A very sleepy day for the Canadian preferred share market!
| 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 | 0.5669 % | 2,406.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5669 % | 4,563.4 |
| Floater | 5.99 % | 6.27 % | 58,302 | 13.44 | 3 | 0.5669 % | 2,629.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1503 % | 3,642.2 |
| SplitShare | 4.79 % | 4.50 % | 73,602 | 3.24 | 5 | -0.1503 % | 4,349.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1503 % | 3,393.7 |
| Perpetual-Premium | 5.69 % | 5.53 % | 72,120 | 6.86 | 7 | -0.1134 % | 3,082.5 |
| Perpetual-Discount | 5.55 % | 5.64 % | 49,223 | 14.40 | 27 | -0.0765 % | 3,375.2 |
| FixedReset Disc | 5.95 % | 5.99 % | 104,134 | 13.65 | 29 | 0.0140 % | 3,065.4 |
| Insurance Straight | 5.46 % | 5.54 % | 57,780 | 14.46 | 21 | 0.6737 % | 3,327.7 |
| FloatingReset | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0140 % | 3,646.6 |
| FixedReset Prem | 5.86 % | 4.91 % | 106,733 | 2.67 | 22 | 0.1005 % | 2,642.1 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0140 % | 3,133.4 |
| FixedReset Ins Non | 5.23 % | 5.32 % | 62,902 | 14.57 | 15 | 0.2969 % | 3,066.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BN.PF.G | FixedReset Disc | -7.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 21.73 Evaluated at bid price : 22.10 Bid-YTW : 6.46 % |
| POW.PR.A | Perpetual-Discount | -4.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 23.63 Evaluated at bid price : 23.90 Bid-YTW : 5.94 % |
| BN.PF.D | Perpetual-Discount | -3.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 6.06 % |
| MFC.PR.N | FixedReset Ins Non | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 22.70 Evaluated at bid price : 23.73 Bid-YTW : 5.31 % |
| IFC.PR.F | Insurance Straight | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 23.56 Evaluated at bid price : 23.85 Bid-YTW : 5.64 % |
| GWO.PR.T | Insurance Straight | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 23.16 Evaluated at bid price : 23.42 Bid-YTW : 5.58 % |
| PWF.PR.A | Floater | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 13.76 Evaluated at bid price : 13.76 Bid-YTW : 5.71 % |
| GWO.PR.M | Insurance Straight | 1.50 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-27 Maturity Price : 25.00 Evaluated at bid price : 25.78 Bid-YTW : -19.67 % |
| IFC.PR.G | FixedReset Ins Non | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 23.60 Evaluated at bid price : 25.45 Bid-YTW : 5.32 % |
| SLF.PR.C | Insurance Straight | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 5.19 % |
| PWF.PR.E | Perpetual-Discount | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 24.18 Evaluated at bid price : 24.44 Bid-YTW : 5.68 % |
| ENB.PR.J | FixedReset Disc | 2.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 21.86 Evaluated at bid price : 22.17 Bid-YTW : 6.20 % |
| MFC.PR.F | FixedReset Ins Non | 3.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 5.69 % |
| BN.PF.B | FixedReset Disc | 3.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 22.86 Evaluated at bid price : 23.85 Bid-YTW : 5.88 % |
| PWF.PF.A | Perpetual-Discount | 6.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 20.43 Evaluated at bid price : 20.43 Bid-YTW : 5.57 % |
| MFC.PR.C | Insurance Straight | 7.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 21.26 Evaluated at bid price : 21.53 Bid-YTW : 5.22 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CU.PR.K | Perpetual-Discount | 487,376 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 24.57 Evaluated at bid price : 24.96 Bid-YTW : 5.63 % |
| BN.PF.M | FixedReset Prem | 118,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2031-01-01 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 5.03 % |
| BN.PR.T | FixedReset Disc | 77,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 20.11 Evaluated at bid price : 20.11 Bid-YTW : 6.26 % |
| POW.PR.I | Perpetual-Discount | 43,016 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 24.62 Evaluated at bid price : 25.02 Bid-YTW : 5.67 % |
| ENB.PF.G | FixedReset Disc | 30,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 21.73 Evaluated at bid price : 22.12 Bid-YTW : 6.24 % |
| IFC.PR.A | FixedReset Ins Non | 30,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2055-11-27 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.39 % |
| 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 |
| BN.PF.G | FixedReset Disc | Quote: 22.10 – 24.34 Spot Rate : 2.2400 Average : 1.3478 YTW SCENARIO |
| POW.PR.A | Perpetual-Discount | Quote: 23.90 – 25.75 Spot Rate : 1.8500 Average : 1.3267 YTW SCENARIO |
| MFC.PR.L | FixedReset Ins Non | Quote: 23.00 – 25.00 Spot Rate : 2.0000 Average : 1.5099 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 20.50 – 22.00 Spot Rate : 1.5000 Average : 1.0814 YTW SCENARIO |
| BN.PF.J | FixedReset Prem | Quote: 25.70 – 26.70 Spot Rate : 1.0000 Average : 0.7108 YTW SCENARIO |
| BN.PF.D | Perpetual-Discount | Quote: 20.60 – 21.75 Spot Rate : 1.1500 Average : 0.8912 YTW SCENARIO |