| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| 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 | 2.0509 % | 2,293.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 2.0509 % | 4,464.4 |
| Floater | 6.96 % | 7.13 % | 62,702 | 12.29 | 2 | 2.0509 % | 2,572.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1087 % | 3,662.3 |
| SplitShare | 4.78 % | 3.74 % | 71,164 | 2.56 | 8 | 0.1087 % | 4,373.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1087 % | 3,412.4 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2358 % | 2,938.5 |
| Perpetual-Discount | 5.85 % | 5.99 % | 48,087 | 13.84 | 33 | -0.2358 % | 3,204.3 |
| FixedReset Disc | 5.62 % | 6.36 % | 128,332 | 12.86 | 46 | -0.0148 % | 2,893.1 |
| Insurance Straight | 5.82 % | 5.85 % | 54,358 | 14.18 | 20 | -0.3511 % | 3,113.4 |
| FloatingReset | 5.60 % | 5.76 % | 45,177 | 14.27 | 3 | -0.0751 % | 3,687.3 |
| FixedReset Prem | 6.08 % | 5.12 % | 118,107 | 3.32 | 12 | -0.1095 % | 2,609.8 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0148 % | 2,957.3 |
| FixedReset Ins Non | 5.16 % | 5.83 % | 65,424 | 14.02 | 14 | 0.3183 % | 2,985.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BN.PR.N | Perpetual-Discount | -9.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.75 % |
| PWF.PR.P | FixedReset Disc | -3.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 6.72 % |
| GWO.PR.S | Insurance Straight | -2.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 21.33 Evaluated at bid price : 21.60 Bid-YTW : 6.08 % |
| BN.PR.M | Perpetual-Discount | -2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 6.55 % |
| IFC.PR.F | Insurance Straight | -2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 22.58 Evaluated at bid price : 22.84 Bid-YTW : 5.91 % |
| ENB.PR.B | FixedReset Disc | -1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 7.38 % |
| PWF.PR.T | FixedReset Disc | -1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 22.16 Evaluated at bid price : 22.65 Bid-YTW : 6.03 % |
| PWF.PR.Z | Perpetual-Discount | -1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 6.07 % |
| BN.PF.B | FixedReset Disc | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 21.80 Evaluated at bid price : 22.15 Bid-YTW : 6.62 % |
| MFC.PR.J | FixedReset Ins Non | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 23.25 Evaluated at bid price : 24.55 Bid-YTW : 5.75 % |
| FFH.PR.G | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 23.40 Evaluated at bid price : 24.30 Bid-YTW : 5.67 % |
| IFC.PR.I | Insurance Straight | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 22.99 Evaluated at bid price : 23.45 Bid-YTW : 5.85 % |
| GWO.PR.P | Insurance Straight | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 23.32 Evaluated at bid price : 23.60 Bid-YTW : 5.72 % |
| IFC.PR.A | FixedReset Ins Non | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 21.41 Evaluated at bid price : 21.75 Bid-YTW : 5.51 % |
| FTS.PR.K | FixedReset Disc | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 21.34 Evaluated at bid price : 21.65 Bid-YTW : 5.96 % |
| ENB.PR.P | FixedReset Disc | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.92 % |
| BN.PR.K | Floater | 1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 12.45 Evaluated at bid price : 12.45 Bid-YTW : 7.13 % |
| PWF.PR.L | Perpetual-Discount | 1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 21.33 Evaluated at bid price : 21.60 Bid-YTW : 5.98 % |
| BN.PR.B | Floater | 2.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 12.43 Evaluated at bid price : 12.43 Bid-YTW : 7.14 % |
| GWO.PR.N | FixedReset Ins Non | 2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 16.67 Evaluated at bid price : 16.67 Bid-YTW : 6.29 % |
| SLF.PR.G | FixedReset Ins Non | 3.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 6.21 % |
| ENB.PR.F | FixedReset Disc | 5.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.94 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| NA.PR.G | FixedReset Prem | 301,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 23.66 Evaluated at bid price : 26.16 Bid-YTW : 5.70 % |
| BN.PR.T | FixedReset Disc | 102,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 18.73 Evaluated at bid price : 18.73 Bid-YTW : 6.93 % |
| BN.PR.R | FixedReset Disc | 100,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 19.02 Evaluated at bid price : 19.02 Bid-YTW : 6.84 % |
| TD.PF.I | FixedReset Prem | 51,900 | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-10-31 Maturity Price : 25.00 Evaluated at bid price : 26.03 Bid-YTW : 4.80 % |
| BMO.PR.E | FixedReset Prem | 37,800 | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-11-25 Maturity Price : 25.00 Evaluated at bid price : 26.19 Bid-YTW : 5.42 % |
| BN.PR.N | Perpetual-Discount | 22,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-06-09 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.75 % |
| There were 8 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| See TMX DataLinx: ‘Last’ != ‘Close’ and the posts linked therein for an idea of why these quotes are so horrible. | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.T | Insurance Straight | Quote: 17.50 – 22.31 Spot Rate : 4.8100 Average : 3.8740 YTW SCENARIO |
| BN.PF.G | FixedReset Disc | Quote: 21.50 – 23.95 Spot Rate : 2.4500 Average : 1.6275 YTW SCENARIO |
| BN.PR.N | Perpetual-Discount | Quote: 18.00 – 19.95 Spot Rate : 1.9500 Average : 1.1770 YTW SCENARIO |
| BN.PR.M | Perpetual-Discount | Quote: 18.55 – 20.00 Spot Rate : 1.4500 Average : 1.1099 YTW SCENARIO |
| CU.PR.H | Perpetual-Discount | Quote: 22.95 – 24.09 Spot Rate : 1.1400 Average : 0.8194 YTW SCENARIO |
| GWO.PR.L | Insurance Straight | Quote: 23.80 – 25.00 Spot Rate : 1.2000 Average : 0.9013 YTW SCENARIO |
Leave a Reply
You must be logged in to post a comment.