Well, I haven’t done anything more on the missing posts, but I do know that they all exist quite happily on the old server. They will be imported eventually – but probably not today.
So, in another foreshortened commentary …
PerpetualDiscounts now yield 5.54%, equivalent to 7.20% interest at the standard equivalency factor of 1.3x. Long Corporates now yield about 4.75% so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 245bp.
| 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 | 0.5046 % | 2,533.8 |
| FixedFloater | 4.29 % | 3.58 % | 31,320 | 18.19 | 1 | -1.1171 % | 3,910.1 |
| Floater | 2.93 % | 2.95 % | 60,988 | 19.79 | 3 | 0.5046 % | 2,735.8 |
| OpRet | 4.61 % | -3.19 % | 75,874 | 0.08 | 3 | 0.1797 % | 2,665.1 |
| SplitShare | 4.75 % | 4.83 % | 68,231 | 3.65 | 6 | 0.0968 % | 2,986.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1797 % | 2,436.9 |
| Perpetual-Premium | 5.56 % | 4.23 % | 125,548 | 0.09 | 11 | 0.0323 % | 2,314.1 |
| Perpetual-Discount | 5.58 % | 5.54 % | 163,127 | 14.53 | 27 | -0.1929 % | 2,359.0 |
| FixedReset | 4.96 % | 3.30 % | 227,313 | 3.27 | 82 | 0.0093 % | 2,487.0 |
| Deemed-Retractible | 5.06 % | 3.92 % | 193,305 | 1.36 | 42 | 0.0607 % | 2,427.2 |
| FloatingReset | 2.64 % | 2.37 % | 313,396 | 4.45 | 5 | 0.0079 % | 2,464.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.X | FixedReset | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-27 Maturity Price : 21.72 Evaluated at bid price : 22.02 Bid-YTW : 4.31 % |
| BAM.PR.G | FixedFloater | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-27 Maturity Price : 22.48 Evaluated at bid price : 22.13 Bid-YTW : 3.58 % |
| SLF.PR.G | FixedReset | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 4.32 % |
| BAM.PR.M | Perpetual-Discount | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-27 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 6.24 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.C | FixedReset | 75,710 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-27 Maturity Price : 22.60 Evaluated at bid price : 22.90 Bid-YTW : 3.74 % |
| MFC.PR.D | FixedReset | 68,461 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-19 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 2.25 % |
| TD.PR.T | FloatingReset | 57,497 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 2.32 % |
| SLF.PR.F | FixedReset | 53,614 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.47 Bid-YTW : 1.84 % |
| GWO.PR.J | FixedReset | 44,686 | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.33 Bid-YTW : 1.86 % |
| TRP.PR.A | FixedReset | 34,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-11-27 Maturity Price : 24.00 Evaluated at bid price : 24.45 Bid-YTW : 3.84 % |
| There were 48 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TD.PR.P | Deemed-Retractible | Quote: 26.00 – 26.89 Spot Rate : 0.8900 Average : 0.5520 YTW SCENARIO |
| ABK.PR.C | SplitShare | Quote: 31.72 – 32.20 Spot Rate : 0.4800 Average : 0.3540 YTW SCENARIO |
| GWO.PR.G | Deemed-Retractible | Quote: 24.11 – 24.35 Spot Rate : 0.2400 Average : 0.1522 YTW SCENARIO |
| MFC.PR.G | FixedReset | Quote: 25.73 – 26.00 Spot Rate : 0.2700 Average : 0.1883 YTW SCENARIO |
| CGI.PR.D | SplitShare | Quote: 24.13 – 24.34 Spot Rate : 0.2100 Average : 0.1334 YTW SCENARIO |
| BAM.PR.G | FixedFloater | Quote: 22.13 – 22.42 Spot Rate : 0.2900 Average : 0.2251 YTW SCENARIO |