I’ve gotta say, the mid-terms did not disappoint!
| 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 % | 45,853 | 14.35 | 1 | 0.0000 % | 2,995.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0199 % | 3,622.9 |
| SplitShare | 4.90 % | 5.35 % | 56,247 | 3.26 | 6 | 0.0199 % | 4,326.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0199 % | 3,375.7 |
| Perpetual-Premium | 5.77 % | 2.36 % | 44,010 | 0.08 | 1 | 1.6162 % | 3,044.1 |
| Perpetual-Discount | 5.73 % | 5.80 % | 44,973 | 14.14 | 33 | 0.1755 % | 3,289.5 |
| FixedReset Disc | 5.79 % | 6.23 % | 90,379 | 13.37 | 22 | -0.6994 % | 3,303.2 |
| Insurance Straight | 5.68 % | 5.77 % | 56,385 | 14.20 | 20 | -0.0204 % | 3,168.9 |
| FloatingReset | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6994 % | 4,033.2 |
| FixedReset Prem | 6.00 % | 5.13 % | 72,833 | 1.99 | 28 | 0.1137 % | 2,611.6 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6994 % | 3,376.5 |
| FixedReset Ins Non | 5.64 % | 5.73 % | 46,549 | 14.03 | 13 | 0.0836 % | 3,230.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BN.PF.G | FixedReset Disc | -28.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-04 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 8.83 % |
| CU.PR.D | Perpetual-Discount | -7.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-04 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 5.92 % |
| GWO.PR.S | Insurance Straight | -4.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-04 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 6.19 % |
| IFC.PR.A | FixedReset Ins Non | -3.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-04 Maturity Price : 21.99 Evaluated at bid price : 22.58 Bid-YTW : 5.78 % |
| ENB.PF.C | FixedReset Disc | -2.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-04 Maturity Price : 22.40 Evaluated at bid price : 23.00 Bid-YTW : 6.61 % |
| CU.PR.F | Perpetual-Discount | -2.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-04 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 5.65 % |
| BN.PF.M | FixedReset Prem | 1.03 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2031-01-01 Maturity Price : 25.00 Evaluated at bid price : 25.61 Bid-YTW : 5.17 % |
| PWF.PR.R | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-04 Maturity Price : 23.31 Evaluated at bid price : 23.59 Bid-YTW : 5.86 % |
| GWO.PR.N | FixedReset Ins Non | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-04 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.77 % |
| FTS.PR.F | Perpetual-Discount | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-04 Maturity Price : 22.48 Evaluated at bid price : 22.74 Bid-YTW : 5.47 % |
| PWF.PR.L | Perpetual-Discount | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-04 Maturity Price : 21.71 Evaluated at bid price : 21.96 Bid-YTW : 5.84 % |
| SLF.PR.G | FixedReset Ins Non | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-04 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.73 % |
| POW.PR.C | Perpetual-Premium | 1.62 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2026-12-04 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 2.36 % |
| GWO.PR.R | Insurance Straight | 3.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-04 Maturity Price : 21.03 Evaluated at bid price : 21.03 Bid-YTW : 5.79 % |
| FTS.PR.J | Perpetual-Discount | 5.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-04 Maturity Price : 22.01 Evaluated at bid price : 22.25 Bid-YTW : 5.42 % |
| BN.PR.T | FixedReset Disc | 18.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-04 Maturity Price : 22.84 Evaluated at bid price : 23.65 Bid-YTW : 6.10 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PF.N | FixedReset Disc | 89,897 | YTW SCENARIO Maturity Type : Call Maturity Date : 2032-01-01 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 5.56 % |
| FTS.PR.M | FixedReset Prem | 31,231 | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 5.37 % |
| FTS.PR.K | FixedReset Disc | 23,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-04 Maturity Price : 23.35 Evaluated at bid price : 24.59 Bid-YTW : 5.66 % |
| PVS.PR.N | SplitShare | 16,600 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2033-09-29 Maturity Price : 25.00 Evaluated at bid price : 25.04 Bid-YTW : 5.34 % |
| ENB.PR.T | FixedReset Disc | 12,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2056-11-04 Maturity Price : 23.45 Evaluated at bid price : 24.98 Bid-YTW : 6.10 % |
| 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 |
| BN.PF.G | FixedReset Disc | Quote: 17.70 – 25.08 Spot Rate : 7.3800 Average : 3.9598 YTW SCENARIO |
| GWO.PR.S | Insurance Straight | Quote: 21.51 – 24.90 Spot Rate : 3.3900 Average : 2.6480 YTW SCENARIO |
| CU.PR.D | Perpetual-Discount | Quote: 21.10 – 22.99 Spot Rate : 1.8900 Average : 1.3719 YTW SCENARIO |
| GWO.PR.L | Insurance Straight | Quote: 24.38 – 25.37 Spot Rate : 0.9900 Average : 0.5803 YTW SCENARIO |
| ENB.PF.C | FixedReset Disc | Quote: 23.00 – 23.85 Spot Rate : 0.8500 Average : 0.5146 YTW SCENARIO |
| IFC.PR.A | FixedReset Ins Non | Quote: 22.58 – 23.58 Spot Rate : 1.0000 Average : 0.6849 YTW SCENARIO |