Plunging rate expectations are well illustrated by this chart from Reuters:
Rate Expectations … isn’t there a novel with that title?
| 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 | 0.5345 % | 2,180.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.5345 % | 4,182.9 |
| Floater | 11.17 % | 11.52 % | 50,411 | 8.34 | 2 | 0.5345 % | 2,410.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2283 % | 3,374.2 |
| SplitShare | 4.98 % | 7.20 % | 54,347 | 1.81 | 8 | 0.2283 % | 4,029.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2283 % | 3,144.0 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3322 % | 2,537.8 |
| Perpetual-Discount | 6.73 % | 6.92 % | 52,233 | 12.62 | 33 | 0.3322 % | 2,767.4 |
| FixedReset Disc | 5.79 % | 7.91 % | 125,155 | 11.79 | 55 | 0.3028 % | 2,230.2 |
| Insurance Straight | 6.55 % | 6.75 % | 66,814 | 12.96 | 19 | 0.0166 % | 2,752.2 |
| FloatingReset | 10.47 % | 10.50 % | 35,587 | 9.24 | 1 | 1.1039 % | 2,504.3 |
| FixedReset Prem | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3028 % | 2,521.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3028 % | 2,279.7 |
| FixedReset Ins Non | 5.64 % | 7.53 % | 81,066 | 12.27 | 14 | 0.2611 % | 2,520.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| RY.PR.N | Perpetual-Discount | -9.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 19.71 Evaluated at bid price : 19.71 Bid-YTW : 6.27 % |
| BMO.PR.Y | FixedReset Disc | -3.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 8.38 % |
| BIP.PR.E | FixedReset Disc | -2.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 20.07 Evaluated at bid price : 20.07 Bid-YTW : 8.24 % |
| BIP.PR.F | FixedReset Disc | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 8.36 % |
| PWF.PR.P | FixedReset Disc | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 13.16 Evaluated at bid price : 13.16 Bid-YTW : 8.96 % |
| GWO.PR.H | Insurance Straight | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 17.81 Evaluated at bid price : 17.81 Bid-YTW : 6.82 % |
| IFC.PR.F | Insurance Straight | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 19.88 Evaluated at bid price : 19.88 Bid-YTW : 6.81 % |
| PVS.PR.H | SplitShare | -1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 7.54 % |
| PWF.PR.F | Perpetual-Discount | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 19.12 Evaluated at bid price : 19.12 Bid-YTW : 6.97 % |
| BN.PR.T | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 9.70 % |
| PWF.PR.S | Perpetual-Discount | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 6.92 % |
| BN.PF.H | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 20.11 Evaluated at bid price : 20.11 Bid-YTW : 9.21 % |
| PVS.PR.I | SplitShare | 1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-10-31 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 7.25 % |
| BMO.PR.T | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 7.89 % |
| SLF.PR.J | FloatingReset | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 15.57 Evaluated at bid price : 15.57 Bid-YTW : 10.50 % |
| IFC.PR.G | FixedReset Ins Non | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 21.47 Evaluated at bid price : 21.75 Bid-YTW : 7.15 % |
| BN.PF.D | Perpetual-Discount | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 7.29 % |
| BNS.PR.I | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 22.34 Evaluated at bid price : 23.13 Bid-YTW : 6.56 % |
| BN.PR.N | Perpetual-Discount | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 16.74 Evaluated at bid price : 16.74 Bid-YTW : 7.26 % |
| CU.PR.D | Perpetual-Discount | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 6.68 % |
| PWF.PR.K | Perpetual-Discount | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 6.94 % |
| FTS.PR.F | Perpetual-Discount | 1.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 18.78 Evaluated at bid price : 18.78 Bid-YTW : 6.58 % |
| MFC.PR.F | FixedReset Ins Non | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 7.83 % |
| PVS.PR.J | SplitShare | 1.59 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 22.35 Bid-YTW : 7.37 % |
| RY.PR.O | Perpetual-Discount | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 21.36 Evaluated at bid price : 21.36 Bid-YTW : 5.78 % |
| BN.PF.G | FixedReset Disc | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 15.70 Evaluated at bid price : 15.70 Bid-YTW : 9.79 % |
| BN.PR.M | Perpetual-Discount | 1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 16.85 Evaluated at bid price : 16.85 Bid-YTW : 7.21 % |
| TD.PF.J | FixedReset Disc | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 21.87 Evaluated at bid price : 22.30 Bid-YTW : 6.95 % |
| BN.PR.X | FixedReset Disc | 2.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 9.20 % |
| BN.PF.I | FixedReset Disc | 2.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 9.39 % |
| BMO.PR.W | FixedReset Disc | 2.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 7.91 % |
| PWF.PF.A | Perpetual-Discount | 2.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 17.17 Evaluated at bid price : 17.17 Bid-YTW : 6.65 % |
| BN.PF.J | FixedReset Disc | 3.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 8.73 % |
| BN.PF.E | FixedReset Disc | 4.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 15.16 Evaluated at bid price : 15.16 Bid-YTW : 9.79 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BN.PF.H | FixedReset Disc | 93,294 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 20.11 Evaluated at bid price : 20.11 Bid-YTW : 9.21 % |
| FTS.PR.H | FixedReset Disc | 40,116 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 13.06 Evaluated at bid price : 13.06 Bid-YTW : 9.03 % |
| BN.PR.N | Perpetual-Discount | 37,625 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 16.74 Evaluated at bid price : 16.74 Bid-YTW : 7.26 % |
| CU.PR.C | FixedReset Disc | 35,549 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 8.25 % |
| NA.PR.S | FixedReset Disc | 27,927 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 19.36 Evaluated at bid price : 19.36 Bid-YTW : 7.77 % |
| RY.PR.Z | FixedReset Disc | 26,867 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2053-12-01 Maturity Price : 19.80 Evaluated at bid price : 19.80 Bid-YTW : 7.33 % |
| There were 16 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BN.PR.X | FixedReset Disc | Quote: 14.40 – 16.30 Spot Rate : 1.9000 Average : 1.0703 YTW SCENARIO |
| RY.PR.N | Perpetual-Discount | Quote: 19.71 – 21.65 Spot Rate : 1.9400 Average : 1.1955 YTW SCENARIO |
| BMO.PR.Y | FixedReset Disc | Quote: 17.75 – 18.75 Spot Rate : 1.0000 Average : 0.7062 YTW SCENARIO |
| BN.PF.F | FixedReset Disc | Quote: 17.00 – 18.30 Spot Rate : 1.3000 Average : 1.0099 YTW SCENARIO |
| TD.PF.D | FixedReset Disc | Quote: 18.97 – 19.97 Spot Rate : 1.0000 Average : 0.7453 YTW SCENARIO |
| BIP.PR.E | FixedReset Disc | Quote: 20.07 – 21.16 Spot Rate : 1.0900 Average : 0.8989 YTW SCENARIO |
[…] high at 17% in November, fuelled by market action as investors increasingly took the view that monetary policy will soon loosen, reinforced by good news for property insurers with respect to taxation of dividends from their […]
[…] yields … and perhaps they have already and we have just seen the tide turn due to hopes that monetary policy will soon loosen, reinforced by good news for property insurers with respect to taxation of dividends from their […]