PerpetualDiscounts now yield 4.84%, equivalent to 6.29% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.51%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has rocketted to 280bp from the 245bp reported November 17.
| 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 | 2.97 % | 3.41 % | 49,115 | 20.15 | 1 | 0.0000 % | 2,936.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2300 % | 5,373.6 |
| Floater | 2.97 % | 2.98 % | 87,532 | 19.72 | 3 | -0.2300 % | 3,096.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1356 % | 3,690.6 |
| SplitShare | 4.64 % | 4.05 % | 57,998 | 3.85 | 5 | 0.1356 % | 4,407.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1356 % | 3,438.8 |
| Perpetual-Premium | 5.12 % | -8.19 % | 44,942 | 0.09 | 28 | -0.1074 % | 3,268.0 |
| Perpetual-Discount | 4.71 % | 4.84 % | 67,673 | 15.70 | 6 | -0.0136 % | 3,848.0 |
| FixedReset Disc | 3.79 % | 3.96 % | 124,689 | 17.01 | 37 | 1.1423 % | 2,914.1 |
| Insurance Straight | 4.93 % | 4.16 % | 89,592 | 3.25 | 20 | 0.0376 % | 3,681.2 |
| FloatingReset | 2.43 % | 2.77 % | 29,422 | 20.28 | 2 | -1.0685 % | 2,930.9 |
| FixedReset Prem | 4.65 % | 3.09 % | 121,852 | 2.28 | 33 | -0.0059 % | 2,748.0 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.1423 % | 2,978.8 |
| FixedReset Ins Non | 4.02 % | 3.90 % | 101,411 | 16.81 | 19 | 0.0469 % | 2,997.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.X | FixedReset Disc | -2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-24 Maturity Price : 18.20 Evaluated at bid price : 18.20 Bid-YTW : 4.62 % |
| TRP.PR.F | FloatingReset | -1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-24 Maturity Price : 18.31 Evaluated at bid price : 18.31 Bid-YTW : 2.77 % |
| MIC.PR.A | Perpetual-Premium | -1.28 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2029-03-31 Maturity Price : 25.25 Evaluated at bid price : 27.04 Bid-YTW : 4.37 % |
| TRP.PR.B | FixedReset Disc | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-24 Maturity Price : 14.69 Evaluated at bid price : 14.69 Bid-YTW : 4.47 % |
| BAM.PF.B | FixedReset Disc | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-24 Maturity Price : 23.01 Evaluated at bid price : 23.85 Bid-YTW : 4.41 % |
| TRP.PR.C | FixedReset Disc | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-24 Maturity Price : 16.13 Evaluated at bid price : 16.13 Bid-YTW : 4.42 % |
| BAM.PR.R | FixedReset Disc | 2.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-24 Maturity Price : 20.77 Evaluated at bid price : 20.77 Bid-YTW : 4.50 % |
| TRP.PR.G | FixedReset Disc | 74.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-24 Maturity Price : 22.34 Evaluated at bid price : 23.00 Bid-YTW : 4.58 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.H | FixedReset Ins Non | 168,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : 2.73 % |
| FTS.PR.K | FixedReset Disc | 37,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-24 Maturity Price : 21.52 Evaluated at bid price : 21.90 Bid-YTW : 4.12 % |
| BAM.PF.F | FixedReset Disc | 33,370 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-24 Maturity Price : 23.03 Evaluated at bid price : 24.07 Bid-YTW : 4.50 % |
| TD.PF.D | FixedReset Disc | 29,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 3.45 % |
| PWF.PF.A | Perpetual-Discount | 29,000 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-24 Maturity Price : 24.31 Evaluated at bid price : 24.70 Bid-YTW : 4.59 % |
| CM.PR.P | FixedReset Disc | 25,012 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-11-24 Maturity Price : 23.24 Evaluated at bid price : 24.69 Bid-YTW : 3.77 % |
| There were 14 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.F | Perpetual-Discount | Quote: 24.30 – 25.00 Spot Rate : 0.7000 Average : 0.4597 YTW SCENARIO |
| CU.PR.E | Perpetual-Premium | Quote: 25.12 – 25.70 Spot Rate : 0.5800 Average : 0.3579 YTW SCENARIO |
| TRP.PR.F | FloatingReset | Quote: 18.31 – 18.90 Spot Rate : 0.5900 Average : 0.4025 YTW SCENARIO |
| MIC.PR.A | Perpetual-Premium | Quote: 27.04 – 27.58 Spot Rate : 0.5400 Average : 0.3717 YTW SCENARIO |
| CU.PR.C | FixedReset Disc | Quote: 23.40 – 24.00 Spot Rate : 0.6000 Average : 0.4549 YTW SCENARIO |
| BAM.PR.M | Perpetual-Discount | Quote: 24.65 – 25.25 Spot Rate : 0.6000 Average : 0.4603 YTW SCENARIO |