PerpetualDiscounts now yield 5.05%, equivalent to 6.56% 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 370bp from the 375bp reported December 16.
| 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 | 0.2680 % | 1,896.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2680 % | 3,479.1 |
| Floater | 4.58 % | 4.57 % | 77,058 | 16.27 | 2 | 0.2680 % | 2,005.0 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0462 % | 3,624.9 |
| SplitShare | 4.78 % | 4.33 % | 41,667 | 3.79 | 9 | -0.0462 % | 4,328.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0462 % | 3,377.6 |
| Perpetual-Premium | 5.34 % | 0.51 % | 70,904 | 0.09 | 19 | 0.0503 % | 3,206.8 |
| Perpetual-Discount | 5.00 % | 5.05 % | 73,922 | 15.39 | 12 | 0.3514 % | 3,683.5 |
| FixedReset Disc | 5.03 % | 3.88 % | 144,178 | 17.32 | 56 | 0.1481 % | 2,323.6 |
| Insurance Straight | 5.06 % | 4.84 % | 88,571 | 15.35 | 22 | 0.1032 % | 3,555.1 |
| FloatingReset | 1.90 % | 2.11 % | 36,869 | 1.07 | 3 | 0.0327 % | 1,853.9 |
| FixedReset Prem | 5.16 % | 3.15 % | 212,199 | 0.78 | 22 | 0.0274 % | 2,679.9 |
| FixedReset Bank Non | 1.93 % | 1.82 % | 166,555 | 1.07 | 2 | 0.0000 % | 2,881.5 |
| FixedReset Ins Non | 5.10 % | 3.89 % | 87,652 | 17.20 | 22 | 0.1010 % | 2,402.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.D | FixedReset Disc | -9.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 13.41 Evaluated at bid price : 13.41 Bid-YTW : 5.62 % |
| IAF.PR.G | FixedReset Ins Non | -6.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 4.35 % |
| SLF.PR.H | FixedReset Ins Non | -2.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 3.78 % |
| RY.PR.H | FixedReset Disc | -2.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 3.49 % |
| CM.PR.Q | FixedReset Disc | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 20.55 Evaluated at bid price : 20.55 Bid-YTW : 3.89 % |
| BAM.PR.R | FixedReset Disc | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 14.75 Evaluated at bid price : 14.75 Bid-YTW : 4.65 % |
| CU.PR.G | Perpetual-Discount | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 23.30 Evaluated at bid price : 23.77 Bid-YTW : 4.75 % |
| TRP.PR.C | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 10.25 Evaluated at bid price : 10.25 Bid-YTW : 4.79 % |
| IFC.PR.A | FixedReset Ins Non | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 15.19 Evaluated at bid price : 15.19 Bid-YTW : 3.74 % |
| TRP.PR.E | FixedReset Disc | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 14.75 Evaluated at bid price : 14.75 Bid-YTW : 5.05 % |
| NA.PR.G | FixedReset Disc | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 22.23 Evaluated at bid price : 22.65 Bid-YTW : 3.82 % |
| BAM.PF.G | FixedReset Disc | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.97 % |
| BAM.PF.B | FixedReset Disc | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 4.89 % |
| MFC.PR.M | FixedReset Ins Non | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 3.91 % |
| TRP.PR.A | FixedReset Disc | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 13.20 Evaluated at bid price : 13.20 Bid-YTW : 4.94 % |
| IFC.PR.C | FixedReset Ins Non | 2.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 3.84 % |
| BAM.PR.T | FixedReset Disc | 2.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 14.75 Evaluated at bid price : 14.75 Bid-YTW : 4.74 % |
| MFC.PR.H | FixedReset Ins Non | 3.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 22.90 Evaluated at bid price : 23.39 Bid-YTW : 3.83 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.J | FixedReset Disc | 124,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 21.64 Evaluated at bid price : 21.97 Bid-YTW : 3.61 % |
| TD.PF.A | FixedReset Disc | 44,200 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 20.74 Evaluated at bid price : 20.74 Bid-YTW : 3.48 % |
| TD.PF.G | FixedReset Prem | 30,620 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.48 Bid-YTW : 2.34 % |
| TRP.PR.E | FixedReset Disc | 24,750 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 14.75 Evaluated at bid price : 14.75 Bid-YTW : 5.05 % |
| RY.PR.H | FixedReset Disc | 18,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 3.49 % |
| BMO.PR.D | FixedReset Disc | 17,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-12-30 Maturity Price : 23.84 Evaluated at bid price : 24.20 Bid-YTW : 3.79 % |
| There were 4 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: 21.28 – 25.50 Spot Rate : 4.2200 Average : 3.4422 YTW SCENARIO |
| TRP.PR.D | FixedReset Disc | Quote: 13.41 – 15.30 Spot Rate : 1.8900 Average : 1.1581 YTW SCENARIO |
| IAF.PR.I | FixedReset Ins Non | Quote: 21.10 – 22.85 Spot Rate : 1.7500 Average : 1.0542 YTW SCENARIO |
| IAF.PR.G | FixedReset Ins Non | Quote: 19.10 – 20.79 Spot Rate : 1.6900 Average : 1.2533 YTW SCENARIO |
| TRP.PR.A | FixedReset Disc | Quote: 13.20 – 13.95 Spot Rate : 0.7500 Average : 0.4493 YTW SCENARIO |
| MFC.PR.L | FixedReset Ins Non | Quote: 17.90 – 18.75 Spot Rate : 0.8500 Average : 0.5911 YTW SCENARIO |
Thank you for all your posts James. Here’s hoping 2021 is a better year and we can see yield spreads narrow some more.
Thank you for all your posts James.
You’re welcome! Best wishes for the new year!