PerpetualDiscounts now yield 5.24%, equivalent to 6.81% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.75%, so the pre-tax interest-equivalent spread is now about 305bp, a slight (and perhaps spurious) widening from the 300bp reported November 1.
| 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 | 0.2444 % | 2,427.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2444 % | 4,454.8 |
| Floater | 3.72 % | 3.96 % | 96,873 | 17.47 | 3 | 0.2444 % | 2,567.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0723 % | 3,085.5 |
| SplitShare | 4.73 % | 4.76 % | 54,613 | 4.31 | 6 | 0.0723 % | 3,684.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0723 % | 2,875.0 |
| Perpetual-Premium | 5.35 % | 0.16 % | 47,420 | 0.09 | 20 | 0.1135 % | 2,839.1 |
| Perpetual-Discount | 5.22 % | 5.24 % | 74,829 | 15.06 | 15 | 0.2138 % | 3,008.0 |
| FixedReset | 4.23 % | 4.17 % | 143,192 | 4.33 | 99 | 0.0237 % | 2,490.1 |
| Deemed-Retractible | 5.03 % | 5.34 % | 98,221 | 5.95 | 30 | 0.1261 % | 2,933.4 |
| FloatingReset | 2.75 % | 2.78 % | 47,309 | 4.00 | 8 | 0.0654 % | 2,673.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.B | Deemed-Retractible | 1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.10 Bid-YTW : 6.11 % |
| GWO.PR.R | Deemed-Retractible | 1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.76 Bid-YTW : 5.77 % |
| MFC.PR.C | Deemed-Retractible | 1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 6.58 % |
| CU.PR.G | Perpetual-Discount | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-08 Maturity Price : 21.86 Evaluated at bid price : 22.15 Bid-YTW : 5.07 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.E | FixedReset | 195,976 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-08 Maturity Price : 22.67 Evaluated at bid price : 23.00 Bid-YTW : 4.36 % |
| BMO.PR.W | FixedReset | 108,550 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-08 Maturity Price : 22.84 Evaluated at bid price : 23.17 Bid-YTW : 4.13 % |
| RY.PR.H | FixedReset | 90,940 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-08 Maturity Price : 23.24 Evaluated at bid price : 23.61 Bid-YTW : 4.10 % |
| NA.PR.C | FixedReset | 77,557 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : 3.97 % |
| BMO.PR.C | FixedReset | 74,729 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : 3.94 % |
| BMO.PR.S | FixedReset | 70,796 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-08 Maturity Price : 23.54 Evaluated at bid price : 23.95 Bid-YTW : 4.12 % |
| There were 26 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BNS.PR.Y | FixedReset | Quote: 23.15 – 23.49 Spot Rate : 0.3400 Average : 0.1930 YTW SCENARIO |
| PWF.PR.A | Floater | Quote: 16.60 – 17.00 Spot Rate : 0.4000 Average : 0.2874 YTW SCENARIO |
| TRP.PR.E | FixedReset | Quote: 23.00 – 23.32 Spot Rate : 0.3200 Average : 0.2237 YTW SCENARIO |
| CM.PR.Q | FixedReset | Quote: 24.48 – 24.73 Spot Rate : 0.2500 Average : 0.1810 YTW SCENARIO |
| PVS.PR.B | SplitShare | Quote: 25.26 – 25.52 Spot Rate : 0.2600 Average : 0.1961 YTW SCENARIO |
| BNS.PR.R | FixedReset | Quote: 25.10 – 25.30 Spot Rate : 0.2000 Average : 0.1453 YTW SCENARIO |