PerpetualDiscounts now yield 5.14%, equivalent to 6.68% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at the 375bp reported November 11.
| 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 | 0.5267 % | 1,767.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5267 % | 3,243.5 |
| Floater | 4.81 % | 4.86 % | 40,738 | 15.69 | 3 | 0.5267 % | 1,869.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2806 % | 3,566.6 |
| SplitShare | 4.75 % | 4.42 % | 38,385 | 3.49 | 8 | 0.2806 % | 4,259.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2806 % | 3,323.3 |
| Perpetual-Premium | 5.35 % | 2.70 % | 76,247 | 0.40 | 14 | 0.2097 % | 3,185.5 |
| Perpetual-Discount | 5.17 % | 5.14 % | 78,022 | 15.15 | 19 | -0.0459 % | 3,589.2 |
| FixedReset Disc | 5.30 % | 4.11 % | 120,361 | 16.51 | 64 | 0.3021 % | 2,184.9 |
| Insurance Straight | 5.06 % | 4.90 % | 101,336 | 15.14 | 22 | 0.0701 % | 3,506.7 |
| FloatingReset | 1.98 % | 2.34 % | 49,037 | 1.19 | 3 | -0.0334 % | 1,812.2 |
| FixedReset Prem | 5.19 % | 2.99 % | 220,741 | 0.72 | 15 | 0.1154 % | 2,669.4 |
| FixedReset Bank Non | 1.94 % | 2.09 % | 183,517 | 1.18 | 2 | 0.0000 % | 2,865.9 |
| FixedReset Ins Non | 5.30 % | 4.18 % | 70,400 | 16.53 | 22 | 0.3599 % | 2,279.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.D | Perpetual-Discount | -2.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 22.52 Evaluated at bid price : 22.80 Bid-YTW : 5.44 % |
| TRP.PR.B | FixedReset Disc | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 8.50 Evaluated at bid price : 8.50 Bid-YTW : 5.16 % |
| BAM.PR.B | Floater | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 8.93 Evaluated at bid price : 8.93 Bid-YTW : 4.86 % |
| PWF.PR.T | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 17.48 Evaluated at bid price : 17.48 Bid-YTW : 4.42 % |
| NA.PR.C | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 23.28 Evaluated at bid price : 24.25 Bid-YTW : 4.02 % |
| BAM.PR.Z | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 17.43 Evaluated at bid price : 17.43 Bid-YTW : 5.24 % |
| SLF.PR.G | FixedReset Ins Non | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 11.50 Evaluated at bid price : 11.50 Bid-YTW : 4.09 % |
| IFC.PR.I | Perpetual-Premium | 1.10 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.72 Bid-YTW : 5.12 % |
| MFC.PR.N | FixedReset Ins Non | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 4.12 % |
| IFC.PR.C | FixedReset Ins Non | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.41 % |
| BIP.PR.E | FixedReset Disc | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 22.36 Evaluated at bid price : 22.76 Bid-YTW : 5.56 % |
| PWF.PR.P | FixedReset Disc | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 11.20 Evaluated at bid price : 11.20 Bid-YTW : 4.64 % |
| BAM.PR.X | FixedReset Disc | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 11.76 Evaluated at bid price : 11.76 Bid-YTW : 4.97 % |
| TRP.PR.E | FixedReset Disc | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 14.01 Evaluated at bid price : 14.01 Bid-YTW : 5.46 % |
| PVS.PR.F | SplitShare | 1.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2024-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 4.24 % |
| BIK.PR.A | FixedReset Prem | 1.57 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 5.10 % |
| TD.PF.C | FixedReset Disc | 2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 3.95 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.E | FixedReset Disc | 157,850 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 14.01 Evaluated at bid price : 14.01 Bid-YTW : 5.46 % |
| TRP.PR.C | FixedReset Disc | 81,865 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 9.50 Evaluated at bid price : 9.50 Bid-YTW : 5.32 % |
| TRP.PR.B | FixedReset Disc | 81,550 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 8.50 Evaluated at bid price : 8.50 Bid-YTW : 5.16 % |
| BMO.PR.Q | FixedReset Bank Non | 76,600 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.83 Bid-YTW : 2.28 % |
| CM.PR.R | FixedReset Disc | 75,290 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 23.42 Evaluated at bid price : 23.80 Bid-YTW : 4.10 % |
| CM.PR.O | FixedReset Disc | 35,310 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-18 Maturity Price : 17.94 Evaluated at bid price : 17.94 Bid-YTW : 4.17 % |
| There were 15 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.F | FloatingReset | Quote: 10.36 – 10.99 Spot Rate : 0.6300 Average : 0.3879 YTW SCENARIO |
| BAM.PF.D | Perpetual-Discount | Quote: 22.80 – 23.54 Spot Rate : 0.7400 Average : 0.5172 YTW SCENARIO |
| BIP.PR.D | FixedReset Disc | Quote: 23.11 – 23.60 Spot Rate : 0.4900 Average : 0.2918 YTW SCENARIO |
| BAM.PF.E | FixedReset Disc | Quote: 15.18 – 15.95 Spot Rate : 0.7700 Average : 0.6532 YTW SCENARIO |
| CIU.PR.A | Perpetual-Discount | Quote: 22.90 – 23.40 Spot Rate : 0.5000 Average : 0.3882 YTW SCENARIO |
| BIK.PR.A | FixedReset Prem | Quote: 25.80 – 26.40 Spot Rate : 0.6000 Average : 0.4884 YTW SCENARIO |