| 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 | 6.73 % | 7.16 % | 29,098 | 13.34 | 1 | 0.0000 % | 2,420.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1529 % | 4,582.2 |
| Floater | 6.30 % | 6.58 % | 60,728 | 13.12 | 3 | -0.1529 % | 2,640.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0528 % | 3,651.0 |
| SplitShare | 4.80 % | 4.44 % | 62,057 | 3.36 | 6 | 0.0528 % | 4,360.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0528 % | 3,401.9 |
| Perpetual-Premium | 5.53 % | -2.98 % | 89,000 | 0.08 | 4 | 0.0991 % | 3,089.5 |
| Perpetual-Discount | 5.59 % | 5.66 % | 46,713 | 14.33 | 28 | -0.0283 % | 3,363.0 |
| FixedReset Disc | 5.89 % | 6.00 % | 128,099 | 13.74 | 32 | 0.0863 % | 3,042.6 |
| Insurance Straight | 5.52 % | 5.55 % | 54,728 | 14.54 | 18 | -0.2617 % | 3,276.1 |
| FloatingReset | 5.22 % | 5.24 % | 41,563 | 15.09 | 1 | -3.9616 % | 3,619.4 |
| FixedReset Prem | 5.66 % | 4.95 % | 125,966 | 2.41 | 21 | 0.0260 % | 2,630.7 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0863 % | 3,110.1 |
| FixedReset Ins Non | 5.24 % | 5.40 % | 59,227 | 14.51 | 15 | 0.1456 % | 3,060.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.Q | Insurance Straight | -4.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-30 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 5.88 % |
| FFH.PR.H | FloatingReset | -3.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-30 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 5.24 % |
| BN.PF.C | Perpetual-Discount | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-30 Maturity Price : 20.46 Evaluated at bid price : 20.46 Bid-YTW : 5.97 % |
| MFC.PR.L | FixedReset Ins Non | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-30 Maturity Price : 22.80 Evaluated at bid price : 23.82 Bid-YTW : 5.35 % |
| MFC.PR.C | Insurance Straight | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-30 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 5.36 % |
| CU.PR.E | Perpetual-Discount | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-30 Maturity Price : 22.18 Evaluated at bid price : 22.46 Bid-YTW : 5.50 % |
| IFC.PR.C | FixedReset Ins Non | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-30 Maturity Price : 23.19 Evaluated at bid price : 23.75 Bid-YTW : 5.57 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.S | FixedReset Prem | 135,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 4.95 % |
| FFH.PR.G | FixedReset Prem | 79,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-30 Maturity Price : 23.91 Evaluated at bid price : 24.99 Bid-YTW : 5.29 % |
| SLF.PR.E | Insurance Straight | 32,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-30 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 5.35 % |
| ENB.PR.D | FixedReset Disc | 24,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-30 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 6.33 % |
| ENB.PR.Y | FixedReset Disc | 23,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-30 Maturity Price : 20.27 Evaluated at bid price : 20.27 Bid-YTW : 6.47 % |
| TD.PF.A | FixedReset Disc | 23,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-09-30 Maturity Price : 23.27 Evaluated at bid price : 25.09 Bid-YTW : 4.94 % |
| There were 21 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 |
| FFH.PR.H | FloatingReset | Quote: 24.00 – 25.00 Spot Rate : 1.0000 Average : 0.5304 YTW SCENARIO |
| PVS.PR.H | SplitShare | Quote: 25.14 – 26.14 Spot Rate : 1.0000 Average : 0.5621 YTW SCENARIO |
| GWO.PR.Q | Insurance Straight | Quote: 22.00 – 24.20 Spot Rate : 2.2000 Average : 1.8124 YTW SCENARIO |
| MFC.PR.B | Insurance Straight | Quote: 21.53 – 22.50 Spot Rate : 0.9700 Average : 0.5891 YTW SCENARIO |
| BN.PF.I | FixedReset Prem | Quote: 25.08 – 26.08 Spot Rate : 1.0000 Average : 0.6389 YTW SCENARIO |
| CU.PR.F | Perpetual-Discount | Quote: 20.40 – 21.75 Spot Rate : 1.3500 Average : 0.9974 YTW SCENARIO |
[…] continue to yield slightly more, in general, than PerpetualDiscounts; on September 30, I reported median YTWs of 6.00% and 5.66%, respectively, for these two indices; compare with mean […]