| 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 | -0.1637 % | 2,640.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1637 % | 4,973.2 |
| Floater | 5.47 % | 5.61 % | 33,473 | 14.46 | 3 | -0.1637 % | 2,866.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0395 % | 3,651.2 |
| SplitShare | 4.77 % | 4.78 % | 53,690 | 2.59 | 5 | 0.0395 % | 4,360.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0395 % | 3,402.1 |
| Perpetual-Premium | 5.61 % | 5.43 % | 55,065 | 6.48 | 12 | 0.0297 % | 3,092.8 |
| Perpetual-Discount | 5.49 % | 5.55 % | 38,119 | 14.55 | 21 | 0.1067 % | 3,437.1 |
| FixedReset Disc | 5.53 % | 5.89 % | 92,979 | 14.04 | 17 | -0.7869 % | 3,397.7 |
| Insurance Straight | 5.34 % | 5.42 % | 44,785 | 14.70 | 20 | 0.0897 % | 3,369.6 |
| FloatingReset | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.7869 % | 4,148.7 |
| FixedReset Prem | 5.89 % | 4.38 % | 77,919 | 2.12 | 31 | 0.0548 % | 2,672.1 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.7869 % | 3,473.2 |
| FixedReset Ins Non | 5.17 % | 4.77 % | 50,353 | 1.95 | 14 | 0.2651 % | 3,303.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| ENB.PR.P | FixedReset Disc | -2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-14 Maturity Price : 23.05 Evaluated at bid price : 24.01 Bid-YTW : 6.02 % |
| ENB.PR.F | FixedReset Disc | -1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-14 Maturity Price : 23.38 Evaluated at bid price : 23.75 Bid-YTW : 6.07 % |
| ENB.PR.Y | FixedReset Disc | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-14 Maturity Price : 22.47 Evaluated at bid price : 23.07 Bid-YTW : 6.05 % |
| GWO.PR.R | Insurance Straight | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-14 Maturity Price : 21.78 Evaluated at bid price : 22.02 Bid-YTW : 5.52 % |
| BN.PF.A | FixedReset Prem | -1.18 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 5.38 % |
| BN.PR.B | Floater | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-14 Maturity Price : 13.84 Evaluated at bid price : 13.84 Bid-YTW : 5.71 % |
| PWF.PR.L | Perpetual-Discount | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-14 Maturity Price : 22.88 Evaluated at bid price : 23.15 Bid-YTW : 5.54 % |
| NA.PR.K | FixedReset Prem | 1.06 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-05-01 Maturity Price : 25.00 Evaluated at bid price : 28.60 Bid-YTW : 2.28 % |
| MFC.PR.B | Insurance Straight | 1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-14 Maturity Price : 22.66 Evaluated at bid price : 22.90 Bid-YTW : 5.14 % |
| ENB.PF.E | FixedReset Disc | 2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-14 Maturity Price : 23.01 Evaluated at bid price : 24.32 Bid-YTW : 5.93 % |
| ENB.PF.G | FixedReset Disc | 2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-14 Maturity Price : 23.14 Evaluated at bid price : 24.70 Bid-YTW : 5.89 % |
| IFC.PR.A | FixedReset Ins Non | 2.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-14 Maturity Price : 23.16 Evaluated at bid price : 23.62 Bid-YTW : 5.33 % |
| BN.PF.G | FixedReset Prem | 3.67 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2030-07-01 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 4.74 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PR.B | Floater | 53,642 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-14 Maturity Price : 13.84 Evaluated at bid price : 13.84 Bid-YTW : 5.71 % |
| TD.PF.I | FixedReset Prem | 32,019 | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.88 Bid-YTW : 3.54 % |
| NA.PR.C | FixedReset Prem | 22,542 | YTW SCENARIO Maturity Type : Call Maturity Date : 2027-11-15 Maturity Price : 25.00 Evaluated at bid price : 26.48 Bid-YTW : 2.21 % |
| NA.PR.G | FixedReset Prem | 21,314 | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-11-16 Maturity Price : 25.00 Evaluated at bid price : 26.85 Bid-YTW : 3.62 % |
| BN.PR.R | FixedReset Disc | 15,146 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-14 Maturity Price : 22.89 Evaluated at bid price : 24.25 Bid-YTW : 5.72 % |
| BN.PF.G | FixedReset Prem | 15,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2030-07-01 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 4.74 % |
| There were 10 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 |
| IFC.PR.G | FixedReset Ins Non | Quote: 25.75 – 27.15 Spot Rate : 1.4000 Average : 0.8396 YTW SCENARIO |
| ENB.PR.P | FixedReset Disc | Quote: 24.01 – 24.94 Spot Rate : 0.9300 Average : 0.5189 YTW SCENARIO |
| ENB.PR.F | FixedReset Disc | Quote: 23.75 – 24.70 Spot Rate : 0.9500 Average : 0.5532 YTW SCENARIO |
| ENB.PR.Y | FixedReset Disc | Quote: 23.07 – 24.00 Spot Rate : 0.9300 Average : 0.6083 YTW SCENARIO |
| PWF.PF.A | Perpetual-Discount | Quote: 20.73 – 21.45 Spot Rate : 0.7200 Average : 0.4621 YTW SCENARIO |
| POW.PR.D | Perpetual-Discount | Quote: 23.23 – 24.87 Spot Rate : 1.6400 Average : 1.3859 YTW SCENARIO |
wow. looking at my screen i see so many prefs in the green making new 52 week highs. while ZFL getting slammed and sitting at pennies from all time lows. the out performance the last 5-6 years by CPD/ZPR vs long bonds is remarkable.
Credit spread compression. Looking at the perpetual spread over 30yr GoC, I see that this has come down by about 220bp. The rate resets have done pretty much the same type of thing. James produces graphs periodically which clearly show this.
Basically, the entire risk market (stocks, corp bonds, prefs) is risk-on right now. Everything is awesome! What could possibly go wrong?
yes. at some point, things will break again. always on the lookout. lol