For the first time in a long time, the median YTW for PerpetualDiscounts exceeds that of FixedReset Discounts!
| 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 | -0.2234 % | 2,478.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2234 % | 4,700.2 |
| Floater | 5.81 % | 6.10 % | 58,922 | 13.70 | 3 | -0.2234 % | 2,708.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0633 % | 3,648.6 |
| SplitShare | 4.78 % | 4.30 % | 73,990 | 3.02 | 5 | 0.0633 % | 4,357.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0633 % | 3,399.6 |
| Perpetual-Premium | 5.67 % | 5.56 % | 421,514 | 14.11 | 7 | 0.0510 % | 3,080.1 |
| Perpetual-Discount | 5.61 % | 5.69 % | 50,907 | 14.32 | 27 | 0.5677 % | 3,375.1 |
| FixedReset Disc | 5.88 % | 5.68 % | 125,755 | 13.99 | 28 | 0.1739 % | 3,202.1 |
| Insurance Straight | 5.44 % | 5.56 % | 66,325 | 14.46 | 22 | 0.1872 % | 3,342.3 |
| FloatingReset | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1739 % | 3,809.2 |
| FixedReset Prem | 5.95 % | 4.35 % | 92,030 | 2.48 | 20 | -0.1718 % | 2,665.5 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1739 % | 3,273.2 |
| FixedReset Ins Non | 5.27 % | 5.16 % | 89,487 | 14.84 | 14 | 0.5721 % | 3,139.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| NA.PR.I | FixedReset Prem | -3.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-26 Maturity Price : 23.56 Evaluated at bid price : 25.64 Bid-YTW : 5.55 % |
| RY.PR.S | FixedReset Prem | -1.14 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-02-24 Maturity Price : 25.00 Evaluated at bid price : 26.10 Bid-YTW : 4.35 % |
| ENB.PF.C | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-26 Maturity Price : 22.29 Evaluated at bid price : 22.91 Bid-YTW : 5.89 % |
| PWF.PR.Z | Perpetual-Discount | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-26 Maturity Price : 22.51 Evaluated at bid price : 22.78 Bid-YTW : 5.71 % |
| BN.PF.D | Perpetual-Discount | 2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-26 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.80 % |
| GWO.PR.R | Insurance Straight | 2.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-26 Maturity Price : 21.73 Evaluated at bid price : 21.98 Bid-YTW : 5.54 % |
| MFC.PR.N | FixedReset Ins Non | 2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-26 Maturity Price : 22.92 Evaluated at bid price : 24.15 Bid-YTW : 5.17 % |
| IFC.PR.C | FixedReset Ins Non | 2.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-26 Maturity Price : 24.16 Evaluated at bid price : 24.73 Bid-YTW : 5.41 % |
| MFC.PR.M | FixedReset Ins Non | 2.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-26 Maturity Price : 23.22 Evaluated at bid price : 24.85 Bid-YTW : 5.13 % |
| CU.PR.F | Perpetual-Discount | 2.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-26 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 5.52 % |
| MFC.PR.B | Insurance Straight | 3.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-26 Maturity Price : 21.95 Evaluated at bid price : 22.19 Bid-YTW : 5.24 % |
| CU.PR.H | Perpetual-Discount | 8.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-26 Maturity Price : 24.05 Evaluated at bid price : 24.30 Bid-YTW : 5.42 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PF.A | FixedReset Prem | 59,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-26 Maturity Price : 23.74 Evaluated at bid price : 25.93 Bid-YTW : 5.60 % |
| MFC.PR.N | FixedReset Ins Non | 21,037 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-26 Maturity Price : 22.92 Evaluated at bid price : 24.15 Bid-YTW : 5.17 % |
| MFC.PR.J | FixedReset Ins Non | 20,165 | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 4.98 % |
| CU.PR.D | Perpetual-Discount | 18,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-26 Maturity Price : 21.97 Evaluated at bid price : 22.20 Bid-YTW : 5.54 % |
| GWO.PR.Z | Insurance Straight | 17,580 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-26 Maturity Price : 24.78 Evaluated at bid price : 25.19 Bid-YTW : 5.74 % |
| IFC.PR.F | Insurance Straight | 14,753 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-02-26 Maturity Price : 23.64 Evaluated at bid price : 23.90 Bid-YTW : 5.63 % |
| There were 5 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 |
| ENB.PF.K | FixedReset Prem | Quote: 25.80 – 26.75 Spot Rate : 0.9500 Average : 0.5569 YTW SCENARIO |
| NA.PR.I | FixedReset Prem | Quote: 25.64 – 26.64 Spot Rate : 1.0000 Average : 0.6115 YTW SCENARIO |
| BN.PF.I | FixedReset Prem | Quote: 25.87 – 26.87 Spot Rate : 1.0000 Average : 0.6166 YTW SCENARIO |
| NA.PR.C | FixedReset Prem | Quote: 26.53 – 27.53 Spot Rate : 1.0000 Average : 0.6780 YTW SCENARIO |
| PWF.PR.S | Perpetual-Discount | Quote: 16.61 – 22.07 Spot Rate : 5.4600 Average : 5.2057 YTW SCENARIO |
| FTS.PR.H | FixedReset Disc | Quote: 19.47 – 20.25 Spot Rate : 0.7800 Average : 0.5531 YTW SCENARIO |