| 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 | 3.96 % | 4.64 % | 20,454 | 18.14 | 1 | 0.0000 % | 2,528.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3776 % | 4,896.3 |
| Floater | 4.21 % | 4.18 % | 44,302 | 17.01 | 3 | 0.3776 % | 2,821.7 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1379 % | 3,496.4 |
| SplitShare | 4.86 % | 5.60 % | 37,635 | 3.26 | 8 | -0.1379 % | 4,175.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1379 % | 3,257.9 |
| Perpetual-Premium | 5.90 % | 5.95 % | 60,782 | 13.94 | 1 | 0.0000 % | 2,958.2 |
| Perpetual-Discount | 5.78 % | 5.88 % | 63,728 | 14.03 | 35 | 0.2776 % | 3,214.9 |
| FixedReset Disc | 4.57 % | 5.95 % | 127,469 | 14.07 | 59 | 0.0784 % | 2,538.8 |
| Insurance Straight | 5.73 % | 5.88 % | 91,065 | 13.99 | 20 | 0.0325 % | 3,129.5 |
| FloatingReset | 4.58 % | 4.88 % | 58,779 | 15.65 | 2 | -0.1826 % | 2,662.2 |
| FixedReset Prem | 5.10 % | 5.30 % | 130,193 | 2.06 | 9 | 0.1609 % | 2,583.7 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0784 % | 2,595.1 |
| FixedReset Ins Non | 4.49 % | 5.86 % | 75,546 | 14.18 | 15 | -0.8665 % | 2,675.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.M | FixedReset Ins Non | -5.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.45 % |
| MFC.PR.N | FixedReset Ins Non | -4.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 6.32 % |
| BAM.PF.E | FixedReset Disc | -3.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 7.04 % |
| MFC.PR.L | FixedReset Ins Non | -3.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.28 % |
| CCS.PR.C | Insurance Straight | -2.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 21.28 Evaluated at bid price : 21.55 Bid-YTW : 5.88 % |
| BAM.PR.R | FixedReset Disc | -2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 6.81 % |
| BMO.PR.Y | FixedReset Disc | -2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.97 % |
| MFC.PR.F | FixedReset Ins Non | -2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 6.22 % |
| TD.PF.A | FixedReset Disc | -1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.94 % |
| BMO.PR.S | FixedReset Disc | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 5.85 % |
| BAM.PR.N | Perpetual-Discount | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.89 % |
| BAM.PR.M | Perpetual-Discount | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 5.88 % |
| MFC.PR.B | Insurance Straight | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 20.66 Evaluated at bid price : 20.66 Bid-YTW : 5.73 % |
| CU.PR.G | Perpetual-Discount | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.59 % |
| FTS.PR.G | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 20.42 Evaluated at bid price : 20.42 Bid-YTW : 6.03 % |
| BAM.PR.B | Floater | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 13.56 Evaluated at bid price : 13.56 Bid-YTW : 4.17 % |
| CM.PR.Q | FixedReset Disc | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 21.77 Evaluated at bid price : 22.05 Bid-YTW : 5.82 % |
| PWF.PR.L | Perpetual-Discount | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 21.38 Evaluated at bid price : 21.65 Bid-YTW : 5.94 % |
| MFC.PR.C | Insurance Straight | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 5.64 % |
| GWO.PR.P | Insurance Straight | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 23.14 Evaluated at bid price : 23.40 Bid-YTW : 5.85 % |
| MFC.PR.K | FixedReset Ins Non | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 21.59 Evaluated at bid price : 21.98 Bid-YTW : 5.74 % |
| FTS.PR.M | FixedReset Disc | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.36 % |
| POW.PR.B | Perpetual-Discount | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 22.63 Evaluated at bid price : 22.88 Bid-YTW : 5.91 % |
| TRP.PR.D | FixedReset Disc | 1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 19.89 Evaluated at bid price : 19.89 Bid-YTW : 6.40 % |
| TRP.PR.C | FixedReset Disc | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 13.75 Evaluated at bid price : 13.75 Bid-YTW : 6.93 % |
| CU.PR.H | Perpetual-Discount | 2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 22.72 Evaluated at bid price : 22.97 Bid-YTW : 5.73 % |
| TRP.PR.E | FixedReset Disc | 2.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 6.33 % |
| FTS.PR.K | FixedReset Disc | 4.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 18.96 Evaluated at bid price : 18.96 Bid-YTW : 6.31 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.I | FixedReset Ins Non | 75,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 23.74 Evaluated at bid price : 24.55 Bid-YTW : 5.81 % |
| BAM.PR.X | FixedReset Disc | 27,555 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 6.61 % |
| CM.PR.R | FixedReset Disc | 26,800 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 24.14 Evaluated at bid price : 24.95 Bid-YTW : 6.20 % |
| TRP.PR.K | FixedReset Prem | 25,400 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-06-30 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 4.95 % |
| BAM.PF.J | FixedReset Disc | 21,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 23.54 Evaluated at bid price : 24.22 Bid-YTW : 6.13 % |
| BAM.PF.A | FixedReset Disc | 18,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-19 Maturity Price : 22.64 Evaluated at bid price : 23.08 Bid-YTW : 6.21 % |
| There were 4 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-Discount | Quote: 20.50 – 23.52 Spot Rate : 3.0200 Average : 1.6505 YTW SCENARIO |
| BAM.PR.X | FixedReset Disc | Quote: 17.75 – 19.75 Spot Rate : 2.0000 Average : 1.1450 YTW SCENARIO |
| CU.PR.F | Perpetual-Discount | Quote: 20.18 – 22.75 Spot Rate : 2.5700 Average : 1.7200 YTW SCENARIO |
| RY.PR.J | FixedReset Disc | Quote: 21.81 – 23.75 Spot Rate : 1.9400 Average : 1.2184 YTW SCENARIO |
| MFC.PR.M | FixedReset Ins Non | Quote: 19.50 – 21.15 Spot Rate : 1.6500 Average : 1.0863 YTW SCENARIO |
| BAM.PF.E | FixedReset Disc | Quote: 18.10 – 20.00 Spot Rate : 1.9000 Average : 1.4236 YTW SCENARIO |
Just for perspective, here’s a recent issue by Interpipeline for intermediate term funding.
https://interpipeline.com/news-releases/inter-pipeline-announces-issuance-of-senior-unsecured-notes-2/
10 year notes yielding 5.85%. The credit rating is BBB(Low).
This versus perpetuals yielding between 5.5 to 6% with P2(H)-P3(H) ratings.
Further perspective, I see Enbridge 3.10% 21sep33 bond yielding 5.03% and TransCanada (aka TC Energy) 5.33% 12may32 bond yielding 5.01% at TD. Add about 10bp to get midmarket, so you are looking at 5.12%….in that ballpark.