Sorry about the lateness, folks! My schedule on the 16th and 17th is a little peculiar.
PerpetualDiscounts now yield 5.23%, equivalent to 6.80% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.75%, so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 205bp.
| 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 | -0.9029 % | 2,105.7 |
| FixedFloater | 4.75 % | 4.14 % | 28,858 | 17.09 | 1 | 1.8321 % | 3,245.9 |
| Floater | 3.42 % | 3.42 % | 159,118 | 18.67 | 2 | -0.9029 % | 2,273.6 |
| OpRet | 4.93 % | 0.88 % | 53,414 | 1.50 | 7 | 0.0985 % | 2,492.1 |
| SplitShare | 5.75 % | 6.45 % | 56,114 | 5.12 | 3 | 0.1399 % | 2,517.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0985 % | 2,278.8 |
| Perpetual-Premium | 5.56 % | -0.13 % | 101,607 | 0.15 | 13 | 0.0929 % | 2,160.4 |
| Perpetual-Discount | 5.31 % | 5.23 % | 106,560 | 14.81 | 17 | 0.0072 % | 2,296.6 |
| FixedReset | 5.10 % | 2.91 % | 234,537 | 2.49 | 63 | 0.1326 % | 2,351.7 |
| Deemed-Retractible | 5.03 % | 4.38 % | 205,648 | 3.66 | 46 | 0.0774 % | 2,224.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.K | Floater | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-11-16 Maturity Price : 15.23 Evaluated at bid price : 15.23 Bid-YTW : 3.48 % |
| BAM.PR.N | Perpetual-Discount | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-11-16 Maturity Price : 22.60 Evaluated at bid price : 22.95 Bid-YTW : 5.23 % |
| BAM.PR.G | FixedFloater | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-11-16 Maturity Price : 21.37 Evaluated at bid price : 20.01 Bid-YTW : 4.14 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.B | FixedReset | 291,585 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-11-16 Maturity Price : 23.26 Evaluated at bid price : 25.42 Bid-YTW : 3.68 % |
| RY.PR.I | FixedReset | 100,400 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 26.20 Bid-YTW : 2.77 % |
| FTS.PR.C | OpRet | 76,712 | YTW SCENARIO Maturity Type : Call Maturity Date : 2011-12-16 Maturity Price : 25.50 Evaluated at bid price : 25.87 Bid-YTW : -14.33 % |
| FTS.PR.E | OpRet | 69,304 | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-06-01 Maturity Price : 25.75 Evaluated at bid price : 27.23 Bid-YTW : 0.88 % |
| RY.PR.H | Deemed-Retractible | 67,654 | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-24 Maturity Price : 26.00 Evaluated at bid price : 26.75 Bid-YTW : 3.40 % |
| TD.PR.G | FixedReset | 66,150 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 27.31 Bid-YTW : 2.46 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.K | Floater | Quote: 15.23 – 15.69 Spot Rate : 0.4600 Average : 0.2835 YTW SCENARIO |
| ELF.PR.G | Perpetual-Discount | Quote: 20.92 – 21.46 Spot Rate : 0.5400 Average : 0.3857 YTW SCENARIO |
| TCA.PR.Y | Perpetual-Premium | Quote: 52.65 – 53.14 Spot Rate : 0.4900 Average : 0.3533 YTW SCENARIO |
| BAM.PR.N | Perpetual-Discount | Quote: 22.95 – 23.29 Spot Rate : 0.3400 Average : 0.2390 YTW SCENARIO |
| BAM.PR.H | OpRet | Quote: 25.31 – 25.69 Spot Rate : 0.3800 Average : 0.2884 YTW SCENARIO |
| FTS.PR.H | FixedReset | Quote: 25.41 – 25.58 Spot Rate : 0.1700 Average : 0.1179 YTW SCENARIO |