PerpetualDiscounts now yield 5.43%, equivalent to 7.06% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.47%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 360bp from the 375bp reported November 6.
| 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 | 0.2435 % | 1,978.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2435 % | 3,631.2 |
| Floater | 6.11 % | 6.30 % | 47,122 | 13.41 | 4 | 0.2435 % | 2,092.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0168 % | 3,404.1 |
| SplitShare | 4.63 % | 4.54 % | 48,678 | 3.87 | 7 | 0.0168 % | 4,065.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0168 % | 3,171.9 |
| Perpetual-Premium | 5.56 % | -18.34 % | 51,484 | 0.09 | 10 | 0.1060 % | 3,034.9 |
| Perpetual-Discount | 5.32 % | 5.43 % | 69,866 | 14.75 | 25 | 0.0121 % | 3,245.0 |
| FixedReset Disc | 5.57 % | 5.75 % | 176,255 | 14.31 | 66 | -0.0637 % | 2,110.3 |
| Deemed-Retractible | 5.17 % | 5.58 % | 62,001 | 7.79 | 27 | -0.0094 % | 3,195.0 |
| FloatingReset | 6.10 % | 10.39 % | 68,418 | 7.89 | 2 | -0.8677 % | 2,506.5 |
| FixedReset Prem | 5.10 % | 3.71 % | 146,907 | 1.62 | 20 | -0.0195 % | 2,626.3 |
| FixedReset Bank Non | 1.96 % | 4.24 % | 80,811 | 2.15 | 3 | 0.1383 % | 2,690.8 |
| FixedReset Ins Non | 5.39 % | 8.24 % | 114,116 | 7.79 | 22 | -0.5119 % | 2,148.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CU.PR.C | FixedReset Disc | -2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-13 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 5.81 % |
| TRP.PR.A | FixedReset Disc | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-13 Maturity Price : 13.56 Evaluated at bid price : 13.56 Bid-YTW : 6.52 % |
| MFC.PR.I | FixedReset Ins Non | -1.60 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.09 Bid-YTW : 7.96 % |
| MFC.PR.F | FixedReset Ins Non | -1.52 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.98 Bid-YTW : 10.77 % |
| TD.PF.E | FixedReset Disc | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-13 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 5.80 % |
| MFC.PR.L | FixedReset Ins Non | -1.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.76 Bid-YTW : 8.85 % |
| SLF.PR.G | FixedReset Ins Non | -1.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.67 Bid-YTW : 10.27 % |
| SLF.PR.H | FixedReset Ins Non | -1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.31 Bid-YTW : 8.86 % |
| IFC.PR.A | FixedReset Ins Non | -1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.55 Bid-YTW : 10.08 % |
| PWF.PR.A | Floater | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-13 Maturity Price : 11.94 Evaluated at bid price : 11.94 Bid-YTW : 5.81 % |
| BIP.PR.A | FixedReset Disc | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-13 Maturity Price : 20.17 Evaluated at bid price : 20.17 Bid-YTW : 6.42 % |
| TRP.PR.B | FixedReset Disc | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-13 Maturity Price : 11.33 Evaluated at bid price : 11.33 Bid-YTW : 6.31 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.M | FixedReset Disc | 260,201 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-13 Maturity Price : 23.02 Evaluated at bid price : 24.55 Bid-YTW : 5.16 % |
| BMO.PR.D | FixedReset Disc | 99,878 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-13 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 5.57 % |
| BAM.PF.B | FixedReset Disc | 79,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-13 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 5.96 % |
| CU.PR.I | FixedReset Prem | 55,936 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 3.28 % |
| TD.PF.I | FixedReset Disc | 50,706 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-13 Maturity Price : 21.08 Evaluated at bid price : 21.08 Bid-YTW : 5.45 % |
| RY.PR.H | FixedReset Disc | 48,847 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-13 Maturity Price : 17.32 Evaluated at bid price : 17.32 Bid-YTW : 5.47 % |
| There were 46 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.L | Perpetual-Discount | Quote: 23.51 – 24.20 Spot Rate : 0.6900 Average : 0.4749 YTW SCENARIO |
| BMO.PR.C | FixedReset Disc | Quote: 22.01 – 22.45 Spot Rate : 0.4400 Average : 0.2996 YTW SCENARIO |
| BNS.PR.I | FixedReset Disc | Quote: 19.35 – 19.93 Spot Rate : 0.5800 Average : 0.4542 YTW SCENARIO |
| CU.PR.D | Perpetual-Discount | Quote: 23.00 – 23.35 Spot Rate : 0.3500 Average : 0.2294 YTW SCENARIO |
| TRP.PR.A | FixedReset Disc | Quote: 13.56 – 13.94 Spot Rate : 0.3800 Average : 0.2668 YTW SCENARIO |
| BAM.PF.G | FixedReset Disc | Quote: 18.00 – 18.36 Spot Rate : 0.3600 Average : 0.2738 YTW SCENARIO |