Great news! I’ve made the switchover to the “December Revision” of the HIMIPref™ Preferred Indices for daily reporting purposes. While this may not mean a lot to you, it is very important to me, since the tables are prepared programmatically.
There’s some problems: inclusion of dividend effects is haphazard at best and for some reason the tables on daily performance and volume are getting the index assignments wrong, but I’ll figure out how to address these quirks shortly. The main thing is: I can now push a button and get my damn reports output by HIMIPref™ as nice clean HTML code … or at least, it will be clean once I get some other quirks ironed out.
This will save me considerable time!
And – oh, yeah – the market was up again today. But then, the market always goes up, doesn’t it?
| These values reflect the December 2008 Revision of the HIMIPref™ Indices Effects of dividends are not incorporated into the daily updates at this time. |
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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 | 7.16 % | 7.65 % | 31,187 | 13.36 | 2 | 8.3712 % | 862.3 |
| FixedFloater | 7.81% | 7.68 % | 153,247 | 13.13 | 8 | 4.5619% | 1,309.2 |
| Floater | 5.94 % | 5.61 % | 34,403 | 14.53 | 4 | 4.1898% | 1,028.0 |
| OpRet | 5.42 % | 4.80 % | 127,701 | 4.05 | 15 | 0.3454% | 1,974.7 |
| SplitShare | 6.31 % | 10.23 % | 75,880 | 4.18 | 15 | 0.2140 % | 1,762.7 |
| Interest-Bearing | 7.55 % | 15.94 % | 48,596 | 0.94 | 2 | 2.0126 % | 1,873.1 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 2.5183 % | 1,504.4 |
| Perpetual-Discount | 7.09 % | 7.20 % | 245,625 | 12.35 | 71 | 2.5183 % | 1,385.5 |
| FixedReset | 5.90 % | 4.79 % | 789,307 | 15.32 | 18 | 0.4754% | 1,801.9 |
| Issue | Index | Change | Notes |
| IAG.PR.A | PerpetualPremium | -3.24 % | Now with a pre-tax bid-YTW of 7.62% based on a bid of 15.25 and a limitMaturity. Closing quote of 15.25-17.49 (!) 2×2. No trades. |
| WFS.PR.A | SplitShare | -2.00 % | Asset coverage of 1.2-:1 as of Dec. 22 according to Mulvihill. Now with a pre-tax bid-YTW of 10.93% based on a bid of 8.81 and a hardMaturity 2011-6-30 at 10.00. Closing quote of 8.81-17, 3×1. No Trades. |
| CM.PR.R | OpRet | -1.52 % | Now with a pre-tax bid-YTW of 4.80% based on a bid of 25.21 and a softMaturity 2013-4-29 at 25.00. Closing quote of 25.21-99, 8×5. No trades. |
| IAG.PR.C | FixedReset | -1.50 % | |
| SBN.PR.A | SplitShare | -1.08 % | Asset coverage of 1.6-:1 as of December 22 according to Mulvihill. Now with a pre-tax bid-YTW of 7.11% based on a bid of 9.15 and a hardMaturity 2014-12-1 at 10.00. Closing quote of 9.15-48, 18×3. No trades. |
| CM.PR.H | PerpetualDiscount | 1.09 % | Now with a pre-tax bid-YTW of 7.23% based on a bid of 16.66 and a limitMaturity. Closing quote of 16.66-81, 1×1. Day’s range of 16.50-96. |
| BNS.PR.R | FixedReset | 1.14 % | |
| CM.PR.K | FixedReset | 1.16 % | |
| BNA.PR.B | SplitShare | 1.20 % | Asset coverage of 1.8+:1 based on BAM.A at 18.81 and 2.4 BAM.A per preferred. Now with a pre-tax bid-YTW of 8.67% based on a bid of 20.25 and a hardMaturity 2016-3-25 at 25.00. Closing quote of 20.25-74, 5×1. No trades. |
