PerpetualDiscounts now yield 5.15%, equivalent to 6.70% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.96%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 375bp from the 365bp reported November 4.
| 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 | -1.0821 % | 1,753.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.0821 % | 3,218.0 |
| Floater | 4.85 % | 4.91 % | 41,740 | 15.62 | 3 | -1.0821 % | 1,854.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0592 % | 3,549.1 |
| SplitShare | 4.78 % | 4.51 % | 42,321 | 3.50 | 8 | 0.0592 % | 4,238.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0592 % | 3,307.0 |
| Perpetual-Premium | 5.36 % | 3.31 % | 75,558 | 0.12 | 14 | -0.0726 % | 3,179.7 |
| Perpetual-Discount | 5.17 % | 5.15 % | 80,276 | 15.19 | 19 | 0.1952 % | 3,584.9 |
| FixedReset Disc | 5.35 % | 4.17 % | 127,765 | 16.47 | 64 | 0.2192 % | 2,163.1 |
| Insurance Straight | 5.08 % | 4.90 % | 104,185 | 15.14 | 22 | 0.1574 % | 3,496.9 |
| FloatingReset | 1.97 % | 1.93 % | 52,901 | 1.21 | 3 | 0.0837 % | 1,810.4 |
| FixedReset Prem | 5.20 % | 2.95 % | 233,656 | 0.74 | 15 | 0.0762 % | 2,662.6 |
| FixedReset Bank Non | 1.94 % | 2.10 % | 181,276 | 1.20 | 2 | 0.0201 % | 2,864.2 |
| FixedReset Ins Non | 5.36 % | 4.28 % | 65,746 | 16.35 | 22 | 0.3444 % | 2,252.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.N | FixedReset Ins Non | -3.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 4.52 % |
| PWF.PR.P | FixedReset Disc | -2.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 10.75 Evaluated at bid price : 10.75 Bid-YTW : 4.88 % |
| BAM.PR.C | Floater | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 8.81 Evaluated at bid price : 8.81 Bid-YTW : 4.92 % |
| BMO.PR.S | FixedReset Disc | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 4.07 % |
| BAM.PF.A | FixedReset Disc | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 17.33 Evaluated at bid price : 17.33 Bid-YTW : 5.37 % |
| BAM.PR.B | Floater | -1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 8.84 Evaluated at bid price : 8.84 Bid-YTW : 4.91 % |
| TRP.PR.C | FixedReset Disc | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 9.09 Evaluated at bid price : 9.09 Bid-YTW : 5.61 % |
| RY.PR.S | FixedReset Disc | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 3.84 % |
| BMO.PR.C | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 23.87 Evaluated at bid price : 24.25 Bid-YTW : 3.96 % |
| BMO.PR.E | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 4.06 % |
| MFC.PR.F | FixedReset Ins Non | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 11.20 Evaluated at bid price : 11.20 Bid-YTW : 4.30 % |
| CM.PR.Q | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 19.36 Evaluated at bid price : 19.36 Bid-YTW : 4.21 % |
| BAM.PF.B | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 16.18 Evaluated at bid price : 16.18 Bid-YTW : 5.32 % |
| BAM.PR.X | FixedReset Disc | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 11.34 Evaluated at bid price : 11.34 Bid-YTW : 5.19 % |
| TRP.PR.E | FixedReset Disc | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 13.55 Evaluated at bid price : 13.55 Bid-YTW : 5.67 % |
| MFC.PR.N | FixedReset Ins Non | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 18.04 Evaluated at bid price : 18.04 Bid-YTW : 4.19 % |
| CM.PR.S | FixedReset Disc | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 4.09 % |
| MFC.PR.I | FixedReset Ins Non | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 4.14 % |
| BIK.PR.A | FixedReset Prem | 1.47 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.62 Bid-YTW : 5.30 % |
| CM.PR.P | FixedReset Disc | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.04 % |
| SLF.PR.G | FixedReset Ins Non | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 11.48 Evaluated at bid price : 11.48 Bid-YTW : 4.13 % |
| TRP.PR.G | FixedReset Disc | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 5.66 % |
| TRP.PR.B | FixedReset Disc | 2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 8.83 Evaluated at bid price : 8.83 Bid-YTW : 5.00 % |
| NA.PR.W | FixedReset Disc | 2.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 17.47 Evaluated at bid price : 17.47 Bid-YTW : 4.28 % |
| BAM.PR.R | FixedReset Disc | 2.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 13.24 Evaluated at bid price : 13.24 Bid-YTW : 5.34 % |
| BMO.PR.Y | FixedReset Disc | 3.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 19.88 Evaluated at bid price : 19.88 Bid-YTW : 3.98 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PR.X | FixedReset Disc | 68,250 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 11.34 Evaluated at bid price : 11.34 Bid-YTW : 5.19 % |
| BAM.PR.T | FixedReset Disc | 38,125 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 13.58 Evaluated at bid price : 13.58 Bid-YTW : 5.33 % |
| RY.PR.Z | FixedReset Disc | 37,450 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 3.86 % |
| MFC.PR.J | FixedReset Ins Non | 30,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 19.36 Evaluated at bid price : 19.36 Bid-YTW : 4.32 % |
| TRP.PR.A | FixedReset Disc | 28,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 12.01 Evaluated at bid price : 12.01 Bid-YTW : 5.67 % |
| BMO.PR.T | FixedReset Disc | 18,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-11 Maturity Price : 17.94 Evaluated at bid price : 17.94 Bid-YTW : 4.04 % |
| There were 13 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.N | FixedReset Ins Non | Quote: 18.04 – 21.00 Spot Rate : 2.9600 Average : 2.4036 YTW SCENARIO |
| MFC.PR.I | FixedReset Ins Non | Quote: 21.05 – 21.87 Spot Rate : 0.8200 Average : 0.4732 YTW SCENARIO |
| PWF.PR.P | FixedReset Disc | Quote: 10.75 – 11.75 Spot Rate : 1.0000 Average : 0.7374 YTW SCENARIO |
| GWO.PR.N | FixedReset Ins Non | Quote: 10.00 – 10.49 Spot Rate : 0.4900 Average : 0.2999 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 15.71 – 16.40 Spot Rate : 0.6900 Average : 0.5231 YTW SCENARIO |
| BMO.PR.T | FixedReset Disc | Quote: 17.94 – 18.36 Spot Rate : 0.4200 Average : 0.2743 YTW SCENARIO |