Another good day, although volume remains low – perhaps because of problems with brokerage accounts! I’m not sure whose fault it is: the clients who refuse to do anything until the actual change of year, or the banks who are astonished by the volume every single year.
PerpetualDiscounts now yield 5.25%, equivalent to 6.82% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a sharp narrowing from the 320bp reported December 27.
| 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 | 0.9576 % | 2,640.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.9576 % | 4,844.9 |
| Floater | 3.48 % | 3.66 % | 34,230 | 18.18 | 4 | 0.9576 % | 2,792.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3830 % | 3,148.7 |
| SplitShare | 4.66 % | 4.10 % | 61,844 | 3.44 | 5 | 0.3830 % | 3,760.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3830 % | 2,933.9 |
| Perpetual-Premium | 5.35 % | 0.92 % | 44,853 | 0.09 | 18 | 0.0937 % | 2,855.2 |
| Perpetual-Discount | 5.25 % | 5.25 % | 62,947 | 14.92 | 16 | 0.1622 % | 3,014.4 |
| FixedReset | 4.22 % | 4.38 % | 133,913 | 3.96 | 98 | 0.0955 % | 2,512.5 |
| Deemed-Retractible | 5.05 % | 5.35 % | 77,018 | 5.88 | 28 | 0.2488 % | 2,950.6 |
| FloatingReset | 2.97 % | 2.80 % | 38,305 | 3.83 | 10 | 0.0797 % | 2,711.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| EML.PR.A | FixedReset | -1.23 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 26.55 Bid-YTW : 3.68 % |
| BAM.PR.Z | FixedReset | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-03 Maturity Price : 23.02 Evaluated at bid price : 24.60 Bid-YTW : 4.82 % |
| BAM.PR.K | Floater | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-03 Maturity Price : 15.36 Evaluated at bid price : 15.36 Bid-YTW : 3.66 % |
| IFC.PR.A | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.37 Bid-YTW : 6.83 % |
| SLF.PR.D | Deemed-Retractible | 1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.77 Bid-YTW : 6.83 % |
| PWF.PR.A | Floater | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-03 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 3.09 % |
| SLF.PR.G | FixedReset | 1.58 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.65 Bid-YTW : 7.65 % |
| PVS.PR.E | SplitShare | 1.68 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-02-02 Maturity Price : 26.00 Evaluated at bid price : 26.70 Bid-YTW : -21.14 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.R | FixedReset | 49,201 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 3.86 % |
| TRP.PR.K | FixedReset | 46,393 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.12 Bid-YTW : 3.92 % |
| BMO.PR.M | FixedReset | 39,300 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 3.62 % |
| BNS.PR.G | FixedReset | 36,029 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 26.93 Bid-YTW : 3.11 % |
| MFC.PR.K | FixedReset | 30,317 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.81 Bid-YTW : 5.66 % |
| IFC.PR.F | Deemed-Retractible | 26,353 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.49 Bid-YTW : 5.01 % |
| There were 9 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| HSE.PR.A | FixedReset | Quote: 17.44 – 17.94 Spot Rate : 0.5000 Average : 0.3511 YTW SCENARIO |
| HSE.PR.E | FixedReset | Quote: 24.71 – 25.15 Spot Rate : 0.4400 Average : 0.3002 YTW SCENARIO |
| EML.PR.A | FixedReset | Quote: 26.55 – 26.89 Spot Rate : 0.3400 Average : 0.2512 YTW SCENARIO |
| SLF.PR.H | FixedReset | Quote: 21.29 – 21.60 Spot Rate : 0.3100 Average : 0.2347 YTW SCENARIO |
| GWO.PR.Q | Deemed-Retractible | Quote: 24.57 – 24.95 Spot Rate : 0.3800 Average : 0.3069 YTW SCENARIO |
| PWF.PR.T | FixedReset | Quote: 24.41 – 24.63 Spot Rate : 0.2200 Average : 0.1683 YTW SCENARIO |