCENARIO |
| BN.PR.T | FixedReset Disc | Quote: 16.80 – 18.05 Spot Rate : 1.2500 Average : 0.8005 YTW SCENARIO |
| FFH.PR.G | FixedReset Disc | Quote: 17.22 – 18.22 Spot Rate : 1.0000 Average : 0.5958 YTW SCENARIO |
| IFC.PR.E | Insurance Straight | Quote: 22.52 – 24.30 Spot Rate : 1.7800 Average : 1.4025 YTW SCENARIO |
| CU.PR.J | Perpetual-Discount | Quote: 20.00 – 20.86 Spot Rate : 0.8600 Average : 0.6016 YTW SCENARIO |
| BIP.PR.E | FixedReset Disc | Quote: 23.10 – 23.95 Spot Rate : 0.8500 Average : 0.6287 YTW SCENARIO |