Well, that’s the last day of tax-loss selling, which I believe has played a role in December’s softness. Thanks to two-day settlement, tax-loss season lasted until after Christmas this year!
PerpetualDiscounts now yield 5.31%, equivalent to 6.90% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.70%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, a significant widening from the 310bp reported December 20.
| 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 | 2.3955 % | 2,544.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 2.3955 % | 4,669.4 |
| Floater | 3.61 % | 3.76 % | 35,392 | 17.94 | 4 | 2.3955 % | 2,691.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1326 % | 3,148.4 |
| SplitShare | 4.66 % | 4.18 % | 69,912 | 3.46 | 5 | 0.1326 % | 3,759.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1326 % | 2,933.6 |
| Perpetual-Premium | 5.36 % | 4.80 % | 49,161 | 2.15 | 20 | 0.1239 % | 2,844.6 |
| Perpetual-Discount | 5.24 % | 5.31 % | 66,883 | 14.89 | 14 | -0.0675 % | 3,004.1 |
| FixedReset | 4.24 % | 4.34 % | 145,240 | 3.98 | 98 | -0.0009 % | 2,500.3 |
| Deemed-Retractible | 5.08 % | 5.29 % | 89,028 | 5.90 | 30 | 0.0041 % | 2,935.8 |
| FloatingReset | 2.84 % | 2.80 % | 43,974 | 3.85 | 8 | 0.0433 % | 2,694.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| NA.PR.C | FixedReset | -1.20 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.61 Bid-YTW : 4.03 % |
| HSE.PR.A | FixedReset | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-27 Maturity Price : 17.27 Evaluated at bid price : 17.27 Bid-YTW : 4.88 % |
| PWF.PR.A | Floater | 1.94 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-27 Maturity Price : 17.38 Evaluated at bid price : 17.38 Bid-YTW : 3.25 % |
| BAM.PR.B | Floater | 2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-27 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 3.76 % |
| BAM.PR.K | Floater | 2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-27 Maturity Price : 14.80 Evaluated at bid price : 14.80 Bid-YTW : 3.78 % |
| BAM.PR.C | Floater | 3.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-27 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 3.76 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.N | Perpetual-Premium | 40,915 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-11-24 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.80 % |
| BAM.PR.K | Floater | 27,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-27 Maturity Price : 14.80 Evaluated at bid price : 14.80 Bid-YTW : 3.78 % |
| PVS.PR.E | SplitShare | 19,141 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-01-26 Maturity Price : 26.00 Evaluated at bid price : 26.70 Bid-YTW : -22.23 % |
| TRP.PR.A | FixedReset | 15,950 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-27 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 4.72 % |
| RY.PR.M | FixedReset | 15,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-12-27 Maturity Price : 23.19 Evaluated at bid price : 24.45 Bid-YTW : 4.38 % |
| BMO.PR.Y | FixedReset | 15,427 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-08-25 Maturity Price : 25.00 Evaluated at bid price : 24.79 Bid-YTW : 4.29 % |
| There were 7 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BMO.PR.M | FixedReset | Quote: 25.01 – 32.95 Spot Rate : 7.9400 Average : 4.2449 YTW SCENARIO |
| PWF.PR.A | Floater | Quote: 17.38 – 18.25 Spot Rate : 0.8700 Average : 0.5453 YTW SCENARIO |
| NA.PR.C | FixedReset | Quote: 25.61 – 25.95 Spot Rate : 0.3400 Average : 0.1987 YTW SCENARIO |
| BAM.PR.Z | FixedReset | Quote: 24.30 – 24.71 Spot Rate : 0.4100 Average : 0.2774 YTW SCENARIO |
| TRP.PR.F | FloatingReset | Quote: 19.12 – 19.54 Spot Rate : 0.4200 Average : 0.3134 YTW SCENARIO |
| MFC.PR.B | Deemed-Retractible | Quote: 22.40 – 22.70 Spot Rate : 0.3000 Average : 0.2033 YTW SCENARIO |