Sorry this is late!
| 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 | 0.5964 % | 2,496.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5964 % | 4,733.0 |
| Floater | 5.77 % | 6.02 % | 55,380 | 13.84 | 3 | 0.5964 % | 2,727.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0157 % | 3,671.6 |
| SplitShare | 4.75 % | 4.56 % | 84,842 | 3.03 | 5 | -0.0157 % | 4,384.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0157 % | 3,421.1 |
| Perpetual-Premium | 5.70 % | 5.60 % | 555,826 | 6.77 | 7 | -0.4706 % | 3,063.2 |
| Perpetual-Discount | 5.60 % | 5.66 % | 50,079 | 14.38 | 27 | -0.5584 % | 3,382.9 |
| FixedReset Disc | 5.94 % | 5.96 % | 111,826 | 13.74 | 28 | -0.1452 % | 3,172.3 |
| Insurance Straight | 5.45 % | 5.55 % | 67,045 | 14.51 | 22 | -0.0374 % | 3,335.4 |
| FloatingReset | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1452 % | 3,773.8 |
| FixedReset Prem | 5.95 % | 4.31 % | 85,713 | 2.52 | 20 | 0.2340 % | 2,663.5 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1452 % | 3,242.8 |
| FixedReset Ins Non | 5.30 % | 5.47 % | 77,987 | 14.43 | 14 | -0.4778 % | 3,120.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CU.PR.H | Perpetual-Discount | -8.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-10 Maturity Price : 21.83 Evaluated at bid price : 22.07 Bid-YTW : 5.95 % |
| MFC.PR.F | FixedReset Ins Non | -4.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-10 Maturity Price : 18.05 Evaluated at bid price : 18.05 Bid-YTW : 5.99 % |
| IFC.PR.C | FixedReset Ins Non | -3.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-10 Maturity Price : 23.13 Evaluated at bid price : 23.83 Bid-YTW : 5.78 % |
| POW.PR.D | Perpetual-Discount | -2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-10 Maturity Price : 22.42 Evaluated at bid price : 22.68 Bid-YTW : 5.56 % |
| CU.PR.K | Perpetual-Premium | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-10 Maturity Price : 24.16 Evaluated at bid price : 24.53 Bid-YTW : 5.71 % |
| CU.PR.C | FixedReset Disc | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-10 Maturity Price : 23.44 Evaluated at bid price : 23.90 Bid-YTW : 5.54 % |
| POW.PR.C | Perpetual-Premium | -1.13 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2026-03-12 Maturity Price : 25.00 Evaluated at bid price : 25.41 Bid-YTW : -8.83 % |
| BN.PF.E | FixedReset Disc | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-10 Maturity Price : 22.33 Evaluated at bid price : 23.00 Bid-YTW : 5.91 % |
| MFC.PR.N | FixedReset Ins Non | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-10 Maturity Price : 22.80 Evaluated at bid price : 23.90 Bid-YTW : 5.47 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| NA.PR.E | FixedReset Prem | 73,601 | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-05-15 Maturity Price : 25.00 Evaluated at bid price : 25.57 Bid-YTW : 4.75 % |
| CU.PR.H | Perpetual-Discount | 68,425 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-10 Maturity Price : 21.83 Evaluated at bid price : 22.07 Bid-YTW : 5.95 % |
| BN.PF.M | FixedReset Prem | 67,800 | YTW SCENARIO Maturity Type : Call Maturity Date : 2031-01-01 Maturity Price : 25.00 Evaluated at bid price : 26.30 Bid-YTW : 4.74 % |
| BMO.PR.E | FixedReset Prem | 57,805 | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-11-25 Maturity Price : 25.00 Evaluated at bid price : 26.96 Bid-YTW : 3.76 % |
| ENB.PR.J | FixedReset Disc | 50,001 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-10 Maturity Price : 22.43 Evaluated at bid price : 23.00 Bid-YTW : 6.18 % |
| NA.PR.I | FixedReset Prem | 44,700 | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-05-01 Maturity Price : 25.00 Evaluated at bid price : 26.17 Bid-YTW : 5.25 % |
| There were 12 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 |
| CU.PR.H | Perpetual-Discount | Quote: 22.07 – 24.50 Spot Rate : 2.4300 Average : 1.3625 YTW SCENARIO |
| MFC.PR.F | FixedReset Ins Non | Quote: 18.05 – 19.05 Spot Rate : 1.0000 Average : 0.6289 YTW SCENARIO |
| POW.PR.D | Perpetual-Discount | Quote: 22.68 – 23.42 Spot Rate : 0.7400 Average : 0.4448 YTW SCENARIO |
| IFC.PR.C | FixedReset Ins Non | Quote: 23.83 – 24.83 Spot Rate : 1.0000 Average : 0.7628 YTW SCENARIO |
| CU.PR.K | Perpetual-Premium | Quote: 24.53 – 24.94 Spot Rate : 0.4100 Average : 0.2443 YTW SCENARIO |
| BN.PR.Z | FixedReset Disc | Quote: 24.82 – 25.30 Spot Rate : 0.4800 Average : 0.3278 YTW SCENARIO |