PerpetualDiscounts now yield 5.29%, equivalent to 6.88% 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 (in this context, the “Seniority Spread”) is now about 310bp, a significant narrowing from the 320bp reported December 13.
| 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 | 1.0760 % | 2,506.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.0760 % | 4,600.1 |
| Floater | 3.67 % | 3.80 % | 32,515 | 17.86 | 4 | 1.0760 % | 2,651.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0779 % | 3,148.0 |
| SplitShare | 4.66 % | 3.94 % | 66,179 | 3.48 | 5 | 0.0779 % | 3,759.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0779 % | 2,933.2 |
| Perpetual-Premium | 5.35 % | 4.78 % | 50,404 | 2.14 | 20 | 0.0432 % | 2,840.9 |
| Perpetual-Discount | 5.23 % | 5.29 % | 69,155 | 14.91 | 14 | 0.1227 % | 3,006.8 |
| FixedReset | 4.26 % | 4.30 % | 149,022 | 4.38 | 98 | 0.1696 % | 2,487.6 |
| Deemed-Retractible | 5.06 % | 5.21 % | 89,758 | 5.92 | 30 | 0.2100 % | 2,944.1 |
| FloatingReset | 2.78 % | 2.80 % | 44,480 | 3.88 | 8 | 0.1358 % | 2,687.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.I | FixedReset | -1.31 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.08 Bid-YTW : 4.68 % |
| 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 : 18.01 Bid-YTW : 8.03 % |
| PWF.PR.A | Floater | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-20 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 3.32 % |
| HSE.PR.A | FixedReset | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-20 Maturity Price : 16.99 Evaluated at bid price : 16.99 Bid-YTW : 4.79 % |
| PWF.PR.P | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-20 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 4.50 % |
| HSE.PR.C | FixedReset | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-20 Maturity Price : 23.34 Evaluated at bid price : 24.40 Bid-YTW : 4.86 % |
| BAM.PR.B | Floater | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-20 Maturity Price : 14.73 Evaluated at bid price : 14.73 Bid-YTW : 3.80 % |
| BAM.PR.C | Floater | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-20 Maturity Price : 14.72 Evaluated at bid price : 14.72 Bid-YTW : 3.80 % |
| SLF.PR.B | Deemed-Retractible | 1.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.55 Bid-YTW : 5.82 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.I | FixedReset | 299,875 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 3.41 % |
| RY.PR.L | FixedReset | 250,870 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-24 Maturity Price : 25.00 Evaluated at bid price : 25.37 Bid-YTW : 3.25 % |
| BMO.PR.B | FixedReset | 226,519 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.10 Bid-YTW : 3.81 % |
| TD.PF.H | FixedReset | 187,539 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 26.22 Bid-YTW : 3.69 % |
| GWO.PR.T | Deemed-Retractible | 128,300 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 5.40 % |
| BNS.PR.B | FloatingReset | 100,060 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.78 Bid-YTW : 2.82 % |
| There were 37 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PVS.PR.E | SplitShare | Quote: 26.50 – 27.01 Spot Rate : 0.5100 Average : 0.3517 YTW SCENARIO |
| GWO.PR.M | Deemed-Retractible | Quote: 25.75 – 26.17 Spot Rate : 0.4200 Average : 0.2647 YTW SCENARIO |
| SLF.PR.I | FixedReset | Quote: 24.08 – 24.45 Spot Rate : 0.3700 Average : 0.2433 YTW SCENARIO |
| VNR.PR.A | FixedReset | Quote: 24.60 – 24.90 Spot Rate : 0.3000 Average : 0.1749 YTW SCENARIO |
| RY.PR.D | Deemed-Retractible | Quote: 25.36 – 25.68 Spot Rate : 0.3200 Average : 0.1952 YTW SCENARIO |
| GWO.PR.N | FixedReset | Quote: 18.18 – 18.45 Spot Rate : 0.2700 Average : 0.1761 YTW SCENARIO |