PerpetualDiscounts now yield 5.33%, equivalent to 6.93% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.30%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 365bp from the 360bp reported December 18.
| 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 | 0.4104 % | 2,159.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4104 % | 3,961.8 |
| Floater | 5.65 % | 5.76 % | 48,327 | 14.26 | 4 | 0.4104 % | 2,283.2 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1440 % | 3,439.4 |
| SplitShare | 4.79 % | 4.49 % | 31,999 | 3.74 | 6 | 0.1440 % | 4,107.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1440 % | 3,204.7 |
| Perpetual-Premium | 5.58 % | -2.25 % | 57,821 | 0.09 | 11 | 0.0539 % | 3,057.5 |
| Perpetual-Discount | 5.26 % | 5.33 % | 67,351 | 14.90 | 24 | 0.1059 % | 3,302.7 |
| FixedReset Disc | 5.39 % | 5.59 % | 195,128 | 14.63 | 64 | -0.0696 % | 2,214.0 |
| Deemed-Retractible | 5.14 % | 5.24 % | 70,148 | 14.90 | 27 | 0.0358 % | 3,244.1 |
| FloatingReset | 5.94 % | 5.88 % | 72,349 | 14.11 | 3 | 0.1445 % | 2,577.3 |
| FixedReset Prem | 5.09 % | 3.45 % | 139,955 | 1.52 | 22 | -0.0213 % | 2,647.4 |
| FixedReset Bank Non | 1.94 % | 3.77 % | 64,220 | 1.99 | 3 | -0.1497 % | 2,735.9 |
| FixedReset Ins Non | 5.21 % | 5.52 % | 138,746 | 14.64 | 22 | 0.2699 % | 2,251.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.E | FixedReset Disc | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 5.94 % |
| BIP.PR.E | FixedReset Disc | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 22.03 Evaluated at bid price : 22.40 Bid-YTW : 5.61 % |
| BAM.PR.R | FixedReset Disc | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 15.97 Evaluated at bid price : 15.97 Bid-YTW : 6.06 % |
| TRP.PR.D | FixedReset Disc | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 5.97 % |
| MFC.PR.C | Deemed-Retractible | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 21.47 Evaluated at bid price : 21.47 Bid-YTW : 5.30 % |
| TRP.PR.A | FixedReset Disc | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 14.66 Evaluated at bid price : 14.66 Bid-YTW : 6.06 % |
| HSE.PR.A | FixedReset Disc | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 11.88 Evaluated at bid price : 11.88 Bid-YTW : 6.96 % |
| SLF.PR.I | FixedReset Ins Non | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 5.53 % |
| HSE.PR.C | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 17.92 Evaluated at bid price : 17.92 Bid-YTW : 6.67 % |
| PWF.PR.T | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 5.49 % |
| MFC.PR.F | FixedReset Ins Non | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 13.45 Evaluated at bid price : 13.45 Bid-YTW : 5.55 % |
| BAM.PF.B | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 18.79 Evaluated at bid price : 18.79 Bid-YTW : 5.76 % |
| SLF.PR.H | FixedReset Ins Non | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 16.95 Evaluated at bid price : 16.95 Bid-YTW : 5.49 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.I | Perpetual-Premium | 125,468 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-02-14 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : -2.25 % |
| RY.PR.J | FixedReset Disc | 115,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 20.27 Evaluated at bid price : 20.27 Bid-YTW : 5.43 % |
| PWF.PR.T | FixedReset Disc | 108,570 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 5.49 % |
| TRP.PR.C | FixedReset Disc | 90,948 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 12.98 Evaluated at bid price : 12.98 Bid-YTW : 6.00 % |
| MFC.PR.Q | FixedReset Ins Non | 85,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 5.35 % |
| PWF.PR.Q | FloatingReset | 70,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-01-15 Maturity Price : 13.85 Evaluated at bid price : 13.85 Bid-YTW : 5.88 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.G | FixedReset Disc | Quote: 19.06 – 19.46 Spot Rate : 0.4000 Average : 0.2582 YTW SCENARIO |
| MFC.PR.L | FixedReset Ins Non | Quote: 17.51 – 17.91 Spot Rate : 0.4000 Average : 0.2903 YTW SCENARIO |
| BAM.PF.A | FixedReset Disc | Quote: 20.37 – 20.71 Spot Rate : 0.3400 Average : 0.2405 YTW SCENARIO |
| BAM.PF.F | FixedReset Disc | Quote: 18.86 – 19.17 Spot Rate : 0.3100 Average : 0.2137 YTW SCENARIO |
| BAM.PF.J | FixedReset Prem | Quote: 24.75 – 25.00 Spot Rate : 0.2500 Average : 0.1632 YTW SCENARIO |
| RY.PR.H | FixedReset Disc | Quote: 17.97 – 18.17 Spot Rate : 0.2000 Average : 0.1309 YTW SCENARIO |