PerpetualDiscounts now yield 5.43%, equivalent to 7.06% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.36%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 370bp from the 360bp reported November 13.
| 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 | -0.3779 % | 1,958.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3779 % | 3,594.3 |
| Floater | 6.17 % | 6.33 % | 45,304 | 13.35 | 4 | -0.3779 % | 2,071.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0785 % | 3,404.9 |
| SplitShare | 4.63 % | 4.59 % | 47,986 | 3.85 | 7 | 0.0785 % | 4,066.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0785 % | 3,172.6 |
| Perpetual-Premium | 5.55 % | -20.57 % | 46,522 | 0.09 | 10 | 0.1372 % | 3,040.9 |
| Perpetual-Discount | 5.31 % | 5.43 % | 70,044 | 14.73 | 25 | 0.0744 % | 3,251.6 |
| FixedReset Disc | 5.60 % | 5.63 % | 182,382 | 14.37 | 66 | -0.1566 % | 2,101.1 |
| Deemed-Retractible | 5.16 % | 5.59 % | 63,764 | 7.77 | 27 | 0.0858 % | 3,202.1 |
| FloatingReset | 6.19 % | 6.76 % | 108,601 | 12.77 | 2 | -0.5908 % | 2,460.8 |
| FixedReset Prem | 5.13 % | 3.84 % | 119,110 | 1.60 | 20 | -0.1328 % | 2,617.8 |
| FixedReset Bank Non | 1.97 % | 4.06 % | 74,107 | 2.13 | 3 | 0.0000 % | 2,689.0 |
| FixedReset Ins Non | 5.46 % | 8.13 % | 121,078 | 7.84 | 22 | -0.5259 % | 2,138.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| EMA.PR.C | FixedReset Disc | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-20 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 6.10 % |
| SLF.PR.G | FixedReset Ins Non | -1.55 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.35 Bid-YTW : 10.48 % |
| 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 : 12.35 Bid-YTW : 11.19 % |
| IFC.PR.G | FixedReset Ins Non | -1.50 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.42 Bid-YTW : 8.45 % |
| BIK.PR.A | FixedReset Prem | -1.36 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 5.69 % |
| MFC.PR.K | FixedReset Ins Non | -1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.32 Bid-YTW : 8.60 % |
| PWF.PR.A | Floater | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-20 Maturity Price : 11.58 Evaluated at bid price : 11.58 Bid-YTW : 6.02 % |
| TD.PF.D | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-20 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.63 % |
| BIP.PR.F | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-20 Maturity Price : 21.89 Evaluated at bid price : 22.30 Bid-YTW : 5.79 % |
| BAM.PF.A | FixedReset Disc | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-20 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 5.82 % |
| CU.PR.C | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-20 Maturity Price : 16.62 Evaluated at bid price : 16.62 Bid-YTW : 5.74 % |
| TD.PF.C | FixedReset Disc | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-20 Maturity Price : 16.91 Evaluated at bid price : 16.91 Bid-YTW : 5.56 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.F | FloatingReset | 172,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-20 Maturity Price : 13.52 Evaluated at bid price : 13.52 Bid-YTW : 6.76 % |
| TRP.PR.A | FixedReset Disc | 167,802 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-20 Maturity Price : 13.70 Evaluated at bid price : 13.70 Bid-YTW : 6.29 % |
| BMO.PR.E | FixedReset Disc | 129,127 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-20 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.50 % |
| TRP.PR.D | FixedReset Disc | 95,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-20 Maturity Price : 15.97 Evaluated at bid price : 15.97 Bid-YTW : 6.12 % |
| BMO.PR.F | FixedReset Disc | 48,390 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-20 Maturity Price : 23.00 Evaluated at bid price : 24.46 Bid-YTW : 5.06 % |
| IFC.PR.G | FixedReset Ins Non | 40,200 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.42 Bid-YTW : 8.45 % |
| There were 40 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| EML.PR.A | FixedReset Ins Non | Quote: 25.65 – 26.12 Spot Rate : 0.4700 Average : 0.3110 YTW SCENARIO |
| EMA.PR.C | FixedReset Disc | Quote: 17.60 – 17.98 Spot Rate : 0.3800 Average : 0.2678 YTW SCENARIO |
| IFC.PR.G | FixedReset Ins Non | Quote: 18.42 – 18.80 Spot Rate : 0.3800 Average : 0.2694 YTW SCENARIO |
| PVS.PR.F | SplitShare | Quote: 25.50 – 25.89 Spot Rate : 0.3900 Average : 0.2885 YTW SCENARIO |
| CM.PR.Q | FixedReset Disc | Quote: 18.11 – 18.39 Spot Rate : 0.2800 Average : 0.1829 YTW SCENARIO |
| BMO.PR.Y | FixedReset Disc | Quote: 18.83 – 19.15 Spot Rate : 0.3200 Average : 0.2288 YTW SCENARIO |