PerpetualDiscounts now yield 5.35%, equivalent to 6.96% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.37%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 360bp from the 370bp reported December 11.
| 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 | 1.0652 % | 2,051.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.0652 % | 3,764.2 |
| Floater | 5.95 % | 6.15 % | 56,754 | 13.70 | 4 | 1.0652 % | 2,169.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1626 % | 3,446.7 |
| SplitShare | 4.62 % | 4.16 % | 40,093 | 3.82 | 7 | 0.1626 % | 4,116.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1626 % | 3,211.6 |
| Perpetual-Premium | 5.54 % | -10.49 % | 64,161 | 0.09 | 10 | 0.0313 % | 3,044.1 |
| Perpetual-Discount | 5.27 % | 5.35 % | 75,473 | 14.89 | 25 | -0.0017 % | 3,286.2 |
| FixedReset Disc | 5.48 % | 5.74 % | 223,641 | 14.30 | 66 | 0.7220 % | 2,156.0 |
| Deemed-Retractible | 5.16 % | 5.27 % | 71,935 | 14.98 | 27 | 0.2393 % | 3,232.2 |
| FloatingReset | 6.01 % | 6.24 % | 135,270 | 13.57 | 2 | 1.9926 % | 2,559.5 |
| FixedReset Prem | 5.09 % | 3.44 % | 160,247 | 1.58 | 20 | 0.1828 % | 2,645.2 |
| FixedReset Bank Non | 1.94 % | 3.82 % | 66,325 | 2.05 | 3 | 0.2736 % | 2,724.3 |
| FixedReset Ins Non | 5.39 % | 5.72 % | 146,131 | 14.34 | 22 | 0.9768 % | 2,178.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.S | Perpetual-Discount | -1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 22.23 Evaluated at bid price : 22.56 Bid-YTW : 5.38 % |
| TD.PF.H | FixedReset Prem | 1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.78 Bid-YTW : 3.48 % |
| PWF.PR.P | FixedReset Disc | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 13.80 Evaluated at bid price : 13.80 Bid-YTW : 5.81 % |
| PWF.PR.T | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 17.89 Evaluated at bid price : 17.89 Bid-YTW : 5.75 % |
| MFC.PR.G | FixedReset Ins Non | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 19.31 Evaluated at bid price : 19.31 Bid-YTW : 5.80 % |
| EMA.PR.C | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 6.09 % |
| BNS.PR.H | FixedReset Prem | 1.13 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 25.89 Bid-YTW : 3.44 % |
| BAM.PR.C | Floater | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 11.26 Evaluated at bid price : 11.26 Bid-YTW : 6.15 % |
| CM.PR.O | FixedReset Disc | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 16.91 Evaluated at bid price : 16.91 Bid-YTW : 5.82 % |
| BMO.PR.Y | FixedReset Disc | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 19.38 Evaluated at bid price : 19.38 Bid-YTW : 5.62 % |
| MFC.PR.K | FixedReset Ins Non | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 5.72 % |
| TRP.PR.E | FixedReset Disc | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 16.48 Evaluated at bid price : 16.48 Bid-YTW : 6.03 % |
| BAM.PF.A | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 5.83 % |
| NA.PR.S | FixedReset Disc | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 5.79 % |
| HSE.PR.C | FixedReset Disc | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 6.98 % |
| BAM.PF.F | FixedReset Disc | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 5.94 % |
| MFC.PR.M | FixedReset Ins Non | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 17.74 Evaluated at bid price : 17.74 Bid-YTW : 5.65 % |
| MFC.PR.I | FixedReset Ins Non | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 5.74 % |
| BAM.PF.E | FixedReset Disc | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 17.29 Evaluated at bid price : 17.29 Bid-YTW : 6.06 % |
| MFC.PR.N | FixedReset Ins Non | 1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 5.77 % |
| PWF.PR.A | Floater | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 12.73 Evaluated at bid price : 12.73 Bid-YTW : 5.49 % |
| CM.PR.P | FixedReset Disc | 1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.78 % |
| IFC.PR.G | FixedReset Ins Non | 1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 5.87 % |
| MFC.PR.H | FixedReset Ins Non | 1.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 20.60 Evaluated at bid price : 20.60 Bid-YTW : 5.73 % |
| TRP.PR.F | FloatingReset | 1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 14.38 Evaluated at bid price : 14.38 Bid-YTW : 6.24 % |
| SLF.PR.J | FloatingReset | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 13.26 Evaluated at bid price : 13.26 Bid-YTW : 5.80 % |
| CM.PR.Q | FixedReset Disc | 2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 5.78 % |
| BAM.PR.Z | FixedReset Disc | 2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 5.89 % |
| HSE.PR.A | FixedReset Disc | 2.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 11.55 Evaluated at bid price : 11.55 Bid-YTW : 7.13 % |
| MFC.PR.Q | FixedReset Ins Non | 2.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 19.23 Evaluated at bid price : 19.23 Bid-YTW : 5.60 % |
| SLF.PR.H | FixedReset Ins Non | 2.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 16.41 Evaluated at bid price : 16.41 Bid-YTW : 5.65 % |
| MFC.PR.L | FixedReset Ins Non | 3.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 17.31 Evaluated at bid price : 17.31 Bid-YTW : 5.50 % |
| BAM.PF.B | FixedReset Disc | 3.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 18.59 Evaluated at bid price : 18.59 Bid-YTW : 5.81 % |
| TRP.PR.C | FixedReset Disc | 3.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 12.77 Evaluated at bid price : 12.77 Bid-YTW : 6.17 % |
| CCS.PR.C | Deemed-Retractible | 3.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 23.93 Evaluated at bid price : 24.19 Bid-YTW : 5.17 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.J | FixedReset Disc | 132,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 19.87 Evaluated at bid price : 19.87 Bid-YTW : 5.62 % |
| NA.PR.E | FixedReset Disc | 123,875 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 5.87 % |
| NA.PR.S | FixedReset Disc | 82,683 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 5.79 % |
| CM.PR.O | FixedReset Disc | 70,625 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 16.91 Evaluated at bid price : 16.91 Bid-YTW : 5.82 % |
| RY.PR.Z | FixedReset Disc | 64,730 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 5.55 % |
| EMA.PR.C | FixedReset Disc | 59,215 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-12-18 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 6.09 % |
| There were 72 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.K | FixedReset Ins Non | Quote: 17.45 – 17.86 Spot Rate : 0.4100 Average : 0.2563 YTW SCENARIO |
| PWF.PR.S | Perpetual-Discount | Quote: 22.56 – 22.95 Spot Rate : 0.3900 Average : 0.2577 YTW SCENARIO |
| BAM.PF.A | FixedReset Disc | Quote: 20.00 – 20.42 Spot Rate : 0.4200 Average : 0.2888 YTW SCENARIO |
| IAF.PR.G | FixedReset Ins Non | Quote: 18.70 – 19.15 Spot Rate : 0.4500 Average : 0.3278 YTW SCENARIO |
| TRP.PR.J | FixedReset Prem | Quote: 25.90 – 26.19 Spot Rate : 0.2900 Average : 0.1821 YTW SCENARIO |
| BAM.PF.H | FixedReset Prem | Quote: 25.58 – 25.89 Spot Rate : 0.3100 Average : 0.2099 YTW SCENARIO |