PerpetualDiscounts now yield 5.39%, equivalent to 7.01% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.31%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained at 370bp, unchanged from that reported November 20.
| 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 | 0.2663 % | 1,974.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2663 % | 3,623.2 |
| Floater | 6.12 % | 6.27 % | 43,483 | 13.42 | 4 | 0.2663 % | 2,088.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2083 % | 3,415.0 |
| SplitShare | 4.66 % | 4.50 % | 47,656 | 3.88 | 7 | -0.2083 % | 4,078.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2083 % | 3,182.0 |
| Perpetual-Premium | 5.54 % | -19.29 % | 51,260 | 0.09 | 10 | -0.0039 % | 3,046.1 |
| Perpetual-Discount | 5.29 % | 5.39 % | 68,953 | 14.80 | 25 | 0.0414 % | 3,264.9 |
| FixedReset Disc | 5.61 % | 5.69 % | 183,699 | 14.28 | 66 | -0.2470 % | 2,097.2 |
| Deemed-Retractible | 5.16 % | 5.29 % | 66,418 | 14.79 | 27 | 0.1061 % | 3,212.2 |
| FloatingReset | 6.25 % | 6.64 % | 111,359 | 12.91 | 2 | 0.5277 % | 2,455.9 |
| FixedReset Prem | 5.12 % | 3.70 % | 154,940 | 1.58 | 20 | -0.0858 % | 2,622.9 |
| FixedReset Bank Non | 1.96 % | 3.94 % | 66,709 | 2.11 | 3 | 0.2344 % | 2,702.3 |
| FixedReset Ins Non | 5.45 % | 5.65 % | 118,896 | 14.36 | 22 | -0.2287 % | 2,143.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| NA.PR.G | FixedReset Disc | -2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 5.86 % |
| IFC.PR.C | FixedReset Ins Non | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 5.92 % |
| BAM.PF.B | FixedReset Disc | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 18.16 Evaluated at bid price : 18.16 Bid-YTW : 5.92 % |
| CM.PR.S | FixedReset Disc | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 17.73 Evaluated at bid price : 17.73 Bid-YTW : 5.81 % |
| HSE.PR.G | FixedReset Disc | -1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 7.43 % |
| W.PR.K | FixedReset Prem | -1.43 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-01-15 Maturity Price : 25.00 Evaluated at bid price : 25.43 Bid-YTW : 4.26 % |
| TD.PF.I | FixedReset Disc | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 5.52 % |
| CU.PR.F | Perpetual-Discount | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 5.36 % |
| IFC.PR.G | FixedReset Ins Non | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 5.93 % |
| HSE.PR.E | FixedReset Disc | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 17.55 Evaluated at bid price : 17.55 Bid-YTW : 7.38 % |
| CM.PR.R | FixedReset Disc | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 21.18 Evaluated at bid price : 21.18 Bid-YTW : 5.74 % |
| BMO.PR.F | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 22.88 Evaluated at bid price : 24.15 Bid-YTW : 5.18 % |
| SLF.PR.J | FloatingReset | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 12.91 Evaluated at bid price : 12.91 Bid-YTW : 5.96 % |
| CU.PR.H | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 24.32 Evaluated at bid price : 24.81 Bid-YTW : 5.29 % |
| TRP.PR.A | FixedReset Disc | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 13.88 Evaluated at bid price : 13.88 Bid-YTW : 6.30 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWO.PR.I | Deemed-Retractible | 134,026 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 21.46 Evaluated at bid price : 21.46 Bid-YTW : 5.33 % |
| NA.PR.C | FixedReset Disc | 66,250 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.69 % |
| RY.PR.J | FixedReset Disc | 63,250 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 19.04 Evaluated at bid price : 19.04 Bid-YTW : 5.61 % |
| RY.PR.Q | FixedReset Prem | 55,464 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 25.69 Bid-YTW : 3.62 % |
| GWO.PR.G | Deemed-Retractible | 50,840 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2049-11-27 Maturity Price : 24.27 Evaluated at bid price : 24.57 Bid-YTW : 5.37 % |
| TRP.PR.J | FixedReset Prem | 48,900 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 3.70 % |
| There were 52 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PVS.PR.D | SplitShare | Quote: 25.04 – 25.45 Spot Rate : 0.4100 Average : 0.2325 YTW SCENARIO |
| NA.PR.G | FixedReset Disc | Quote: 19.11 – 19.53 Spot Rate : 0.4200 Average : 0.2657 YTW SCENARIO |
| PWF.PR.T | FixedReset Disc | Quote: 17.91 – 18.22 Spot Rate : 0.3100 Average : 0.1975 YTW SCENARIO |
| W.PR.K | FixedReset Prem | Quote: 25.43 – 25.75 Spot Rate : 0.3200 Average : 0.2212 YTW SCENARIO |
| SLF.PR.G | FixedReset Ins Non | Quote: 13.03 – 13.45 Spot Rate : 0.4200 Average : 0.3254 YTW SCENARIO |
| CU.PR.F | Perpetual-Discount | Quote: 21.11 – 21.50 Spot Rate : 0.3900 Average : 0.3015 YTW SCENARIO |