I have updated the post regarding the GWO new issue.
| 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 | 6.65 % | 7.10 % | 35,150 | 13.33 | 1 | 0.6098 % | 2,465.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1769 % | 4,634.8 |
| Floater | 6.22 % | 6.50 % | 68,082 | 13.24 | 3 | 0.1769 % | 2,671.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1125 % | 3,635.5 |
| SplitShare | 4.82 % | 4.57 % | 58,681 | 3.38 | 6 | -0.1125 % | 4,341.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1125 % | 3,387.5 |
| Perpetual-Premium | 5.49 % | 4.92 % | 78,743 | 14.02 | 3 | 0.0000 % | 3,076.4 |
| Perpetual-Discount | 5.64 % | 5.74 % | 47,002 | 14.20 | 28 | 0.4075 % | 3,333.5 |
| FixedReset Disc | 5.93 % | 6.06 % | 121,337 | 13.66 | 32 | -0.0769 % | 3,023.8 |
| Insurance Straight | 5.57 % | 5.59 % | 55,898 | 14.54 | 18 | -0.2091 % | 3,250.6 |
| FloatingReset | 5.04 % | 4.57 % | 48,717 | 0.11 | 1 | 0.0400 % | 3,767.2 |
| FixedReset Prem | 5.69 % | 5.00 % | 119,112 | 2.40 | 21 | 0.0130 % | 2,617.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0769 % | 3,091.0 |
| FixedReset Ins Non | 5.27 % | 5.50 % | 61,257 | 14.48 | 15 | 1.9508 % | 3,042.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BN.PR.T | FixedReset Disc | -5.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 6.62 % |
| PWF.PR.O | Perpetual-Discount | -3.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 23.93 Evaluated at bid price : 24.17 Bid-YTW : 6.09 % |
| BN.PR.N | Perpetual-Discount | -3.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 5.97 % |
| GWO.PR.S | Insurance Straight | -3.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 22.33 Evaluated at bid price : 22.60 Bid-YTW : 5.82 % |
| SLF.PR.C | Insurance Straight | -2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.32 % |
| CU.PR.J | Perpetual-Discount | -2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.71 % |
| FTS.PR.M | FixedReset Disc | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 22.65 Evaluated at bid price : 23.60 Bid-YTW : 5.63 % |
| GWO.PR.G | Insurance Straight | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 22.99 Evaluated at bid price : 23.26 Bid-YTW : 5.60 % |
| PWF.PR.E | Perpetual-Discount | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 23.84 Evaluated at bid price : 24.09 Bid-YTW : 5.79 % |
| SLF.PR.D | Insurance Straight | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 21.28 Evaluated at bid price : 21.28 Bid-YTW : 5.25 % |
| SLF.PR.G | FixedReset Ins Non | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 18.69 Evaluated at bid price : 18.69 Bid-YTW : 5.64 % |
| BN.PF.G | FixedReset Disc | 1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 22.18 Evaluated at bid price : 22.82 Bid-YTW : 6.16 % |
| PWF.PR.K | Perpetual-Discount | 2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 21.31 Evaluated at bid price : 21.58 Bid-YTW : 5.81 % |
| FTS.PR.K | FixedReset Disc | 2.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 22.24 Evaluated at bid price : 22.75 Bid-YTW : 5.47 % |
| GWO.PR.P | Insurance Straight | 3.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 23.63 Evaluated at bid price : 23.90 Bid-YTW : 5.66 % |
| BN.PR.Z | FixedReset Disc | 4.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 23.08 Evaluated at bid price : 23.96 Bid-YTW : 6.02 % |
| GWO.PR.N | FixedReset Ins Non | 9.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 17.44 Evaluated at bid price : 17.44 Bid-YTW : 5.81 % |
| CU.PR.G | Perpetual-Discount | 30.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 5.56 % |
| IFC.PR.A | FixedReset Ins Non | 32.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 21.63 Evaluated at bid price : 22.05 Bid-YTW : 5.14 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.S | FixedReset Prem | 93,090 | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 5.00 % |
| FFH.PR.G | FixedReset Prem | 74,045 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-10-30 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 4.66 % |
| BN.PF.B | FixedReset Disc | 44,915 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 22.64 Evaluated at bid price : 23.47 Bid-YTW : 5.92 % |
| PVS.PR.M | SplitShare | 35,800 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2031-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.11 Bid-YTW : 5.13 % |
| RY.PR.M | FixedReset Disc | 32,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-11-24 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 3.05 % |
| SLF.PR.H | FixedReset Ins Non | 30,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-19 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.62 % |
| There were 7 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 |
| BN.PR.T | FixedReset Disc | Quote: 18.80 – 20.70 Spot Rate : 1.9000 Average : 1.2001 YTW SCENARIO |
| BIP.PR.F | FixedReset Prem | Quote: 22.90 – 25.44 Spot Rate : 2.5400 Average : 1.9627 YTW SCENARIO |
| CU.PR.H | Perpetual-Discount | Quote: 22.88 – 26.58 Spot Rate : 3.7000 Average : 3.1784 YTW SCENARIO |
| GWO.PR.S | Insurance Straight | Quote: 22.60 – 23.80 Spot Rate : 1.2000 Average : 0.7236 YTW SCENARIO |
| PWF.PR.O | Perpetual-Discount | Quote: 24.17 – 25.30 Spot Rate : 1.1300 Average : 0.6622 YTW SCENARIO |
| SLF.PR.C | Insurance Straight | Quote: 21.00 – 22.00 Spot Rate : 1.0000 Average : 0.6425 YTW SCENARIO |