PerpetualDiscounts now yield 5.06%, equivalent to 6.58% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.84%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 375bp from the 380bp reported November 25.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| 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 | 0.8515 % | 1,892.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.8515 % | 3,471.8 |
| Floater | 4.53 % | 4.57 % | 55,546 | 16.20 | 2 | 0.8515 % | 2,000.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0262 % | 3,600.8 |
| SplitShare | 4.81 % | 4.18 % | 37,489 | 3.87 | 9 | 0.0262 % | 4,300.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0262 % | 3,355.1 |
| Perpetual-Premium | 5.33 % | 1.34 % | 74,916 | 0.23 | 19 | 0.1589 % | 3,198.7 |
| Perpetual-Discount | 5.00 % | 5.06 % | 81,406 | 15.36 | 12 | 0.1963 % | 3,659.9 |
| FixedReset Disc | 5.14 % | 3.96 % | 131,916 | 17.15 | 56 | 0.5600 % | 2,263.9 |
| Insurance Straight | 5.02 % | 4.69 % | 92,668 | 4.96 | 22 | 0.1931 % | 3,575.7 |
| FloatingReset | 1.96 % | 2.21 % | 42,025 | 1.15 | 3 | 0.4655 % | 1,833.6 |
| FixedReset Prem | 5.16 % | 3.05 % | 205,908 | 0.84 | 22 | 0.1973 % | 2,673.3 |
| FixedReset Bank Non | 1.94 % | 2.13 % | 172,832 | 1.15 | 2 | -0.0402 % | 2,864.2 |
| FixedReset Ins Non | 5.24 % | 4.02 % | 74,487 | 16.94 | 22 | 0.6250 % | 2,330.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.E | Insurance Straight | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 24.09 Evaluated at bid price : 24.35 Bid-YTW : 4.61 % |
| CU.PR.D | Perpetual-Discount | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 24.17 Evaluated at bid price : 24.48 Bid-YTW : 5.02 % |
| POW.PR.D | Perpetual-Premium | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 24.92 Evaluated at bid price : 25.15 Bid-YTW : 5.03 % |
| BAM.PF.A | FixedReset Disc | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 18.85 Evaluated at bid price : 18.85 Bid-YTW : 4.88 % |
| PWF.PR.S | Perpetual-Discount | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 24.21 Evaluated at bid price : 24.50 Bid-YTW : 4.94 % |
| MFC.PR.I | FixedReset Ins Non | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 21.37 Evaluated at bid price : 21.37 Bid-YTW : 3.97 % |
| NA.PR.S | FixedReset Disc | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 3.96 % |
| BAM.PF.B | FixedReset Disc | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 4.99 % |
| GWO.PR.Q | Insurance Straight | 1.09 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 4.69 % |
| BIP.PR.A | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 5.58 % |
| BAM.PF.F | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 4.99 % |
| BAM.PR.K | Floater | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 9.45 Evaluated at bid price : 9.45 Bid-YTW : 4.60 % |
| IFC.PR.A | FixedReset Ins Non | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 13.61 Evaluated at bid price : 13.61 Bid-YTW : 4.31 % |
| BIP.PR.B | FixedReset Prem | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 23.93 Evaluated at bid price : 24.86 Bid-YTW : 5.49 % |
| GWO.PR.N | FixedReset Ins Non | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 10.51 Evaluated at bid price : 10.51 Bid-YTW : 4.12 % |
| TRP.PR.A | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 12.62 Evaluated at bid price : 12.62 Bid-YTW : 5.17 % |
| RY.PR.M | FixedReset Disc | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 3.82 % |
| IFC.PR.C | FixedReset Ins Non | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.26 % |
| TRP.PR.D | FixedReset Disc | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 14.65 Evaluated at bid price : 14.65 Bid-YTW : 5.23 % |
| CU.PR.G | Perpetual-Discount | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 23.67 Evaluated at bid price : 24.19 Bid-YTW : 4.65 % |
| GWO.PR.S | Insurance Straight | 1.50 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 4.78 % |
| MFC.PR.G | FixedReset Ins Non | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 21.27 Evaluated at bid price : 21.27 Bid-YTW : 3.95 % |
| BMO.PR.Y | FixedReset Disc | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 20.53 Evaluated at bid price : 20.53 Bid-YTW : 3.82 % |
| TRP.PR.G | FixedReset Disc | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 15.84 Evaluated at bid price : 15.84 Bid-YTW : 5.37 % |
| TD.PF.C | FixedReset Disc | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 3.66 % |
| BIP.PR.F | FixedReset Disc | 1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 22.79 Evaluated at bid price : 23.65 Bid-YTW : 5.35 % |
| CM.PR.Q | FixedReset Disc | 1.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 20.73 Evaluated at bid price : 20.73 Bid-YTW : 3.90 % |
| TRP.PR.F | FloatingReset | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 10.81 Evaluated at bid price : 10.81 Bid-YTW : 4.69 % |
| BAM.PF.E | FixedReset Disc | 1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 15.95 Evaluated at bid price : 15.95 Bid-YTW : 5.00 % |
| MFC.PR.F | FixedReset Ins Non | 2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 11.51 Evaluated at bid price : 11.51 Bid-YTW : 4.02 % |
| SLF.PR.H | FixedReset Ins Non | 2.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 16.57 Evaluated at bid price : 16.57 Bid-YTW : 3.94 % |
| MFC.PR.M | FixedReset Ins Non | 2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 4.00 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.S | FixedReset Disc | 183,182 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 21.30 Evaluated at bid price : 21.60 Bid-YTW : 3.60 % |
| BMO.PR.B | FixedReset Prem | 139,400 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.57 Bid-YTW : 3.05 % |
| TD.PF.M | FixedReset Prem | 126,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 23.40 Evaluated at bid price : 25.35 Bid-YTW : 4.05 % |
| BNS.PR.G | FixedReset Prem | 95,525 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 25.53 Bid-YTW : 3.04 % |
| TRP.PR.D | FixedReset Disc | 78,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 14.65 Evaluated at bid price : 14.65 Bid-YTW : 5.23 % |
| BAM.PR.K | Floater | 71,715 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-02 Maturity Price : 9.45 Evaluated at bid price : 9.45 Bid-YTW : 4.60 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| RY.PR.M | FixedReset Disc | Quote: 20.00 – 25.50 Spot Rate : 5.5000 Average : 4.3477 YTW SCENARIO |
| TRP.PR.G | FixedReset Disc | Quote: 15.84 – 17.00 Spot Rate : 1.1600 Average : 0.6782 YTW SCENARIO |
| BAM.PF.E | FixedReset Disc | Quote: 15.95 – 17.00 Spot Rate : 1.0500 Average : 0.6558 YTW SCENARIO |
| IFC.PR.G | FixedReset Ins Non | Quote: 18.95 – 19.44 Spot Rate : 0.4900 Average : 0.2873 YTW SCENARIO |
| CU.PR.D | Perpetual-Discount | Quote: 24.48 – 24.99 Spot Rate : 0.5100 Average : 0.3469 YTW SCENARIO |
| GWO.PR.R | Insurance Straight | Quote: 24.50 – 25.05 Spot Rate : 0.5500 Average : 0.3919 YTW SCENARIO |