Here’s a shout-out to the New Orleans Seafood and Steakhouse where I had a friendly dinner tonight. This one’s going on my list, for sure!
| 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 | -0.3740 % | 2,636.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3740 % | 4,965.0 |
| Floater | 5.48 % | 5.60 % | 37,552 | 14.52 | 3 | -0.3740 % | 2,861.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0793 % | 3,632.2 |
| SplitShare | 4.80 % | 4.99 % | 63,379 | 2.65 | 5 | 0.0793 % | 4,337.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0793 % | 3,384.4 |
| Perpetual-Premium | 5.67 % | -7.94 % | 57,094 | 0.09 | 7 | 0.1464 % | 3,090.9 |
| Perpetual-Discount | 5.50 % | 5.54 % | 42,668 | 14.60 | 27 | 0.2560 % | 3,435.5 |
| FixedReset Disc | 5.59 % | 5.80 % | 103,271 | 14.02 | 19 | 0.0243 % | 3,401.6 |
| Insurance Straight | 5.37 % | 5.44 % | 48,389 | 14.71 | 20 | 0.0712 % | 3,348.2 |
| FloatingReset | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0243 % | 4,153.4 |
| FixedReset Prem | 5.88 % | 4.36 % | 79,164 | 2.16 | 29 | 0.1488 % | 2,673.7 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0243 % | 3,477.1 |
| FixedReset Ins Non | 5.23 % | 5.04 % | 55,140 | 3.09 | 14 | 0.0794 % | 3,265.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| ENB.PF.E | FixedReset Disc | -4.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-22 Maturity Price : 22.61 Evaluated at bid price : 23.46 Bid-YTW : 6.17 % |
| MFC.PR.K | FixedReset Ins Non | -2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-22 Maturity Price : 23.74 Evaluated at bid price : 25.60 Bid-YTW : 5.37 % |
| MFC.PR.B | Insurance Straight | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-22 Maturity Price : 22.69 Evaluated at bid price : 22.93 Bid-YTW : 5.12 % |
| PWF.PR.A | Floater | -1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-22 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 5.47 % |
| ELF.PR.H | Perpetual-Discount | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-22 Maturity Price : 24.21 Evaluated at bid price : 24.50 Bid-YTW : 5.64 % |
| NA.PR.E | FixedReset Prem | 1.15 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-05-15 Maturity Price : 25.00 Evaluated at bid price : 26.35 Bid-YTW : 2.56 % |
| BN.PR.T | FixedReset Disc | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-22 Maturity Price : 22.77 Evaluated at bid price : 23.42 Bid-YTW : 5.80 % |
| FTS.PR.F | Perpetual-Discount | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-22 Maturity Price : 23.58 Evaluated at bid price : 23.85 Bid-YTW : 5.20 % |
| BN.PF.D | Perpetual-Discount | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-22 Maturity Price : 21.70 Evaluated at bid price : 21.95 Bid-YTW : 5.63 % |
| BN.PF.A | FixedReset Prem | 1.24 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-09-30 Maturity Price : 25.00 Evaluated at bid price : 26.20 Bid-YTW : 4.64 % |
| IFC.PR.F | Insurance Straight | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-22 Maturity Price : 24.20 Evaluated at bid price : 24.50 Bid-YTW : 5.45 % |
| BN.PF.M | FixedReset Prem | 1.31 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2031-01-01 Maturity Price : 25.00 Evaluated at bid price : 26.20 Bid-YTW : 4.55 % |
| IFC.PR.K | Insurance Straight | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-22 Maturity Price : 24.01 Evaluated at bid price : 24.50 Bid-YTW : 5.39 % |
| MFC.PR.C | Insurance Straight | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-22 Maturity Price : 21.78 Evaluated at bid price : 22.02 Bid-YTW : 5.16 % |
| GWO.PR.N | FixedReset Ins Non | 1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-22 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 5.43 % |
| ENB.PR.P | FixedReset Disc | 2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-22 Maturity Price : 23.43 Evaluated at bid price : 24.95 Bid-YTW : 5.75 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MIC.PR.A | Perpetual-Discount | 200,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-22 Maturity Price : 23.32 Evaluated at bid price : 23.70 Bid-YTW : 5.74 % |
| BN.PF.A | FixedReset Prem | 53,800 | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-09-30 Maturity Price : 25.00 Evaluated at bid price : 26.20 Bid-YTW : 4.64 % |
| CU.PR.J | Perpetual-Discount | 38,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-22 Maturity Price : 21.66 Evaluated at bid price : 22.01 Bid-YTW : 5.46 % |
| GWO.PF.A | Perpetual-Premium | 25,935 | YTW SCENARIO Maturity Type : Call Maturity Date : 2035-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.17 Bid-YTW : 5.71 % |
| PWF.PF.A | Perpetual-Discount | 11,915 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-22 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.44 % |
| ENB.PF.E | FixedReset Disc | 10,150 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-07-22 Maturity Price : 22.61 Evaluated at bid price : 23.46 Bid-YTW : 6.17 % |
| There were 0 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 |
| NA.PR.K | FixedReset Prem | Quote: 29.00 – 30.00 Spot Rate : 1.0000 Average : 0.6384 YTW SCENARIO |
| ENB.PF.E | FixedReset Disc | Quote: 23.46 – 24.55 Spot Rate : 1.0900 Average : 0.7671 YTW SCENARIO |
| BN.PF.C | Perpetual-Discount | Quote: 21.71 – 22.22 Spot Rate : 0.5100 Average : 0.3228 YTW SCENARIO |
| BN.PF.G | FixedReset Prem | Quote: 25.08 – 25.59 Spot Rate : 0.5100 Average : 0.3666 YTW SCENARIO |
| IFC.PR.I | Insurance Straight | Quote: 24.80 – 25.75 Spot Rate : 0.9500 Average : 0.8513 YTW SCENARIO |
| FTS.PR.G | FixedReset Prem | Quote: 25.40 – 25.66 Spot Rate : 0.2600 Average : 0.1665 YTW SCENARIO |