| LBS.PR.A | SplitShare | 1.26 % | Asset coverage of 1.4-:1 as of December 31 according to Brompton Group. Now with a pre-tax bid-YTW of 10.46% based on a bid of 8.05 and a hardMaturity 2013-11-29 at 10.00. Closing quote of 8.05-46, 199×1. No trades. |
| RY.PR.D | PerpetualDiscount | 1.27 % | Now with a pre-tax bid-YTW of 6.53% based on a bid of 17.52 and a limitMaturity. Closing quote of 17.52-01, 1×2. Day’s range of 17.55-75. |
| ALB.PR.A | SplitShare | 1.32 % | Asset coverage of 1.1+:1 as of December 23 according to Scotia. Now with a pre-tax bid-YTW of 16.09% based on a bid of 19.91 and a hardMaturity 2011-2-28 at 25.00. Closing quote of 19.91-89, 40×1. No trades. |
| CU.PR.A | PerpetualDiscount | 1.33 % | Now with a pre-tax bid-YTW of 6.91% based on a bid of 21.30 and a limitMaturity. Closing quote of 21.30-75, 5×2. Day’s range of 21.25-72. |
| CM.PR.D | PerpetualDiscount | 1.40 % | Now with a pre-tax bid-YTW of 7.39% based on a bid of 19.53 and a limitMaturity. Closing quote of 19.53-75, 2×3. Day’s range of 19.10-75. |
| BNS.PR.M | PerpetualDiscount | 1.47% | Now with a pre-tax bid-YTW of 6.63% based on a bid of 17.02 and a limitMaturity. Closing quote of 17.02-42, 3×3. Day’s range of 16.57-42. |
| RY.PR.C | PerpetualDiscount | 1.54 % | Now with a pre-tax bid-YTW of 6.58% based on a bid of 17.78 and a limitMaturity. Closing quote of 17.02-42, 3×3. Day’s range of 16.57-42. |
| W.PR.J | PerpetualDiscount | 1.57 % | Now with a pre-tax bid-YTW of 8.38% based on a bid of 16.83 and a limitMaturity. Closing quote of 16.83-55, 4×1. No trades. |
| RY.PR.B | PerpetualDiscount | 1.90% | Now with a pre-tax bid-YTW of 6.54% based on a bid of 18.26 and a limitMaturity. Closing quote of 18.26-45, 9×8. Day’s range of 18.00-45. |
| BNS.PR.J | PerpetualDiscount | 1.93% | Now with a pre-tax bid-YTW of 6.70% based on a bid of 19.65 and a limitMaturity. Closing quote of 19.65-80, 20×3. Day’s range of 19.43-80. |
| RY.PR.W | PerpetualDiscount | 2.01 % | Now with a pre-tax bid-YTW of 6.45% based on a bid of 19.30 and a limitMaturity. Closing quote of 19.30-49, 10×9. Day’s range of 19.25-35. |
| TCA.PR.Y | PerpetualDiscount | 2.01% | Now with a pre-tax bid-YTW of 6.67% based on a bid of 42.10 and a limitMaturity. Closing quote of 42.10-62, 7×6. Day’s range of 41.42-42.63. |
| NA.PR.N | FixedReset | 2.08 % | |
| CM.PR.E | PerpetualDiscount | 2.11 % | Now with a pre-tax bid-YTW of 7.26% based on a bid of 19.35 and a limitMaturity. Closing quote of 19.35-39, 1×2. Day’s range of 19.35-49. |
| HSB.PR.D | PerpetualDiscount | 2.23% | Now with a pre-tax bid-YTW of 7.46% based on a bid of 16.93 and a limitMaturity. Closing quote of 16.93-25, 13×1. Day’s range of 16.85-39 |
| CM.PR.G | PerpetualDiscount | 2.23 % | Now with a pre-tax bid-YTW of 7.22% based on a bid of 18.76 and a limitMaturity. Closing quote of 18.76-80, 1×5. Day’s range of 18.39-00. |
| ELF.PR.G | PerpetualDiscount | 2.34 % | Now with a pre-tax bid-YTW of 8.54% based on a bid of 14.00 and a limitMaturity. Closing quote of 14.00-71, 6×8. Day’s range of 14.00-75. |
| CL.PR.B | PerpetualDiscount | 2.41 % | Now with a pre-tax bid-YTW of 7.43% based on a bid of 21.25 and a limitMaturity. Closing quote of 21.25-49, 2×2. Day’s range of 21.24-48. |
