PerpetualDiscounts now yield 5.23%, equivalent to 6.80% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.80%, so the pre-tax, interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a slight (and perhaps spurious) narrowing from the 305bp reported November 15
| 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 | 0.0876 % | 2,458.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0876 % | 4,511.1 |
| Floater | 3.68 % | 3.90 % | 98,567 | 17.57 | 3 | 0.0876 % | 2,599.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0593 % | 3,114.1 |
| SplitShare | 4.74 % | 4.52 % | 66,104 | 4.33 | 6 | 0.0593 % | 3,718.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0593 % | 2,901.7 |
| Perpetual-Premium | 5.34 % | 2.46 % | 44,925 | 0.11 | 20 | 0.1275 % | 2,843.3 |
| Perpetual-Discount | 5.19 % | 5.23 % | 64,539 | 15.04 | 15 | 0.0734 % | 3,024.8 |
| FixedReset | 4.21 % | 4.19 % | 155,101 | 4.41 | 98 | 0.1274 % | 2,508.4 |
| Deemed-Retractible | 5.01 % | 5.28 % | 88,488 | 5.91 | 30 | 0.1625 % | 2,948.4 |
| FloatingReset | 2.70 % | 2.74 % | 43,079 | 3.96 | 8 | 0.1463 % | 2,690.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| VNR.PR.A | FixedReset | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-22 Maturity Price : 22.78 Evaluated at bid price : 24.00 Bid-YTW : 4.68 % |
| MFC.PR.B | Deemed-Retractible | 1.46 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.94 Bid-YTW : 6.06 % |
| HSE.PR.A | FixedReset | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-11-22 Maturity Price : 17.84 Evaluated at bid price : 17.84 Bid-YTW : 4.57 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.I | FixedReset | 466,895 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 3.49 % |
| RY.PR.Q | FixedReset | 289,136 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 26.90 Bid-YTW : 3.20 % |
| TRP.PR.J | FixedReset | 257,205 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.67 Bid-YTW : 3.45 % |
| TD.PF.G | FixedReset | 187,549 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 27.00 Bid-YTW : 3.14 % |
| NA.PR.A | FixedReset | 178,206 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 26.89 Bid-YTW : 3.29 % |
| SLF.PR.H | FixedReset | 76,912 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.41 Bid-YTW : 5.11 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| VNR.PR.A | FixedReset | Quote: 24.00 – 24.40 Spot Rate : 0.4000 Average : 0.2975 YTW SCENARIO |
| MFC.PR.R | FixedReset | Quote: 26.18 – 26.39 Spot Rate : 0.2100 Average : 0.1517 YTW SCENARIO |
| BMO.PR.Y | FixedReset | Quote: 24.79 – 25.00 Spot Rate : 0.2100 Average : 0.1523 YTW SCENARIO |
| CU.PR.I | FixedReset | Quote: 26.00 – 26.25 Spot Rate : 0.2500 Average : 0.1956 YTW SCENARIO |
| RY.PR.A | Deemed-Retractible | Quote: 25.42 – 25.58 Spot Rate : 0.1600 Average : 0.1106 YTW SCENARIO |
| BAM.PF.J | FixedReset | Quote: 25.88 – 26.15 Spot Rate : 0.2700 Average : 0.2217 YTW SCENARIO |