PerpetualDiscounts now yield 5.23%, equivalent to 6.80% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.75%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 305bp, a slight (and perhaps spurious) widening from the 300bp reported November 22.
| 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 | 0.2401 % | 2,471.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2401 % | 4,534.8 |
| Floater | 3.66 % | 3.88 % | 105,807 | 17.60 | 3 | 0.2401 % | 2,613.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0328 % | 3,124.0 |
| SplitShare | 4.72 % | 3.55 % | 53,985 | 1.08 | 6 | 0.0328 % | 3,730.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0328 % | 2,910.8 |
| Perpetual-Premium | 5.34 % | 4.72 % | 56,154 | 0.09 | 20 | -0.0294 % | 2,842.3 |
| Perpetual-Discount | 5.18 % | 5.23 % | 69,712 | 15.06 | 15 | -0.2078 % | 3,030.9 |
| FixedReset | 4.22 % | 4.17 % | 143,691 | 4.47 | 98 | -0.0332 % | 2,503.2 |
| Deemed-Retractible | 5.01 % | 5.29 % | 90,475 | 5.90 | 30 | -0.1282 % | 2,956.3 |
| FloatingReset | 2.71 % | 2.72 % | 41,729 | 3.94 | 8 | 0.2269 % | 2,689.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.G | FixedReset | -1.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.45 Bid-YTW : 7.51 % |
| BAM.PR.N | Perpetual-Discount | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-29 Maturity Price : 22.07 Evaluated at bid price : 22.30 Bid-YTW : 5.41 % |
| HSE.PR.A | FixedReset | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-29 Maturity Price : 17.53 Evaluated at bid price : 17.53 Bid-YTW : 4.55 % |
| IFC.PR.C | FixedReset | 1.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.71 Bid-YTW : 4.73 % |
| PWF.PR.P | FixedReset | 2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-29 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 4.25 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.C | FixedReset | 176,300 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 3.85 % |
| RY.PR.R | FixedReset | 168,150 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 26.87 Bid-YTW : 3.40 % |
| NA.PR.X | FixedReset | 75,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-15 Maturity Price : 25.00 Evaluated at bid price : 26.70 Bid-YTW : 3.58 % |
| NA.PR.A | FixedReset | 64,700 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 26.77 Bid-YTW : 3.44 % |
| BNS.PR.R | FixedReset | 55,900 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.14 Bid-YTW : 3.54 % |
| TD.PF.G | FixedReset | 55,410 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.88 Bid-YTW : 3.30 % |
| There were 19 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.A | Deemed-Retractible | Quote: 23.45 – 23.84 Spot Rate : 0.3900 Average : 0.2483 YTW SCENARIO |
| POW.PR.B | Perpetual-Discount | Quote: 25.16 – 25.50 Spot Rate : 0.3400 Average : 0.2305 YTW SCENARIO |
| BAM.PF.H | FixedReset | Quote: 26.03 – 26.30 Spot Rate : 0.2700 Average : 0.1866 YTW SCENARIO |
| IFC.PR.A | FixedReset | Quote: 20.08 – 20.34 Spot Rate : 0.2600 Average : 0.1777 YTW SCENARIO |
| MFC.PR.M | FixedReset | Quote: 23.51 – 23.84 Spot Rate : 0.3300 Average : 0.2479 YTW SCENARIO |
| SLF.PR.D | Deemed-Retractible | Quote: 22.14 – 22.40 Spot Rate : 0.2600 Average : 0.1841 YTW SCENARIO |