Well, let’s see how the US Midterms turn out …
| 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 | 0.0000 % | 2,760.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 5,198.1 |
| Floater | 5.61 % | 5.69 % | 47,729 | 14.35 | 1 | 0.0000 % | 2,995.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0066 % | 3,622.2 |
| SplitShare | 4.90 % | 5.36 % | 56,990 | 3.26 | 6 | 0.0066 % | 4,325.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0066 % | 3,375.0 |
| Perpetual-Premium | 5.86 % | 5.91 % | 44,358 | 14.01 | 1 | -1.7077 % | 2,995.7 |
| Perpetual-Discount | 5.74 % | 5.82 % | 46,079 | 14.13 | 33 | 0.1328 % | 3,283.8 |
| FixedReset Disc | 5.75 % | 6.24 % | 90,690 | 13.35 | 22 | -0.5372 % | 3,326.4 |
| Insurance Straight | 5.68 % | 5.78 % | 57,207 | 14.20 | 20 | -0.0023 % | 3,169.5 |
| FloatingReset | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5372 % | 4,061.6 |
| FixedReset Prem | 6.00 % | 5.17 % | 73,668 | 2.16 | 28 | 0.0239 % | 2,608.7 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5372 % | 3,400.3 |
| FixedReset Ins Non | 5.64 % | 5.74 % | 46,626 | 14.02 | 13 | -0.0129 % | 3,227.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BN.PR.T | FixedReset Disc | -11.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-03 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 7.27 % |
| FTS.PR.J | Perpetual-Discount | -4.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-03 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 5.74 % |
| POW.PR.C | Perpetual-Premium | -1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-03 Maturity Price : 24.50 Evaluated at bid price : 24.75 Bid-YTW : 5.91 % |
| PWF.PR.L | Perpetual-Discount | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-03 Maturity Price : 21.40 Evaluated at bid price : 21.67 Bid-YTW : 5.91 % |
| PWF.PR.R | Perpetual-Discount | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-03 Maturity Price : 23.03 Evaluated at bid price : 23.30 Bid-YTW : 5.93 % |
| POW.PR.H | Perpetual-Discount | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-03 Maturity Price : 24.40 Evaluated at bid price : 24.80 Bid-YTW : 5.84 % |
| GWO.PR.H | Insurance Straight | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-03 Maturity Price : 21.24 Evaluated at bid price : 21.24 Bid-YTW : 5.79 % |
| PWF.PR.S | Perpetual-Discount | 2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-03 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.84 % |
| CU.PR.F | Perpetual-Discount | 2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-03 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.51 % |
| CU.PR.D | Perpetual-Discount | 9.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-03 Maturity Price : 22.55 Evaluated at bid price : 22.80 Bid-YTW : 5.46 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PVS.PR.N | SplitShare | 47,137 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2033-09-29 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 5.36 % |
| BN.PF.N | FixedReset Disc | 29,797 | YTW SCENARIO Maturity Type : Call Maturity Date : 2032-01-01 Maturity Price : 25.00 Evaluated at bid price : 24.91 Bid-YTW : 5.56 % |
| FTS.PR.H | FixedReset Disc | 27,135 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-03 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 5.93 % |
| FTS.PR.M | FixedReset Prem | 17,500 | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : 5.45 % |
| PWF.PR.P | FixedReset Disc | 15,306 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-03 Maturity Price : 20.94 Evaluated at bid price : 20.94 Bid-YTW : 5.96 % |
| BN.PF.A | FixedReset Prem | 14,240 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-03 Maturity Price : 23.73 Evaluated at bid price : 25.34 Bid-YTW : 6.37 % |
| 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 |
| BN.PR.T | FixedReset Disc | Quote: 20.00 – 23.70 Spot Rate : 3.7000 Average : 2.8538 YTW SCENARIO |
| GWO.PR.S | Insurance Straight | Quote: 22.60 – 24.90 Spot Rate : 2.3000 Average : 1.8344 YTW SCENARIO |
| FTS.PR.J | Perpetual-Discount | Quote: 21.10 – 22.65 Spot Rate : 1.5500 Average : 1.1160 YTW SCENARIO |
| GWO.PR.T | Insurance Straight | Quote: 22.45 – 23.50 Spot Rate : 1.0500 Average : 0.6682 YTW SCENARIO |
| CU.PR.K | Perpetual-Discount | Quote: 24.65 – 25.92 Spot Rate : 1.2700 Average : 0.9163 YTW SCENARIO |
| GWO.PR.Q | Insurance Straight | Quote: 22.42 – 23.70 Spot Rate : 1.2800 Average : 1.0289 YTW SCENARIO |