I have updated the post ALA.PR.G & ALA.PR.H To Be Extended. I have also updated ENB.PR.Y: 6% Conversion to FloatingReset, ENB.PR.Z to reflect the newly assigned ticker symbol for the FloatingReset. There are numerous other announcements to pass on (as noted in the comments, but I will take care of them in the 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 | -1.5339 % | 2,203.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.5339 % | 4,226.8 |
| Floater | 10.15 % | 10.43 % | 32,607 | 9.10 | 2 | -1.5339 % | 2,435.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2657 % | 3,547.6 |
| SplitShare | 4.69 % | 5.56 % | 29,815 | 1.12 | 4 | 0.2657 % | 4,236.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2657 % | 3,305.6 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0090 % | 2,892.1 |
| Perpetual-Discount | 5.95 % | 6.11 % | 57,821 | 13.69 | 31 | -0.0090 % | 3,153.7 |
| FixedReset Disc | 5.43 % | 6.80 % | 121,271 | 12.71 | 58 | 0.1803 % | 2,687.3 |
| Insurance Straight | 5.83 % | 5.91 % | 68,155 | 14.07 | 20 | -0.2847 % | 3,102.6 |
| FloatingReset | 8.37 % | 8.41 % | 34,638 | 10.85 | 2 | -0.5412 % | 2,767.0 |
| FixedReset Prem | 6.43 % | 5.70 % | 213,370 | 3.88 | 7 | -0.2108 % | 2,574.0 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1803 % | 2,746.9 |
| FixedReset Ins Non | 5.20 % | 6.07 % | 96,070 | 13.86 | 14 | -0.5671 % | 2,826.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.H | FixedReset Ins Non | -9.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 7.13 % |
| MFC.PR.N | FixedReset Ins Non | -6.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.44 % |
| BN.PR.M | Perpetual-Discount | -6.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 6.61 % |
| SLF.PR.C | Insurance Straight | -4.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 19.72 Evaluated at bid price : 19.72 Bid-YTW : 5.65 % |
| BN.PR.B | Floater | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 11.51 Evaluated at bid price : 11.51 Bid-YTW : 10.52 % |
| IFC.PR.I | Insurance Straight | -2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 22.66 Evaluated at bid price : 23.03 Bid-YTW : 5.96 % |
| SLF.PR.J | FloatingReset | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 16.24 Evaluated at bid price : 16.24 Bid-YTW : 8.64 % |
| FFH.PR.K | FixedReset Disc | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 21.56 Evaluated at bid price : 21.95 Bid-YTW : 7.22 % |
| BIP.PR.B | FixedReset Disc | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 23.83 Evaluated at bid price : 24.25 Bid-YTW : 7.55 % |
| PWF.PR.F | Perpetual-Discount | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 21.28 Evaluated at bid price : 21.55 Bid-YTW : 6.16 % |
| TD.PF.I | FixedReset Prem | -1.28 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.52 Bid-YTW : 5.82 % |
| BN.PR.K | Floater | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 11.60 Evaluated at bid price : 11.60 Bid-YTW : 10.43 % |
| PVS.PR.J | SplitShare | 1.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 24.11 Bid-YTW : 5.56 % |
| GWO.PR.N | FixedReset Ins Non | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 14.63 Evaluated at bid price : 14.63 Bid-YTW : 6.94 % |
| MFC.PR.M | FixedReset Ins Non | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 21.70 Evaluated at bid price : 22.10 Bid-YTW : 6.03 % |
| BIP.PR.E | FixedReset Disc | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 22.66 Evaluated at bid price : 23.50 Bid-YTW : 6.51 % |
| CU.PR.J | Perpetual-Discount | 1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 20.38 Evaluated at bid price : 20.38 Bid-YTW : 5.87 % |
| BN.PF.J | FixedReset Disc | 1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 22.93 Evaluated at bid price : 24.00 Bid-YTW : 6.46 % |
| BN.PF.E | FixedReset Disc | 2.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 18.33 Evaluated at bid price : 18.33 Bid-YTW : 7.57 % |
| FFH.PR.G | FixedReset Disc | 3.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 7.57 % |
| MIC.PR.A | Perpetual-Discount | 4.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 6.70 % |
| MFC.PR.F | FixedReset Ins Non | 7.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 16.65 Evaluated at bid price : 16.65 Bid-YTW : 6.26 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PR.R | FixedReset Disc | 37,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 16.78 Evaluated at bid price : 16.78 Bid-YTW : 7.59 % |
| ENB.PR.T | FixedReset Disc | 29,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 7.08 % |
| TD.PF.A | FixedReset Disc | 21,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 23.42 Evaluated at bid price : 24.50 Bid-YTW : 5.32 % |
| ENB.PR.B | FixedReset Disc | 17,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 7.55 % |
| MFC.PR.M | FixedReset Ins Non | 14,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 21.70 Evaluated at bid price : 22.10 Bid-YTW : 6.03 % |
| ENB.PF.E | FixedReset Disc | 12,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-09-03 Maturity Price : 17.92 Evaluated at bid price : 17.92 Bid-YTW : 7.74 % |
| There were 2 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.Y | Insurance Straight | Quote: 19.35 – 22.25 Spot Rate : 2.9000 Average : 1.9642 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 20.40 – 22.25 Spot Rate : 1.8500 Average : 1.1793 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 17.00 – 19.64 Spot Rate : 2.6400 Average : 2.0798 YTW SCENARIO |
| IFC.PR.E | Insurance Straight | Quote: 22.46 – 24.76 Spot Rate : 2.3000 Average : 1.8719 YTW SCENARIO |
| PVS.PR.I | SplitShare | Quote: 24.85 – 25.85 Spot Rate : 1.0000 Average : 0.6192 YTW SCENARIO |
| BN.PR.M | Perpetual-Discount | Quote: 18.35 – 19.70 Spot Rate : 1.3500 Average : 0.9835 YTW SCENARIO |