PerpetualDiscounts now yield 5.01%, equivalent to 6.51% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.6%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 290bp, unchanged from September 14.
| 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 | 0.4995 % | 1,706.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4995 % | 3,117.9 |
| Floater | 4.85 % | 4.55 % | 89,473 | 16.32 | 4 | 0.4995 % | 1,796.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3063 % | 2,892.4 |
| SplitShare | 5.06 % | 4.46 % | 76,540 | 2.16 | 5 | 0.3063 % | 3,454.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3063 % | 2,695.1 |
| Perpetual-Premium | 5.50 % | 4.64 % | 65,468 | 1.94 | 12 | 0.1594 % | 2,690.2 |
| Perpetual-Discount | 5.12 % | 5.01 % | 93,077 | 15.06 | 26 | 0.1724 % | 2,917.1 |
| FixedReset | 4.97 % | 4.24 % | 152,550 | 6.98 | 92 | 0.1825 % | 2,049.0 |
| Deemed-Retractible | 5.02 % | 2.24 % | 110,411 | 0.33 | 32 | 0.0827 % | 2,802.2 |
| FloatingReset | 2.84 % | 4.45 % | 40,814 | 4.97 | 12 | 0.1931 % | 2,199.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GRP.PR.A | SplitShare | 1.04 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-10-28 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : -13.73 % |
| BAM.PR.R | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-28 Maturity Price : 15.77 Evaluated at bid price : 15.77 Bid-YTW : 4.65 % |
| FTS.PR.M | FixedReset | 1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-28 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 4.17 % |
| TRP.PR.C | FixedReset | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-28 Maturity Price : 13.30 Evaluated at bid price : 13.30 Bid-YTW : 4.04 % |
| ELF.PR.G | Perpetual-Discount | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-28 Maturity Price : 22.82 Evaluated at bid price : 23.10 Bid-YTW : 5.14 % |
| TRP.PR.F | FloatingReset | 1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-28 Maturity Price : 14.12 Evaluated at bid price : 14.12 Bid-YTW : 4.34 % |
| TRP.PR.H | FloatingReset | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-28 Maturity Price : 10.70 Evaluated at bid price : 10.70 Bid-YTW : 4.23 % |
| SLF.PR.G | FixedReset | 2.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.33 Bid-YTW : 9.76 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.N | Deemed-Retractible | 463,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-01-27 Maturity Price : 25.00 Evaluated at bid price : 25.51 Bid-YTW : 1.61 % |
| W.PR.J | Perpetual-Discount | 302,450 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-10-28 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 2.44 % |
| POW.PR.B | Perpetual-Discount | 235,518 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-10-28 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : -2.53 % |
| GWO.PR.F | Deemed-Retractible | 214,389 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-10-28 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : -26.24 % |
| PWF.PR.F | Floater | 199,860 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-28 Maturity Price : 24.68 Evaluated at bid price : 25.00 Bid-YTW : 5.32 % |
| PWF.PR.F | Floater | 199,860 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-28 Maturity Price : 24.68 Evaluated at bid price : 25.00 Bid-YTW : 5.32 % |
| HSB.PR.D | Deemed-Retractible | 177,600 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-10-28 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 2.24 % |
| BNS.PR.H | FixedReset | 175,110 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-01-26 Maturity Price : 25.00 Evaluated at bid price : 25.78 Bid-YTW : 4.25 % |
| BNS.PR.O | Deemed-Retractible | 140,047 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-10-28 Maturity Price : 25.25 Evaluated at bid price : 25.68 Bid-YTW : -4.18 % |
| TD.PF.H | FixedReset | 117,195 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 4.30 % |
| TRP.PR.J | FixedReset | 109,369 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.61 Bid-YTW : 4.10 % |
| FTS.PR.M | FixedReset | 100,235 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-09-28 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 4.17 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GRP.PR.A | SplitShare | Quote: 25.35 – 25.99 Spot Rate : 0.6400 Average : 0.4465 YTW SCENARIO |
| FTS.PR.G | FixedReset | Quote: 17.55 – 17.95 Spot Rate : 0.4000 Average : 0.2397 YTW SCENARIO |
| HSB.PR.D | Deemed-Retractible | Quote: 25.05 – 25.36 Spot Rate : 0.3100 Average : 0.1979 YTW SCENARIO |
| BNS.PR.D | FloatingReset | Quote: 19.54 – 19.88 Spot Rate : 0.3400 Average : 0.2304 YTW SCENARIO |
| MFC.PR.H | FixedReset | Quote: 21.30 – 21.58 Spot Rate : 0.2800 Average : 0.1769 YTW SCENARIO |
| TD.PR.Z | FloatingReset | Quote: 22.35 – 22.64 Spot Rate : 0.2900 Average : 0.1959 YTW SCENARIO |