| BNS.PR.N | PerpetualDiscount | 2.43% | Now with a pre-tax bid-YTW of 6.65% based on a bid of 19.80 and a limitMaturity. Closing quote of 19.80-00, 5×8. Day’s range of 19.80-00. |
| BAM.PR.K | Floater | 2.54 % | |
| BNS.PR.Q | FixedReset | 2.62% | |
| BMO.PR.H | PerpetualDiscount | 2.65 % | Now with a pre-tax bid-YTW of 7.09% based on a bid of 19.01 and a limitMaturity. Closing quote of 19.01-40, 7×3. Day’s range of 18.65-40. |
| BMO.PR.K | PerpetualDiscount | 2.65 % | Now with a pre-tax bid-YTW of 7.02% based on a bid of 19.00 and a limitMaturity. Closing quote of 19.00-35, 1×5. Day’s range of 18.75-00. |
| ELF.PR.F | PerpetualDiscount | 2.65 % | Now with a pre-tax bid-YTW of 8.61% based on a bid of 15.50 and a limitMaturity. Closing quote of 15.50-00, 1×10. Day’s range of 15.50-86. |
| RY.PR.I | FixedReset | 2.67 % | |
| RY.PR.F | PerpetualDiscount | 2.69 % | Now with a pre-tax bid-YTW of 6.58% based on a bid of 17.20 and a limitMaturity. Closing quote of 17.20-42, 3×5. Day’s range of 17.00-40. |
| TD.PR.R | PerpetualDiscount | 2.69 % | Now with a pre-tax bid-YTW of 6.83% based on a bid of 20.96 and a limitMaturity. Closing quote of 20.96-34, 2×2. Day’s range of 20.60-21.64. |
| GWO.PR.F | PerpetualDiscount | 2.72% | Now with a pre-tax bid-YTW of 7.43% based on a bid of 20.05 and a limitMaturity. Closing quote of 20.05-50, 2×10. Day’s range of 20.00-20.00. |
| POW.PR.A | PerpetualDiscount | 2.79% | Now with a pre-tax bid-YTW of 7.49% based on a bid of 18.81 and a limitMaturity. Closing quote of 18.80-19.90 (!), 5×1. Day’s range of 18.72-19.85. |
| POW.PR.C | PerpetualDiscount | 2.85% | Now with a pre-tax bid-YTW of 7.22% based on a bid of 20.21 and a limitMaturity. Closing quote of 20.21-74, 3×2. Day’s range of 20.14-70. |
| CM.PR.P | PerpetualDiscount | 2.93 % | Now with a pre-tax bid-YTW of 7.28% based on a bid of 18.95 and a limitMaturity. Closing quote of 18.95-00, 21×25. Day’s range of 18.50-24. |
| TD.PR.A | FixedReset | 2.94 % | |
| PWF.PR.I | PerpetualDiscount | 2.96 % | Now with a pre-tax bid-YTW of 7.75% based on a bid of 19.82 and a limitMaturity. Closing quote of 19.82-21.40 (!), 3×2. Day’s range of 19.24-21.40 (!). |
| PWF.PR.F | PerpetualDiscount | 2.97 % | Now with a pre-tax bid-YTW of 7.59% based on a bid of 17.71 and a limitMaturity. Closing quote of 17.71-19.99 (!!) 1×3. Day’s range of 17.70-20.00 (!). |
| BNA.PR.C | SplitShare | 2.97 % | Asset coverage of 1.8+:1 based on BAM.A at 18.81 and 2.4 BAM.A per preferred. Now with a pre-tax bid-YTW of 19.06% based on a bid of 9.01 and a hardMaturity 2019-1-10. Closing quote of 9.01-94, 18×8. Day’s range of 9.00-20. |
| PWF.PR.A | Floater | 3.12 % | |
| RY.PR.A | PerpetualDiscount | 3.26 % | Now with a pre-tax bid-YTW of 6.36% based on a bid of 17.76 and a limitMaturity. Closing quote of 17.76-00, 2×7. Day’s range of 17.39-00. |
| TRI.PR.B | Floater | 3.29 % | |
| BMO.PR.J | PerpetualDiscount | 3.30 % | Now with a pre-tax bid-YTW of 6.89% based on a bid of 16.60 and a limitMaturity. Closing quote of 16.60-63, 2×5. Day’s range of 16.25-60. |
| TD.PR.Q | PerpetualDiscount | 3.40 % | Now with a pre-tax bid-YTW of 6.71% based on a bid of 21.30 and a limitMaturity. Closing quote of 21.30-92, 2×9. Day’s range of 21.50-70. |
