Sorry about the delay for this post – a routine update of the WordPress software turned out to be exceptional!
| 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 | -0.4685 % | 2,628.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4685 % | 4,949.9 |
| Floater | 5.50 % | 5.61 % | 32,272 | 14.45 | 3 | -0.4685 % | 2,852.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0946 % | 3,654.6 |
| SplitShare | 4.77 % | 4.89 % | 53,165 | 2.59 | 5 | 0.0946 % | 4,364.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0946 % | 3,405.3 |
| Perpetual-Premium | 5.62 % | 5.49 % | 57,620 | 6.63 | 12 | -0.2075 % | 3,086.4 |
| Perpetual-Discount | 5.49 % | 5.55 % | 37,663 | 14.56 | 21 | 0.0334 % | 3,438.3 |
| FixedReset Disc | 5.51 % | 5.87 % | 98,644 | 14.03 | 17 | 0.3655 % | 3,410.1 |
| Insurance Straight | 5.35 % | 5.45 % | 44,418 | 14.64 | 20 | -0.1835 % | 3,363.4 |
| FloatingReset | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3655 % | 4,163.8 |
| FixedReset Prem | 5.89 % | 4.44 % | 77,155 | 2.11 | 31 | 0.0000 % | 2,672.1 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3655 % | 3,485.8 |
| FixedReset Ins Non | 5.19 % | 4.79 % | 49,809 | 1.94 | 14 | -0.3399 % | 3,292.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.N | FixedReset Ins Non | -8.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-17 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 5.79 % |
| GWO.PR.H | Insurance Straight | -3.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-17 Maturity Price : 21.55 Evaluated at bid price : 21.81 Bid-YTW : 5.63 % |
| PWF.PR.A | Floater | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-17 Maturity Price : 14.55 Evaluated at bid price : 14.55 Bid-YTW : 5.39 % |
| GWO.PR.G | Insurance Straight | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-17 Maturity Price : 23.85 Evaluated at bid price : 24.10 Bid-YTW : 5.46 % |
| ENB.PF.G | FixedReset Disc | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-17 Maturity Price : 23.02 Evaluated at bid price : 24.40 Bid-YTW : 5.98 % |
| NA.PR.K | FixedReset Prem | -1.05 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-05-01 Maturity Price : 25.00 Evaluated at bid price : 28.30 Bid-YTW : 2.72 % |
| FTS.PR.F | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-17 Maturity Price : 23.57 Evaluated at bid price : 23.84 Bid-YTW : 5.23 % |
| BN.PF.A | FixedReset Prem | 1.16 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2028-09-30 Maturity Price : 25.00 Evaluated at bid price : 26.20 Bid-YTW : 4.81 % |
| MFC.PR.B | Insurance Straight | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-17 Maturity Price : 22.93 Evaluated at bid price : 23.20 Bid-YTW : 5.08 % |
| PWF.PR.P | FixedReset Disc | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-17 Maturity Price : 21.66 Evaluated at bid price : 22.00 Bid-YTW : 5.49 % |
| BN.PR.T | FixedReset Disc | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-17 Maturity Price : 23.43 Evaluated at bid price : 24.12 Bid-YTW : 5.76 % |
| BN.PF.F | FixedReset Prem | 2.14 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-10-01 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 5.01 % |
| ENB.PR.Y | FixedReset Disc | 2.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-17 Maturity Price : 22.80 Evaluated at bid price : 23.65 Bid-YTW : 5.89 % |
| ENB.PR.P | FixedReset Disc | 2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-17 Maturity Price : 23.32 Evaluated at bid price : 24.63 Bid-YTW : 5.85 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWO.PR.N | FixedReset Ins Non | 96,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-17 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 5.79 % |
| BN.PF.G | FixedReset Prem | 32,600 | YTW SCENARIO Maturity Type : Call Maturity Date : 2030-07-01 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 4.76 % |
| ENB.PR.D | FixedReset Disc | 28,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-08-17 Maturity Price : 23.60 Evaluated at bid price : 24.00 Bid-YTW : 5.87 % |
| BN.PF.M | FixedReset Prem | 23,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2031-01-01 Maturity Price : 25.00 Evaluated at bid price : 26.25 Bid-YTW : 4.59 % |
| GWO.PR.Z | Insurance Straight | 21,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2034-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.37 Bid-YTW : 5.63 % |
| GWO.PF.A | Perpetual-Premium | 20,900 | YTW SCENARIO Maturity Type : Call Maturity Date : 2035-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.42 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 |
| GWO.PR.N | FixedReset Ins Non | Quote: 19.50 – 21.40 Spot Rate : 1.9000 Average : 1.3016 YTW SCENARIO |
| IFC.PR.M | Perpetual-Premium | Quote: 25.30 – 26.30 Spot Rate : 1.0000 Average : 0.6119 YTW SCENARIO |
| GWO.PR.H | Insurance Straight | Quote: 21.81 – 22.99 Spot Rate : 1.1800 Average : 0.8674 YTW SCENARIO |
| GWO.PR.L | Insurance Straight | Quote: 25.23 – 25.97 Spot Rate : 0.7400 Average : 0.4900 YTW SCENARIO |
| POW.PR.D | Perpetual-Discount | Quote: 23.04 – 24.87 Spot Rate : 1.8300 Average : 1.6182 YTW SCENARIO |
| BN.PR.X | FixedReset Disc | Quote: 21.70 – 22.45 Spot Rate : 0.7500 Average : 0.5508 YTW SCENARIO |