PerpetualDiscounts now yield 4.80%, equivalent to 6.24% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.40%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at the 285bp reported December 22.
| 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 | 3.04 % | 3.51 % | 37,558 | 20.07 | 1 | 0.6484 % | 2,874.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7750 % | 5,315.4 |
| Floater | 3.00 % | 3.02 % | 57,310 | 19.70 | 3 | 0.7750 % | 3,063.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1435 % | 3,650.9 |
| SplitShare | 4.70 % | 4.27 % | 34,184 | 3.59 | 6 | -0.1435 % | 4,360.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1435 % | 3,401.9 |
| Perpetual-Premium | 5.15 % | -13.15 % | 41,194 | 0.09 | 23 | 0.0237 % | 3,265.2 |
| Perpetual-Discount | 4.74 % | 4.80 % | 50,295 | 15.81 | 11 | -0.0735 % | 3,874.1 |
| FixedReset Disc | 3.96 % | 3.92 % | 102,298 | 16.86 | 42 | -1.1102 % | 2,841.7 |
| Insurance Straight | 4.89 % | 4.49 % | 81,444 | 3.38 | 18 | -0.1035 % | 3,672.3 |
| FloatingReset | 2.65 % | 3.01 % | 32,090 | 19.74 | 2 | 1.4956 % | 2,809.1 |
| FixedReset Prem | 4.69 % | 2.82 % | 118,468 | 1.78 | 28 | -0.0166 % | 2,743.5 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.1102 % | 2,904.8 |
| FixedReset Ins Non | 4.09 % | 3.78 % | 71,087 | 17.29 | 17 | -0.1422 % | 2,968.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.G | FixedReset Disc | -47.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 12.50 Evaluated at bid price : 12.50 Bid-YTW : 8.25 % |
| CU.PR.F | Perpetual-Discount | -3.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 23.62 Evaluated at bid price : 23.90 Bid-YTW : 4.75 % |
| BAM.PR.T | FixedReset Disc | -3.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 4.60 % |
| BAM.PF.E | FixedReset Disc | -2.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 4.68 % |
| SLF.PR.G | FixedReset Ins Non | -2.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 3.68 % |
| MFC.PR.N | FixedReset Ins Non | -1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 22.53 Evaluated at bid price : 23.20 Bid-YTW : 3.95 % |
| BMO.PR.W | FixedReset Disc | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 22.99 Evaluated at bid price : 24.00 Bid-YTW : 3.76 % |
| TRP.PR.D | FixedReset Disc | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 4.50 % |
| GWO.PR.I | Insurance Straight | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 23.91 Evaluated at bid price : 24.15 Bid-YTW : 4.67 % |
| SLF.PR.E | Insurance Straight | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 24.29 Evaluated at bid price : 24.60 Bid-YTW : 4.58 % |
| FTS.PR.G | FixedReset Disc | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 21.60 Evaluated at bid price : 22.00 Bid-YTW : 4.10 % |
| SLF.PR.C | Insurance Straight | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 24.51 Evaluated at bid price : 24.76 Bid-YTW : 4.51 % |
| NA.PR.W | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 23.09 Evaluated at bid price : 24.30 Bid-YTW : 3.68 % |
| BAM.PR.Z | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 24.60 Evaluated at bid price : 24.95 Bid-YTW : 4.38 % |
| BAM.PF.A | FixedReset Disc | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 23.71 Evaluated at bid price : 25.15 Bid-YTW : 4.26 % |
| TD.PF.A | FixedReset Disc | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 23.18 Evaluated at bid price : 24.40 Bid-YTW : 3.69 % |
| SLF.PR.H | FixedReset Ins Non | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 22.48 Evaluated at bid price : 23.35 Bid-YTW : 3.62 % |
| PWF.PF.A | Perpetual-Discount | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 24.78 Evaluated at bid price : 25.20 Bid-YTW : 4.52 % |
| BAM.PR.X | FixedReset Disc | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 18.53 Evaluated at bid price : 18.53 Bid-YTW : 4.32 % |
| TD.PF.D | FixedReset Disc | 1.54 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.13 Bid-YTW : 3.23 % |
| BMO.PR.F | FixedReset Prem | 1.89 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-25 Maturity Price : 25.00 Evaluated at bid price : 26.90 Bid-YTW : 2.08 % |
| CU.PR.G | Perpetual-Discount | 2.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 24.56 Evaluated at bid price : 24.80 Bid-YTW : 4.57 % |
| SLF.PR.J | FloatingReset | 2.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 2.31 % |
| PWF.PR.P | FixedReset Disc | 7.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 3.92 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.B | FixedReset Prem | 248,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 1.58 % |
| NA.PR.C | FixedReset Prem | 173,300 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.42 Bid-YTW : 1.92 % |
| TD.PF.A | FixedReset Disc | 60,409 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 23.18 Evaluated at bid price : 24.40 Bid-YTW : 3.69 % |
| GWO.PR.Y | Insurance Straight | 26,570 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 24.65 Evaluated at bid price : 25.05 Bid-YTW : 4.49 % |
| BAM.PF.G | FixedReset Disc | 24,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 22.39 Evaluated at bid price : 23.00 Bid-YTW : 4.39 % |
| CU.PR.J | Perpetual-Discount | 22,696 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-05 Maturity Price : 24.61 Evaluated at bid price : 25.00 Bid-YTW : 4.78 % |
| There were 6 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.S | Insurance Straight | Quote: 25.85 – 28.00 Spot Rate : 2.1500 Average : 1.4227 YTW SCENARIO |
| BAM.PR.K | Floater | Quote: 14.25 – 15.50 Spot Rate : 1.2500 Average : 0.8476 YTW SCENARIO |
| CU.PR.F | Perpetual-Discount | Quote: 23.90 – 25.00 Spot Rate : 1.1000 Average : 0.7375 YTW SCENARIO |
| IFC.PR.I | Perpetual-Premium | Quote: 26.45 – 27.60 Spot Rate : 1.1500 Average : 0.7981 YTW SCENARIO |
| BAM.PF.E | FixedReset Disc | Quote: 20.85 – 22.30 Spot Rate : 1.4500 Average : 1.1080 YTW SCENARIO |
| BAM.PF.F | FixedReset Disc | Quote: 23.50 – 24.70 Spot Rate : 1.2000 Average : 0.8590 YTW SCENARIO |
BEP.PR.E To Be Redeemed
Wednesday, January 5th, 2022Brookfield Renewable Partners L.P. has announced:
BEP.PR.E is a Straight Perpetual, 5.59%, that commenced trading 2016-2-11 (with complex distributions) following a 41% conversion from BRF.PR.E.
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