| RY.PR.E | PerpetualDiscount | 3.46 % | Now with a pre-tax bid-YTW of 6.59% based on a bid of 17.36 and a limitMaturity. Closing quote of 17.36-54, 10.8. Day’s range of 16.99-46. |
| CIU.PR.A | PerpetualDiscount | 3.52% | Now with a pre-tax bid-YTW of 7.81% based on a bid of 14.99 and a limitMaturity. Closing quote of 14.99-25, 3×1. Day’s range of 14.98-99. |
| BAM.PR.N | PerpetualDiscount | 3.65% | Now with a pre-tax bid-YTW of 11.17% based on a bid of 10.79 and a limitMaturity. Closing quote of 10.79-15, 5×2. Day’s range of 10.49-15. |
| GWO.PR.G | PerpetualDiscount | 3.70% | Now with a pre-tax bid-YTW of 6.98% based on a bid of 18.79 and a limitMaturity. Closing quote of 18.79-90, 1×6. Day’s range of 18.55-29. |
| POW.PR.D | PerpetualDiscount | 3.70% | Now with a pre-tax bid-YTW of 7.36% based on a bid of 17.09 and a limitMaturity. Closing quote of 17.09-49, 4×18. Day’s range of 16.50-18.01. |
| BCE.PR.A | FixedFloater | 3.87 % | |
| BNS.PR.L | PerpetualDiscount | 4.04% | Now with a pre-tax bid-YTW of 6.54% based on a bid of 17.26 and a limitMaturity. Closing quote of 17.26-64, 5×13. Day’s range of 17.24-25. |
| PWF.PR.L | PerpetualDiscount | 4.05% | Now with a pre-tax bid-YTW of 7.59% based on a bid of 17.21 and a limitMaturity. Closing quote of 17.21-00, 5×10. Day’s range of 17.10-25. |
| RY.PR.G | PerpetualDiscount | 4.15 % | Now with a pre-tax bid-YTW of 6.51% based on a bid of 17.56 and a limitMaturity. Closing quote of 17.56-70, 1×5. Day’s range of 16.90-70. |
| BNS.PR.K | PerpetualDiscount | 4.24% | Now with a pre-tax bid-YTW of 6.63% based on a bid of 18.15 and a limitMaturity. Closing quote of 18.15-24, 5×9. Day’s range of 17.53-15. |
| FBS.PR.B | SplitShare | 4.25 % | Asset coverage of 1.1+:1 as of December 31, according to TD Securities. Now with a pre-tax bid-YTW of 12.87% based on a bid of 8.10 and a hardMaturity 2011-12-15 at 10.00. Closing quote of 8.10-49, 50×20. Day’s range of 7.61-10. |
| NA.PR.K | PerpetualDiscount | 4.29 % | Now with a pre-tax bid-YTW of 7.59% based on a bid of 19.67 and a limitMaturity. Closing quote of 19.67-39, 2×2. Day’s range of 19.95-39. |
| PWF.PR.K | PerpetualDiscount | 4.36% | Now with a pre-tax bid-YTW of 7.45% based on a bid of 17.01 and a limitMaturity. Closing quote of 17.01-25, 5×9. Day’s range of 16.83-50. |
| BAM.PR.M | PerpetualDiscount | 4.41% | Now with a pre-tax bid-YTW of 11.32% based on a bid of 10.65 and a limitMaturity. Closing quote of 10.65-98, 1×3. Day’s range of 10.40-98. |
| BCE.PR.Z | FixedFloater | 4.45 % | |
| TD.PR.O | PerpetualDiscount | 4.45% | Now with a pre-tax bid-YTW of 6.60% based on a bid of 18.76 and a limitMaturity. Closing quote of 18.76-10, 3×7. Day’s range of 17.85-19.14. |
| BMO.PR.L | PerpetualDiscount | 4.49% | Now with a pre-tax bid-YTW of 7.20% based on a bid of 20.50 and a limitMaturity. Closing quote of 20.50-00, 5×20. Day’s range of 20.75-19. |
| PWF.PR.G | PerpetualDiscount | 4.79% | Now with a pre-tax bid-YTW of 7.58% based on a bid of 19.91 and a limitMaturity. Closing quote of 19.91-21.99 (!!) 1×5. Day’s range of 19.40-00. |
| SLF.PR.B | PerpetualDiscount | 4.87 % | Now with a pre-tax bid-YTW of 7.21% based on a bid of 16.81 and a limitMaturity. Closing quote of 16.81-19, 3×10. Day’s range of 16.45-20. |
