PerpetualDiscounts now yield 5.15%, equivalent to 6.70% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.07%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has declined slightly (and perhaps spuriously) to 365bp from the 370bp reported October 28.
| 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 | 0.4559 % | 1,603.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4559 % | 2,942.4 |
| Floater | 5.31 % | 5.36 % | 40,712 | 14.87 | 3 | 0.4559 % | 1,695.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 3,531.1 |
| SplitShare | 4.80 % | 4.77 % | 44,965 | 3.51 | 8 | 0.0000 % | 4,216.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 3,290.2 |
| Perpetual-Premium | 5.36 % | 0.86 % | 81,018 | 0.14 | 14 | 0.0330 % | 3,179.6 |
| Perpetual-Discount | 5.21 % | 5.15 % | 88,659 | 15.21 | 19 | 0.3977 % | 3,559.0 |
| FixedReset Disc | 5.49 % | 4.17 % | 131,593 | 16.54 | 64 | 0.1263 % | 2,108.6 |
| Insurance Straight | 5.11 % | 4.96 % | 109,995 | 15.13 | 22 | 0.1546 % | 3,476.8 |
| FloatingReset | 1.97 % | 2.15 % | 48,460 | 1.23 | 3 | 0.0674 % | 1,799.2 |
| FixedReset Prem | 5.22 % | 3.17 % | 238,736 | 0.76 | 15 | 0.1614 % | 2,649.1 |
| FixedReset Bank Non | 1.94 % | 2.03 % | 186,350 | 1.22 | 2 | 0.2414 % | 2,867.7 |
| FixedReset Ins Non | 5.49 % | 4.26 % | 71,886 | 16.38 | 22 | 0.2280 % | 2,200.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BIP.PR.A | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-04 Maturity Price : 16.81 Evaluated at bid price : 16.81 Bid-YTW : 5.97 % |
| BAM.PR.B | Floater | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-04 Maturity Price : 8.14 Evaluated at bid price : 8.14 Bid-YTW : 5.33 % |
| BAM.PR.K | Floater | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-04 Maturity Price : 8.10 Evaluated at bid price : 8.10 Bid-YTW : 5.36 % |
| PWF.PR.P | FixedReset Disc | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-04 Maturity Price : 10.63 Evaluated at bid price : 10.63 Bid-YTW : 4.71 % |
| BAM.PR.M | Perpetual-Discount | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-04 Maturity Price : 21.65 Evaluated at bid price : 21.90 Bid-YTW : 5.48 % |
| IFC.PR.A | FixedReset Ins Non | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-04 Maturity Price : 12.85 Evaluated at bid price : 12.85 Bid-YTW : 4.48 % |
| MFC.PR.L | FixedReset Ins Non | 1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-04 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 4.31 % |
| BAM.PR.N | Perpetual-Discount | 1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-04 Maturity Price : 21.65 Evaluated at bid price : 21.90 Bid-YTW : 5.48 % |
| CU.PR.I | FixedReset Prem | 1.88 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : -3.97 % |
| TRP.PR.A | FixedReset Disc | 2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-04 Maturity Price : 11.70 Evaluated at bid price : 11.70 Bid-YTW : 5.66 % |
| GWO.PR.N | FixedReset Ins Non | 2.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-04 Maturity Price : 10.10 Evaluated at bid price : 10.10 Bid-YTW : 4.25 % |
| BAM.PF.D | Perpetual-Discount | 3.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-04 Maturity Price : 22.45 Evaluated at bid price : 22.73 Bid-YTW : 5.44 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.F | FloatingReset | 60,251 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.86 Bid-YTW : 1.90 % |
| IFC.PR.F | Insurance Straight | 45,000 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-09-30 Maturity Price : 25.25 Evaluated at bid price : 25.55 Bid-YTW : 5.12 % |
| TD.PF.H | FixedReset Prem | 29,225 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.27 Bid-YTW : 3.80 % |
| BMO.PR.B | FixedReset Prem | 27,500 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 3.05 % |
| TD.PF.A | FixedReset Disc | 17,390 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-04 Maturity Price : 17.69 Evaluated at bid price : 17.69 Bid-YTW : 4.03 % |
| BNS.PR.Z | FixedReset Bank Non | 15,500 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.94 Bid-YTW : 2.03 % |
| There were 3 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.F | FloatingReset | Quote: 9.92 – 11.22 Spot Rate : 1.3000 Average : 0.7755 YTW SCENARIO |
| BAM.PF.E | FixedReset Disc | Quote: 14.65 – 15.49 Spot Rate : 0.8400 Average : 0.5860 YTW SCENARIO |
| RY.PR.P | Perpetual-Premium | Quote: 26.40 – 26.84 Spot Rate : 0.4400 Average : 0.2522 YTW SCENARIO |
| BAM.PR.N | Perpetual-Discount | Quote: 21.90 – 22.50 Spot Rate : 0.6000 Average : 0.4588 YTW SCENARIO |
| BIP.PR.E | FixedReset Disc | Quote: 21.65 – 22.00 Spot Rate : 0.3500 Average : 0.2318 YTW SCENARIO |
| IFC.PR.C | FixedReset Ins Non | Quote: 16.75 – 17.35 Spot Rate : 0.6000 Average : 0.4881 YTW SCENARIO |