PerpetualDiscounts now yield 5.17%, equivalent to 6.72% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.80%, so the pre-tax interest-equivalent spread is now about 290bp, a significant narrowing from the 305bp reported September 7.
| 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 | -0.2151 % | 1,686.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2151 % | 3,081.4 |
| Floater | 4.90 % | 4.63 % | 90,808 | 16.20 | 4 | -0.2151 % | 1,775.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2389 % | 2,879.9 |
| SplitShare | 5.05 % | 4.78 % | 73,107 | 2.19 | 5 | 0.2389 % | 3,439.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2389 % | 2,683.4 |
| Perpetual-Premium | 5.51 % | 4.63 % | 66,648 | 2.12 | 12 | 0.0033 % | 2,671.5 |
| Perpetual-Discount | 5.14 % | 5.17 % | 96,219 | 15.11 | 26 | 0.0603 % | 2,897.3 |
| FixedReset | 5.02 % | 4.49 % | 155,247 | 6.95 | 91 | -0.0219 % | 2,028.6 |
| Deemed-Retractible | 5.03 % | 4.48 % | 120,298 | 3.22 | 32 | 0.0357 % | 2,796.0 |
| FloatingReset | 2.84 % | 4.20 % | 28,950 | 5.02 | 12 | -0.4373 % | 2,193.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BNS.PR.D | FloatingReset | -3.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.24 Bid-YTW : 6.68 % |
| TRP.PR.B | FixedReset | -2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-14 Maturity Price : 11.72 Evaluated at bid price : 11.72 Bid-YTW : 4.32 % |
| TRP.PR.C | FixedReset | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-14 Maturity Price : 13.06 Evaluated at bid price : 13.06 Bid-YTW : 4.37 % |
| TRP.PR.A | FixedReset | -1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-14 Maturity Price : 14.86 Evaluated at bid price : 14.86 Bid-YTW : 4.64 % |
| BNS.PR.A | FloatingReset | -1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.02 Bid-YTW : 4.20 % |
| SLF.PR.J | FloatingReset | 1.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.80 Bid-YTW : 10.99 % |
| IFC.PR.C | FixedReset | 1.21 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.51 Bid-YTW : 8.45 % |
| VNR.PR.A | FixedReset | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-14 Maturity Price : 18.48 Evaluated at bid price : 18.48 Bid-YTW : 4.91 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.H | FixedReset | 402,304 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 4.53 % |
| TD.PF.G | FixedReset | 288,385 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.73 Bid-YTW : 4.03 % |
| W.PR.M | FixedReset | 88,668 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-15 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 4.83 % |
| TD.PF.C | FixedReset | 72,843 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-14 Maturity Price : 18.23 Evaluated at bid price : 18.23 Bid-YTW : 4.31 % |
| TD.PF.A | FixedReset | 63,038 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-14 Maturity Price : 18.47 Evaluated at bid price : 18.47 Bid-YTW : 4.26 % |
| BAM.PF.C | Perpetual-Discount | 55,512 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-14 Maturity Price : 22.66 Evaluated at bid price : 22.99 Bid-YTW : 5.27 % |
| There were 49 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| HSE.PR.A | FixedReset | Quote: 11.91 – 12.25 Spot Rate : 0.3400 Average : 0.2187 YTW SCENARIO |
| PWF.PR.S | Perpetual-Discount | Quote: 23.48 – 23.75 Spot Rate : 0.2700 Average : 0.1750 YTW SCENARIO |
| CU.PR.H | Perpetual-Discount | Quote: 25.01 – 25.42 Spot Rate : 0.4100 Average : 0.3154 YTW SCENARIO |
| BMO.PR.A | FloatingReset | Quote: 20.26 – 20.90 Spot Rate : 0.6400 Average : 0.5536 YTW SCENARIO |
| W.PR.H | Perpetual-Discount | Quote: 25.10 – 25.50 Spot Rate : 0.4000 Average : 0.3180 YTW SCENARIO |
| GWO.PR.N | FixedReset | Quote: 14.05 – 14.35 Spot Rate : 0.3000 Average : 0.2192 YTW SCENARIO |