A nice pop in the market at the end of the day, presumably caused by reinvestment of CM.PR.P and TD.PF.C redemption money.
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 | 0.1964 % | 2,332.1 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1964 % | 4,473.0 |
Floater | 7.13 % | 7.39 % | 36,882 | 12.04 | 4 | 0.1964 % | 2,577.8 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2581 % | 3,633.4 |
SplitShare | 4.76 % | 4.70 % | 44,691 | 0.16 | 8 | -0.2581 % | 4,339.0 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2581 % | 3,385.5 |
Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1650 % | 2,922.1 |
Perpetual-Discount | 5.88 % | 6.02 % | 58,425 | 13.86 | 32 | 0.1650 % | 3,186.4 |
FixedReset Disc | 5.31 % | 6.48 % | 111,419 | 13.06 | 50 | 0.4436 % | 2,864.9 |
Insurance Straight | 5.85 % | 5.93 % | 69,124 | 13.98 | 21 | -0.3287 % | 3,096.4 |
FloatingReset | 6.03 % | 6.10 % | 40,060 | 13.70 | 3 | -0.1290 % | 3,406.9 |
FixedReset Prem | 5.69 % | 5.39 % | 174,902 | 3.37 | 12 | 0.2268 % | 2,589.5 |
FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4436 % | 2,928.5 |
FixedReset Ins Non | 5.09 % | 5.78 % | 73,765 | 13.92 | 14 | 0.6115 % | 2,970.1 |
Performance Highlights | |||
Issue | Index | Change | Notes |
GWO.PR.T | Insurance Straight | -19.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 7.48 % |
BN.PF.E | FixedReset Disc | -4.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 19.76 Evaluated at bid price : 19.76 Bid-YTW : 7.01 % |
FTS.PR.H | FixedReset Disc | -1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 16.91 Evaluated at bid price : 16.91 Bid-YTW : 6.48 % |
PVS.PR.J | SplitShare | -1.59 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 5.02 % |
CU.PR.E | Perpetual-Discount | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 20.72 Evaluated at bid price : 20.72 Bid-YTW : 6.03 % |
GWO.PR.H | Insurance Straight | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 6.07 % |
BN.PF.D | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.20 % |
FTS.PR.K | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 6.17 % |
CU.PR.C | FixedReset Disc | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 21.38 Evaluated at bid price : 21.70 Bid-YTW : 6.23 % |
GWO.PR.I | Insurance Straight | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 19.67 Evaluated at bid price : 19.67 Bid-YTW : 5.80 % |
SLF.PR.D | Insurance Straight | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 20.54 Evaluated at bid price : 20.54 Bid-YTW : 5.49 % |
GWO.PR.R | Insurance Straight | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.93 % |
PWF.PR.F | Perpetual-Discount | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 21.70 Evaluated at bid price : 21.95 Bid-YTW : 6.01 % |
CCS.PR.C | Insurance Straight | 1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 21.51 Evaluated at bid price : 21.77 Bid-YTW : 5.80 % |
SLF.PR.G | FixedReset Ins Non | 2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 17.73 Evaluated at bid price : 17.73 Bid-YTW : 6.09 % |
ENB.PF.E | FixedReset Disc | 3.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 7.16 % |
GWO.PR.L | Insurance Straight | 3.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 23.74 Evaluated at bid price : 24.05 Bid-YTW : 5.94 % |
IFC.PR.G | FixedReset Ins Non | 3.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 23.08 Evaluated at bid price : 24.38 Bid-YTW : 5.76 % |
FFH.PR.E | FixedReset Disc | 20.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 21.60 Evaluated at bid price : 21.60 Bid-YTW : 5.94 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
ENB.PF.A | FixedReset Disc | 55,732 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 20.38 Evaluated at bid price : 20.38 Bid-YTW : 7.05 % |
FFH.PR.H | FloatingReset | 55,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 22.51 Evaluated at bid price : 22.80 Bid-YTW : 6.10 % |
ENB.PR.P | FixedReset Disc | 34,688 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 6.90 % |
FTS.PR.G | FixedReset Disc | 32,122 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 22.14 Evaluated at bid price : 22.62 Bid-YTW : 5.97 % |
RY.PR.J | FixedReset Disc | 28,524 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 23.97 Evaluated at bid price : 24.74 Bid-YTW : 5.67 % |
GWO.PR.H | Insurance Straight | 28,285 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-01-31 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 6.07 % |
There were 39 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 – 22.00 Spot Rate : 4.5000 Average : 3.0222 YTW SCENARIO |
BN.PR.T | FixedReset Disc | Quote: 19.26 – 20.40 Spot Rate : 1.1400 Average : 0.6942 YTW SCENARIO |
BN.PF.E | FixedReset Disc | Quote: 19.76 – 21.10 Spot Rate : 1.3400 Average : 0.9229 YTW SCENARIO |
IFC.PR.I | Insurance Straight | Quote: 23.00 – 23.85 Spot Rate : 0.8500 Average : 0.5169 YTW SCENARIO |
BN.PR.B | Floater | Quote: 12.47 – 12.97 Spot Rate : 0.5000 Average : 0.2828 YTW SCENARIO |
BN.PF.I | FixedReset Disc | Quote: 24.55 – 25.09 Spot Rate : 0.5400 Average : 0.3412 YTW SCENARIO |
[…] general, than PerpetualDiscounts although the spread has narrowed considerably in the past year; on January 31, I reported median YTWs of 6.48% and 6.02%, respectively, for these two indices; compare with mean […]