PerpetualDiscounts now yield 5.73%, equivalent to 7.45% interest at the standard equivalency factor of 1.3x. Long-term corporates now yield about 4.25%, so the pre-tax interest-equivalent spread is now about 320bp, a very sharp narrowing from the 340bp reported October 31.
| 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 | -0.4006 % | 3,134.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4006 % | 5,751.4 |
| Floater | 3.71 % | 3.94 % | 39,955 | 17.52 | 4 | -0.4006 % | 3,314.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0318 % | 3,217.4 |
| SplitShare | 4.62 % | 4.79 % | 52,707 | 4.66 | 5 | 0.0318 % | 3,842.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0318 % | 2,997.9 |
| Perpetual-Premium | 5.67 % | 5.07 % | 66,154 | 14.19 | 12 | 0.2691 % | 2,893.6 |
| Perpetual-Discount | 5.61 % | 5.73 % | 75,677 | 14.29 | 21 | 0.1730 % | 2,924.7 |
| FixedReset Disc | 4.36 % | 5.36 % | 159,877 | 15.12 | 46 | 0.2422 % | 2,508.2 |
| Deemed-Retractible | 5.32 % | 6.63 % | 70,255 | 5.19 | 27 | 0.3642 % | 2,917.7 |
| FloatingReset | 3.78 % | 3.94 % | 47,492 | 5.45 | 4 | -0.2597 % | 2,795.6 |
| FixedReset Prem | 4.92 % | 4.47 % | 238,773 | 3.05 | 34 | 0.3102 % | 2,548.2 |
| FixedReset Bank Non | 2.97 % | 3.83 % | 112,563 | 0.30 | 6 | 0.0274 % | 2,577.6 |
| FixedReset Ins Non | 4.47 % | 6.01 % | 127,504 | 5.31 | 22 | 0.3854 % | 2,508.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.Q | FloatingReset | -2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-07 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 3.94 % |
| CU.PR.F | Perpetual-Discount | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-07 Maturity Price : 20.14 Evaluated at bid price : 20.14 Bid-YTW : 5.70 % |
| TRP.PR.C | FixedReset Disc | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-07 Maturity Price : 17.13 Evaluated at bid price : 17.13 Bid-YTW : 5.53 % |
| RY.PR.P | Perpetual-Premium | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-07 Maturity Price : 24.39 Evaluated at bid price : 24.85 Bid-YTW : 5.27 % |
| GWO.PR.L | Deemed-Retractible | 1.04 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.17 Bid-YTW : 5.07 % |
| HSE.PR.C | FixedReset Disc | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-07 Maturity Price : 23.11 Evaluated at bid price : 23.62 Bid-YTW : 5.86 % |
| BAM.PF.F | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-07 Maturity Price : 23.45 Evaluated at bid price : 24.03 Bid-YTW : 5.52 % |
| TD.PF.J | FixedReset Prem | 1.18 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-04-30 Maturity Price : 25.00 Evaluated at bid price : 24.79 Bid-YTW : 4.96 % |
| TD.PF.K | FixedReset Prem | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-07 Maturity Price : 23.11 Evaluated at bid price : 24.86 Bid-YTW : 4.95 % |
| BIP.PR.D | FixedReset Prem | 1.30 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 5.23 % |
| BAM.PR.R | FixedReset Disc | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-07 Maturity Price : 20.41 Evaluated at bid price : 20.41 Bid-YTW : 5.55 % |
| ELF.PR.H | Perpetual-Discount | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-07 Maturity Price : 23.58 Evaluated at bid price : 23.90 Bid-YTW : 5.80 % |
| BAM.PF.G | FixedReset Disc | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-07 Maturity Price : 23.62 Evaluated at bid price : 24.00 Bid-YTW : 5.47 % |
| BAM.PR.T | FixedReset Disc | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-07 Maturity Price : 20.43 Evaluated at bid price : 20.43 Bid-YTW : 5.55 % |
| EMA.PR.H | FixedReset Prem | 1.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-07 Maturity Price : 23.16 Evaluated at bid price : 24.95 Bid-YTW : 4.88 % |
| IAG.PR.I | FixedReset Ins Non | 1.92 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.47 Bid-YTW : 5.43 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWO.PR.M | Deemed-Retractible | 80,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2019-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.33 Bid-YTW : 4.04 % |
| BMO.PR.S | FixedReset Disc | 74,270 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-07 Maturity Price : 22.05 Evaluated at bid price : 22.65 Bid-YTW : 5.23 % |
| RY.PR.H | FixedReset Disc | 58,299 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-11-07 Maturity Price : 21.95 Evaluated at bid price : 22.50 Bid-YTW : 5.17 % |
| BNS.PR.D | FloatingReset | 58,200 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.19 Bid-YTW : 3.81 % |
| CM.PR.R | FixedReset Prem | 52,028 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.99 Bid-YTW : 4.47 % |
| PWF.PR.I | Perpetual-Premium | 51,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-07 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : -11.60 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.Q | FixedReset Ins Non | Quote: 23.84 – 24.30 Spot Rate : 0.4600 Average : 0.3097 YTW SCENARIO |
| SLF.PR.I | FixedReset Ins Non | Quote: 23.73 – 24.14 Spot Rate : 0.4100 Average : 0.2722 YTW SCENARIO |
| PVS.PR.D | SplitShare | Quote: 25.01 – 25.45 Spot Rate : 0.4400 Average : 0.3077 YTW SCENARIO |
| W.PR.J | Perpetual-Discount | Quote: 24.60 – 25.06 Spot Rate : 0.4600 Average : 0.3333 YTW SCENARIO |
| MFC.PR.I | FixedReset Ins Non | Quote: 23.69 – 24.14 Spot Rate : 0.4500 Average : 0.3297 YTW SCENARIO |
| PWF.PR.L | Perpetual-Discount | Quote: 22.36 – 22.74 Spot Rate : 0.3800 Average : 0.2719 YTW SCENARIO |
Isn’t ELF.PR.H a deemed retractible due to the non-NVCC insurance company thing that you apply to similar issues?
No – it’s convertible into common at the company’s option.