PerpetualDiscounts now yield 5.09%, equivalent to 6.62% 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 widened slightly (and perhaps spuriously) to 380bp from the 375bp reported November 18.
| 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 | 0.4376 % | 1,821.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4376 % | 3,343.0 |
| Floater | 4.67 % | 4.76 % | 37,870 | 15.86 | 3 | 0.4376 % | 1,926.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0264 % | 3,584.0 |
| SplitShare | 4.83 % | 4.43 % | 43,795 | 3.88 | 9 | -0.0264 % | 4,280.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0264 % | 3,339.4 |
| Perpetual-Premium | 5.34 % | 2.31 % | 81,378 | 0.38 | 14 | -0.0362 % | 3,187.2 |
| Perpetual-Discount | 5.11 % | 5.09 % | 78,684 | 15.18 | 19 | 0.1495 % | 3,626.9 |
| FixedReset Disc | 5.24 % | 4.06 % | 118,127 | 16.58 | 64 | 0.1397 % | 2,206.9 |
| Insurance Straight | 5.03 % | 4.73 % | 98,508 | 15.16 | 22 | 0.5662 % | 3,546.8 |
| FloatingReset | 1.97 % | 2.45 % | 46,869 | 1.17 | 3 | -0.4643 % | 1,817.3 |
| FixedReset Prem | 5.19 % | 2.97 % | 214,328 | 0.71 | 15 | -0.0393 % | 2,666.6 |
| FixedReset Bank Non | 1.94 % | 2.07 % | 185,401 | 1.16 | 2 | 0.0000 % | 2,864.8 |
| FixedReset Ins Non | 5.36 % | 4.10 % | 75,836 | 16.79 | 22 | -0.8069 % | 2,279.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.L | FixedReset Ins Non | -25.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 12.50 Evaluated at bid price : 12.50 Bid-YTW : 5.71 % |
| TRP.PR.B | FixedReset Disc | -3.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 8.65 Evaluated at bid price : 8.65 Bid-YTW : 5.03 % |
| BAM.PR.T | FixedReset Disc | -2.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 13.55 Evaluated at bid price : 13.55 Bid-YTW : 5.29 % |
| TRP.PR.G | FixedReset Disc | -1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 15.47 Evaluated at bid price : 15.47 Bid-YTW : 5.53 % |
| TRP.PR.F | FloatingReset | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 10.53 Evaluated at bid price : 10.53 Bid-YTW : 4.88 % |
| PVS.PR.F | SplitShare | -1.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2024-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.31 Bid-YTW : 4.43 % |
| BAM.PF.B | FixedReset Disc | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 16.52 Evaluated at bid price : 16.52 Bid-YTW : 5.17 % |
| BAM.PF.D | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 23.47 Evaluated at bid price : 23.95 Bid-YTW : 5.17 % |
| SLF.PR.H | FixedReset Ins Non | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 16.45 Evaluated at bid price : 16.45 Bid-YTW : 3.98 % |
| MFC.PR.C | Insurance Straight | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 23.85 Evaluated at bid price : 24.10 Bid-YTW : 4.66 % |
| SLF.PR.C | Insurance Straight | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 23.63 Evaluated at bid price : 23.90 Bid-YTW : 4.64 % |
| SLF.PR.E | Insurance Straight | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 24.15 Evaluated at bid price : 24.40 Bid-YTW : 4.59 % |
| CM.PR.P | FixedReset Disc | 1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 19.17 Evaluated at bid price : 19.17 Bid-YTW : 3.88 % |
| GWO.PR.I | Insurance Straight | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 23.50 Evaluated at bid price : 23.77 Bid-YTW : 4.79 % |
| BAM.PR.B | Floater | 1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 9.32 Evaluated at bid price : 9.32 Bid-YTW : 4.66 % |
| BAM.PR.R | FixedReset Disc | 1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 14.02 Evaluated at bid price : 14.02 Bid-YTW : 4.98 % |
| IAF.PR.B | Insurance Straight | 2.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 24.22 Evaluated at bid price : 24.48 Bid-YTW : 4.68 % |
| SLF.PR.G | FixedReset Ins Non | 3.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 11.85 Evaluated at bid price : 11.85 Bid-YTW : 3.89 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.J | FixedReset Disc | 162,730 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 20.81 Evaluated at bid price : 20.81 Bid-YTW : 4.04 % |
| BAM.PR.R | FixedReset Disc | 108,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 14.02 Evaluated at bid price : 14.02 Bid-YTW : 4.98 % |
| MFC.PR.C | Insurance Straight | 89,577 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 23.85 Evaluated at bid price : 24.10 Bid-YTW : 4.66 % |
| TRP.PR.K | FixedReset Disc | 72,475 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 23.69 Evaluated at bid price : 24.90 Bid-YTW : 4.87 % |
| PVS.PR.G | SplitShare | 65,600 | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2026-02-28 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 4.85 % |
| BAM.PF.F | FixedReset Disc | 49,265 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2050-11-25 Maturity Price : 16.93 Evaluated at bid price : 16.93 Bid-YTW : 5.20 % |
| There were 32 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.L | FixedReset Ins Non | Quote: 12.50 – 17.20 Spot Rate : 4.7000 Average : 2.5606 YTW SCENARIO |
| TRP.PR.B | FixedReset Disc | Quote: 8.65 – 9.99 Spot Rate : 1.3400 Average : 0.7628 YTW SCENARIO |
| BAM.PR.X | FixedReset Disc | Quote: 11.95 – 13.00 Spot Rate : 1.0500 Average : 0.5969 YTW SCENARIO |
| SLF.PR.I | FixedReset Ins Non | Quote: 19.90 – 21.00 Spot Rate : 1.1000 Average : 0.6711 YTW SCENARIO |
| BAM.PR.T | FixedReset Disc | Quote: 13.55 – 14.10 Spot Rate : 0.5500 Average : 0.3382 YTW SCENARIO |
| CM.PR.P | FixedReset Disc | Quote: 19.17 – 19.70 Spot Rate : 0.5300 Average : 0.3547 YTW SCENARIO |