| SLF.PR.E | PerpetualDiscount | 4.87 % | Now with a pre-tax bid-YTW of 7.13% based on a bid of 15.92 and a limitMaturity. Closing quote of 15.92-15, 12×17. Day’s range of 16.15-38. |
| PWF.PR.E | PerpetualDiscount | 5.11% | Now with a pre-tax bid-YTW of 7.61% based on a bid of 18.50 and a limitMaturity. Closing quote of 18.50-00, 5×10. Day’s range of 17.99-50. |
| NA.PR.L | PerpetualDiscount | 5.20 % | Now with a pre-tax bid-YTW of 7.55% based on a bid of 16.39 and a limitMaturity. Closing quote of 16.39-83, 3×23. Day’s range of 16.21-80. |
| BCE.PR.G | FixedFloater | 5.36 % | |
| MFC.PR.B | PerpetualDisco unt |
5.57% | Now with a pre-tax bid-YTW of 6.32% based on a bid of 18.59 and a limitMaturity. Closing quote of 18.59-89, 2×1. Day’s range of 17.84-18.89. |
| BCE.PR.R | FixedFloater | 5.76 % | |
| FIG.PR.A | InterestBearing | 6.12% | Asset coverage of 1.1+:1 as of December 31, based on Capital Unit Value of 1.75 and 0.71 Capital Units per preferred. Now with a pre-tax bid-YTW of 13.56% based on a bid of 7.11 and a hardMaturity 2014-12-31 at 10.00. Closing quote of 7.11-49, 3×3. Day’s range of 7.34-35. |
| BCE.PR.Y | Ratchet | 6.13 % | |
| TD.PR.P | PerpetualDiscount | 6.33% | Now with a pre-tax bid-YTW of 6.38% based on a bid of 21.00 and a limitMaturity. Closing quote of 21.00-20, 8×40. Day’s range of 20.35-21.49. |
| GWO.PR.H | PerpetualDiscount | 6.34% | Now with a pre-tax bid-YTW of 7.38% based on a bid of 16.60 and a limitMaturity. Closing quote of 16.60-93, 5×10. Day’s range of 16.30-95. |
| PWF.PR.H | PerpetualDiscount | 6.50 % | Now with a pre-tax bid-YTW of 7.55% based on a bid of 19.50 and a limitMaturity. Closing quote of 19.50-20, 1×15. Day’s range of 18.99-50. |
| NA.PR.M | PerpetualDiscount | 6.78 % | Now with a pre-tax bid-YTW of 7.20% based on a bid of 21.25 and a limitMaturity. Closing quote of 21.25-40, 40×7. Day’s range of 20.45-21.75. |
| BCE.PR.C | FixedFloater | 7.25 % | |
| BAM.PR.B | Floater | 8.21 % | |
| BAM.PR.J | OpRet | 8.52 % | Now with a pre-tax bid-YTW of 11.76% based on a bid of 16.30 and a softMaturity 2018-3-30 at 25.00. Closing quote of 16.30-88, 5×18. Day’s range of 15.80-16.88. |
| POW.PR.B | PerpetualDiscount | 8.81% | Now with a pre-tax bid-YTW of 7.27% based on a bid of 18.52 and a limitMaturity. Closing quote of 18.52-15, 2×3. Day’s range of 17.49-18.96. |
| BCE.PR.I | FixedFloater | 8.96 % | |
| BCE.PR.S | Ratchet | 10.56 % |
| Issue | Index | Shares Traded |
Notes |
| CM.PR.P | PerpetualDiscount | 24,520 | Now with a pre-tax bid-YTW of 7.28% based on a bid of 18.95 and a limitMaturity. |
| POW.PR.D | PerpetualDiscount | 22,200 | Now with a pre-tax bid-YTW of 7.36% based on a bid of 17.09 and a limitMaturity. |
| CM.PR.H | PerpetualDiscount | 20,100 | Now with a pre-tax bid-YTW of 7.23% based on a bid of 16.66 and a limitMaturity. |
| BMO.PR.J | PerpetualDiscount | 18,575 | Now with a pre-tax bid-YTW of 6.89% based on a bid of 16.60 and a limitMaturity. |
| RY.PR.G | PerpetualDiscount | 17,940 | Now with a pre-tax bid-YTW of 6.51% based on a bid of 17.56 and a limitMaturity. |
There were twelve other index-included $25-p.v.-equivalent issues trading over 10,000 shares today.