PerpetualDiscounts now yield 4.80%, equivalent to 6.24% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.28%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 295bp from the 285bp reported January 5.
| 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 | 3.00 % | 3.45 % | 41,622 | 20.11 | 1 | 0.0490 % | 2,906.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3470 % | 5,373.6 |
| Floater | 2.97 % | 2.98 % | 52,622 | 19.79 | 3 | 0.3470 % | 3,096.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5014 % | 3,644.5 |
| SplitShare | 4.71 % | 4.43 % | 29,739 | 3.58 | 6 | -0.5014 % | 4,352.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5014 % | 3,395.9 |
| Perpetual-Premium | 5.15 % | -17.53 % | 49,479 | 0.09 | 24 | -0.0375 % | 3,256.6 |
| Perpetual-Discount | 4.68 % | 4.80 % | 47,038 | 15.79 | 7 | 0.9175 % | 3,883.4 |
| FixedReset Disc | 3.93 % | 3.93 % | 116,463 | 16.80 | 46 | 0.1095 % | 2,891.9 |
| Insurance Straight | 4.87 % | 3.39 % | 82,269 | 0.46 | 17 | -0.0467 % | 3,673.9 |
| FloatingReset | 2.64 % | 3.01 % | 34,847 | 19.73 | 2 | 0.7100 % | 2,878.1 |
| FixedReset Prem | 4.73 % | 2.96 % | 105,106 | 1.76 | 25 | -0.0918 % | 2,731.3 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1095 % | 2,956.1 |
| FixedReset Ins Non | 4.07 % | 3.77 % | 70,219 | 17.01 | 17 | 0.2102 % | 2,987.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.B | FixedReset Disc | -3.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 22.56 Evaluated at bid price : 22.85 Bid-YTW : 4.59 % |
| RS.PR.A | SplitShare | -2.26 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-12-31 Maturity Price : 10.00 Evaluated at bid price : 10.38 Bid-YTW : 4.22 % |
| MFC.PR.L | FixedReset Ins Non | -1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 22.25 Evaluated at bid price : 22.60 Bid-YTW : 4.10 % |
| TD.PF.J | FixedReset Prem | -1.29 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.19 Bid-YTW : 3.91 % |
| NA.PR.E | FixedReset Disc | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 23.75 Evaluated at bid price : 24.90 Bid-YTW : 4.07 % |
| BMO.PR.W | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 23.10 Evaluated at bid price : 24.24 Bid-YTW : 3.84 % |
| PWF.PF.A | Perpetual-Discount | 1.12 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2030-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 4.38 % |
| TRP.PR.D | FixedReset Disc | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 21.29 Evaluated at bid price : 21.29 Bid-YTW : 4.59 % |
| TD.PF.M | FixedReset Prem | 1.23 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.32 Bid-YTW : 2.85 % |
| IFC.PR.A | FixedReset Ins Non | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 21.40 Evaluated at bid price : 21.71 Bid-YTW : 3.74 % |
| CU.PR.G | Perpetual-Discount | 2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 24.25 Evaluated at bid price : 24.55 Bid-YTW : 4.62 % |
| BAM.PR.R | FixedReset Disc | 2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 4.42 % |
| TRP.PR.B | FixedReset Disc | 2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 4.54 % |
| CU.PR.F | Perpetual-Discount | 2.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 24.33 Evaluated at bid price : 24.58 Bid-YTW : 4.62 % |
| BAM.PF.F | FixedReset Disc | 3.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 23.08 Evaluated at bid price : 24.13 Bid-YTW : 4.45 % |
| MFC.PR.F | FixedReset Ins Non | 4.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 3.70 % |
| TRP.PR.C | FixedReset Disc | 7.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 4.29 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.Q | FixedReset Ins Non | 60,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 23.83 Evaluated at bid price : 25.20 Bid-YTW : 4.02 % |
| BAM.PF.E | FixedReset Disc | 52,902 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 21.73 Evaluated at bid price : 22.00 Bid-YTW : 4.54 % |
| MFC.PR.K | FixedReset Ins Non | 51,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 23.89 Evaluated at bid price : 24.24 Bid-YTW : 3.92 % |
| CM.PR.P | FixedReset Disc | 45,153 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 23.12 Evaluated at bid price : 24.35 Bid-YTW : 3.80 % |
| TD.PF.C | FixedReset Disc | 29,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-01-12 Maturity Price : 23.15 Evaluated at bid price : 24.41 Bid-YTW : 3.79 % |
| RY.PR.M | FixedReset Disc | 28,400 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-11-24 Maturity Price : 25.00 Evaluated at bid price : 24.44 Bid-YTW : 3.76 % |
| There were 22 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.J | Perpetual-Premium | Quote: 25.25 – 25.79 Spot Rate : 0.5400 Average : 0.3192 YTW SCENARIO |
| BAM.PF.B | FixedReset Disc | Quote: 22.85 – 23.75 Spot Rate : 0.9000 Average : 0.6816 YTW SCENARIO |
| PWF.PR.F | Perpetual-Premium | Quote: 25.75 – 26.25 Spot Rate : 0.5000 Average : 0.3367 YTW SCENARIO |
| BMO.PR.F | FixedReset Prem | Quote: 26.28 – 26.74 Spot Rate : 0.4600 Average : 0.3204 YTW SCENARIO |
| NA.PR.E | FixedReset Disc | Quote: 24.90 – 25.45 Spot Rate : 0.5500 Average : 0.4107 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 23.52 – 23.99 Spot Rate : 0.4700 Average : 0.3523 YTW SCENARIO |
Thanks for answering my last question so thoroughly
I am going tp push my luck. What the heck is a split share? Is there a primer on these, a list of them and how to you judge risk in these?
This is the last question…promise.
Scroll down the front page of Prefblog. On the right side, below the recent posts and archives, you will find a series of instructional articles. Including this one — on split shares!
https://www.himivest.com/media/moneysaver_0611.pdf
Financial Wisdom Forum has another long thread titled ‘Split Shares’ if you want a broader discussion.