PerpetualDiscounts now yield 4.80%, equivalent to 6.24% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.28%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 295bp from the 285bp reported January 5.
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 | 3.00 % | 3.45 % | 41,622 | 20.11 | 1 | 0.0490 % | 2,906.1 |
FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3470 % | 5,373.6 |
Floater | 2.97 % | 2.98 % | 52,622 | 19.79 | 3 | 0.3470 % | 3,096.8 |
OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5014 % | 3,644.5 |
SplitShare | 4.71 % | 4.43 % | 29,739 | 3.58 | 6 | -0.5014 % | 4,352.3 |
Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5014 % | 3,395.9 |
Perpetual-Premium | 5.15 % | -17.53 % | 49,479 | 0.09 | 24 | -0.0375 % | 3,256.6 |
Perpetual-Discount | 4.68 % | 4.80 % | 47,038 | 15.79 | 7 | 0.9175 % | 3,883.4 |
FixedReset Disc | 3.93 % | 3.93 % | 116,463 | 16.80 | 46 | 0.1095 % | 2,891.9 |
Insurance Straight | 4.87 % | 3.39 % | 82,269 | 0.46 | 17 | -0.0467 % | 3,673.9 |
FloatingReset | 2.64 % | 3.01 % | 34,847 | 19.73 | 2 | 0.7100 % | 2,878.1 |
FixedReset Prem | 4.73 % | 2.96 % | 105,106 | 1.76 | 25 | -0.0918 % | 2,731.3 |
FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1095 % | 2,956.1 |
FixedReset Ins Non | 4.07 % | 3.77 % | 70,219 | 17.01 | 17 | 0.2102 % | 2,987.3 |
Performance Highlights | |||
Issue | Index | Change | Notes |
BAM.PF.B | FixedReset Disc | -3.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 22.56 Evaluated at bid price : 22.85 Bid-YTW : 4.59 % |
RS.PR.A | SplitShare | -2.26 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-12-31 Maturity Price : 10.00 Evaluated at bid price : 10.38 Bid-YTW : 4.22 % |
MFC.PR.L | FixedReset Ins Non | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 22.25 Evaluated at bid price : 22.60 Bid-YTW : 4.10 % |
TD.PF.J | FixedReset Prem | -1.29 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.19 Bid-YTW : 3.91 % |
NA.PR.E | FixedReset Disc | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 23.75 Evaluated at bid price : 24.90 Bid-YTW : 4.07 % |
BMO.PR.W | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 23.10 Evaluated at bid price : 24.24 Bid-YTW : 3.84 % |
PWF.PF.A | Perpetual-Discount | 1.12 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 4.38 % |
TRP.PR.D | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 21.29 Evaluated at bid price : 21.29 Bid-YTW : 4.59 % |
TD.PF.M | FixedReset Prem | 1.23 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.32 Bid-YTW : 2.85 % |
IFC.PR.A | FixedReset Ins Non | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 21.40 Evaluated at bid price : 21.71 Bid-YTW : 3.74 % |
CU.PR.G | Perpetual-Discount | 2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 24.25 Evaluated at bid price : 24.55 Bid-YTW : 4.62 % |
BAM.PR.R | FixedReset Disc | 2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 4.42 % |
TRP.PR.B | FixedReset Disc | 2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 4.54 % |
CU.PR.F | Perpetual-Discount | 2.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 24.33 Evaluated at bid price : 24.58 Bid-YTW : 4.62 % |
BAM.PF.F | FixedReset Disc | 3.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 23.08 Evaluated at bid price : 24.13 Bid-YTW : 4.45 % |
MFC.PR.F | FixedReset Ins Non | 4.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 3.70 % |
TRP.PR.C | FixedReset Disc | 7.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 4.29 % |
Volume Highlights | |||
Issue | Index | Shares Traded |
Notes |
MFC.PR.Q | FixedReset Ins Non | 60,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 23.83 Evaluated at bid price : 25.20 Bid-YTW : 4.02 % |
BAM.PF.E | FixedReset Disc | 52,902 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 21.73 Evaluated at bid price : 22.00 Bid-YTW : 4.54 % |
MFC.PR.K | FixedReset Ins Non | 51,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 23.89 Evaluated at bid price : 24.24 Bid-YTW : 3.92 % |
CM.PR.P | FixedReset Disc | 45,153 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 23.12 Evaluated at bid price : 24.35 Bid-YTW : 3.80 % |
TD.PF.C | FixedReset Disc | 29,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 23.15 Evaluated at bid price : 24.41 Bid-YTW : 3.79 % |
RY.PR.M | FixedReset Disc | 28,400 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-11-24 Maturity Price : 25.00 Evaluated at bid price : 24.44 Bid-YTW : 3.76 % |
There were 22 other index-included issues trading in excess of 10,000 shares. |
Wide Spread Highlights | ||
Issue | Index | Quote Data and Yield Notes |
CU.PR.J | Perpetual-Premium | Quote: 25.25 – 25.79 Spot Rate : 0.5400 Average : 0.3192 YTW SCENARIO |
BAM.PF.B | FixedReset Disc | Quote: 22.85 – 23.75 Spot Rate : 0.9000 Average : 0.6816 YTW SCENARIO |
PWF.PR.F | Perpetual-Premium | Quote: 25.75 – 26.25 Spot Rate : 0.5000 Average : 0.3367 YTW SCENARIO |
BMO.PR.F | FixedReset Prem | Quote: 26.28 – 26.74 Spot Rate : 0.4600 Average : 0.3204 YTW SCENARIO |
NA.PR.E | FixedReset Disc | Quote: 24.90 – 25.45 Spot Rate : 0.5500 Average : 0.4107 YTW SCENARIO |
MFC.PR.N | FixedReset Ins Non | Quote: 23.52 – 23.99 Spot Rate : 0.4700 Average : 0.3523 YTW SCENARIO |
RS.PR.A : Name Change
January 11th, 2022Middlefield has not bothered to announce the recent name change of Real Estate Split Corp. (formerly Real Estate & E-Commerce Split Corp.). To get the details, one must visit SEDAR and search for “Real Estate Split Corp. (formerly Real Estate & E-Commerce Split Corp.) Jan 6 2022 09:36:30 ET Other securityholders documents – English PDF 169 K” to get a link to a document that the Canadian Securities Administrators won’t allow me to link to because we’re all stupid investor scum and should not bother ourselves with complicated documents.
Oh, Canada!
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