PerpetualDiscounts now yield 5.26%, equivalent to 6.84% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.80%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 305bp, unchanged from November 8.
| 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 | 0.9711 % | 2,461.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.9711 % | 4,517.0 |
| Floater | 3.67 % | 3.90 % | 99,104 | 17.59 | 3 | 0.9711 % | 2,603.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2679 % | 3,091.6 |
| SplitShare | 4.72 % | 4.68 % | 52,505 | 4.29 | 6 | -0.2679 % | 3,692.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2679 % | 2,880.7 |
| Perpetual-Premium | 5.36 % | 4.72 % | 45,286 | 0.13 | 20 | -0.0275 % | 2,834.0 |
| Perpetual-Discount | 5.23 % | 5.26 % | 73,352 | 15.03 | 15 | -0.1221 % | 3,000.5 |
| FixedReset | 4.24 % | 4.25 % | 144,703 | 4.47 | 99 | -0.1266 % | 2,488.5 |
| Deemed-Retractible | 5.03 % | 5.38 % | 89,615 | 5.93 | 30 | -0.0287 % | 2,933.5 |
| FloatingReset | 2.79 % | 2.85 % | 42,448 | 3.97 | 8 | -0.0272 % | 2,676.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PVS.PR.F | SplitShare | -1.57 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2024-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 4.88 % |
| BIP.PR.A | FixedReset | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-15 Maturity Price : 23.13 Evaluated at bid price : 24.20 Bid-YTW : 5.30 % |
| PWF.PR.A | Floater | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-15 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 3.32 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| HSB.PR.D | Deemed-Retractible | 747,864 | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-12-15 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 0.49 % |
| BNS.PR.H | FixedReset | 632,800 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 26.30 Bid-YTW : 3.59 % |
| NA.PR.X | FixedReset | 103,571 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-15 Maturity Price : 25.00 Evaluated at bid price : 26.64 Bid-YTW : 3.61 % |
| BNS.PR.R | FixedReset | 101,800 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 3.63 % |
| TD.PF.B | FixedReset | 81,090 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-15 Maturity Price : 22.91 Evaluated at bid price : 23.30 Bid-YTW : 4.22 % |
| CM.PR.R | FixedReset | 77,712 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.64 Bid-YTW : 3.87 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PVS.PR.F | SplitShare | Quote: 25.10 – 25.50 Spot Rate : 0.4000 Average : 0.3011 YTW SCENARIO |
| PWF.PR.O | Perpetual-Premium | Quote: 25.91 – 26.20 Spot Rate : 0.2900 Average : 0.2034 YTW SCENARIO |
| NA.PR.X | FixedReset | Quote: 26.64 – 26.92 Spot Rate : 0.2800 Average : 0.2052 YTW SCENARIO |
| BMO.PR.T | FixedReset | Quote: 22.95 – 23.20 Spot Rate : 0.2500 Average : 0.1761 YTW SCENARIO |
| CU.PR.I | FixedReset | Quote: 25.85 – 26.23 Spot Rate : 0.3800 Average : 0.3067 YTW SCENARIO |
| BAM.PF.B | FixedReset | Quote: 23.80 – 24.00 Spot Rate : 0.2000 Average : 0.1341 YTW SCENARIO |