PerpetualDiscounts now yield 5.04%, equivalent to 6.55% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is unchanged at the 370bp reported December 30.
| 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 | 0.8678 % | 2,031.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.8678 % | 3,727.6 |
| Floater | 4.26 % | 4.29 % | 44,992 | 16.83 | 3 | 0.8678 % | 2,148.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0293 % | 3,635.7 |
| SplitShare | 4.70 % | 4.29 % | 38,938 | 3.73 | 8 | -0.0293 % | 4,341.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0293 % | 3,387.7 |
| Perpetual-Premium | 5.34 % | -4.94 % | 66,531 | 0.09 | 18 | 0.0239 % | 3,233.4 |
| Perpetual-Discount | 5.00 % | 5.04 % | 69,052 | 15.40 | 13 | -0.0980 % | 3,693.0 |
| FixedReset Disc | 4.90 % | 3.79 % | 141,278 | 17.48 | 56 | 0.2996 % | 2,393.1 |
| Insurance Straight | 5.03 % | 4.81 % | 87,422 | 15.35 | 22 | 0.0550 % | 3,570.6 |
| FloatingReset | 2.48 % | 0.34 % | 25,937 | 0.12 | 3 | 0.7618 % | 1,928.9 |
| FixedReset Prem | 5.12 % | 2.95 % | 191,960 | 0.99 | 20 | 0.0864 % | 2,701.6 |
| FixedReset Bank Non | 1.93 % | 1.97 % | 179,290 | 1.01 | 2 | 0.0200 % | 2,884.9 |
| FixedReset Ins Non | 4.86 % | 3.69 % | 88,889 | 17.59 | 22 | 0.0495 % | 2,506.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.G | FixedReset Ins Non | -2.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 20.02 Evaluated at bid price : 20.02 Bid-YTW : 4.05 % |
| CM.PR.O | FixedReset Disc | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 3.85 % |
| TRP.PR.B | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 9.83 Evaluated at bid price : 9.83 Bid-YTW : 4.38 % |
| BAM.PF.E | FixedReset Disc | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 16.52 Evaluated at bid price : 16.52 Bid-YTW : 4.76 % |
| BAM.PR.X | FixedReset Disc | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 13.00 Evaluated at bid price : 13.00 Bid-YTW : 4.40 % |
| BAM.PR.C | Floater | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 10.07 Evaluated at bid price : 10.07 Bid-YTW : 4.29 % |
| MFC.PR.L | FixedReset Ins Non | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 3.69 % |
| BAM.PR.B | Floater | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 10.22 Evaluated at bid price : 10.22 Bid-YTW : 4.23 % |
| NA.PR.G | FixedReset Disc | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 22.80 Evaluated at bid price : 23.60 Bid-YTW : 3.58 % |
| TRP.PR.E | FixedReset Disc | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 4.75 % |
| BNS.PR.I | FixedReset Disc | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 22.52 Evaluated at bid price : 23.14 Bid-YTW : 3.36 % |
| TRP.PR.D | FixedReset Disc | 2.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 16.01 Evaluated at bid price : 16.01 Bid-YTW : 4.71 % |
| SLF.PR.J | FloatingReset | 2.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 12.00 Evaluated at bid price : 12.00 Bid-YTW : 3.08 % |
| BIP.PR.A | FixedReset Disc | 3.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 20.82 Evaluated at bid price : 20.82 Bid-YTW : 4.83 % |
| PWF.PR.P | FixedReset Disc | 3.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 12.60 Evaluated at bid price : 12.60 Bid-YTW : 4.04 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.K | Perpetual-Discount | 166,806 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 24.19 Evaluated at bid price : 24.45 Bid-YTW : 5.07 % |
| RY.PR.H | FixedReset Disc | 102,630 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 21.34 Evaluated at bid price : 21.34 Bid-YTW : 3.39 % |
| TD.PF.C | FixedReset Disc | 91,615 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 3.48 % |
| BMO.PR.T | FixedReset Disc | 90,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 19.82 Evaluated at bid price : 19.82 Bid-YTW : 3.63 % |
| TD.PF.B | FixedReset Disc | 78,090 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 3.44 % |
| TD.PF.A | FixedReset Disc | 67,350 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-01-20 Maturity Price : 20.92 Evaluated at bid price : 20.92 Bid-YTW : 3.41 % |
| There were 31 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.X | FixedReset Disc | Quote: 13.00 – 14.75 Spot Rate : 1.7500 Average : 1.1101 YTW SCENARIO |
| BAM.PF.I | FixedReset Prem | Quote: 25.50 – 26.50 Spot Rate : 1.0000 Average : 0.5964 YTW SCENARIO |
| CU.PR.H | Perpetual-Premium | Quote: 25.89 – 26.89 Spot Rate : 1.0000 Average : 0.6498 YTW SCENARIO |
| BAM.PR.R | FixedReset Disc | Quote: 14.90 – 15.45 Spot Rate : 0.5500 Average : 0.3040 YTW SCENARIO |
| IFC.PR.G | FixedReset Ins Non | Quote: 20.02 – 20.75 Spot Rate : 0.7300 Average : 0.5650 YTW SCENARIO |
| BAM.PF.G | FixedReset Disc | Quote: 17.15 – 17.66 Spot Rate : 0.5100 Average : 0.3807 YTW SCENARIO |