A strong day today in the wake of the BoC rate hike.
PerpetualDiscounts now yield 5.35%, equivalent to 6.96% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little less than 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, significantly narrower than the 310bp reported August 30.
| 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 | 2.0819 % | 2,411.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 2.0819 % | 4,425.5 |
| Floater | 3.59 % | 3.63 % | 109,641 | 18.16 | 3 | 2.0819 % | 2,550.5 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0472 % | 3,086.2 |
| SplitShare | 4.72 % | 4.13 % | 51,828 | 1.30 | 5 | 0.0472 % | 3,685.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0472 % | 2,875.6 |
| Perpetual-Premium | 5.41 % | 4.79 % | 58,005 | 5.85 | 16 | 0.0320 % | 2,782.5 |
| Perpetual-Discount | 5.31 % | 5.35 % | 69,322 | 14.84 | 19 | -0.1330 % | 2,915.5 |
| FixedReset | 4.35 % | 4.41 % | 147,190 | 6.30 | 98 | 0.3864 % | 2,399.6 |
| Deemed-Retractible | 5.12 % | 5.51 % | 99,209 | 6.08 | 31 | -0.2897 % | 2,860.2 |
| FloatingReset | 2.72 % | 3.09 % | 42,005 | 4.14 | 8 | 0.2379 % | 2,623.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.A | Deemed-Retractible | -1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.27 Bid-YTW : 6.63 % |
| BAM.PF.I | FixedReset | -1.24 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.58 Bid-YTW : 4.48 % |
| PWF.PR.T | FixedReset | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-06 Maturity Price : 22.66 Evaluated at bid price : 23.10 Bid-YTW : 4.30 % |
| CM.PR.Q | FixedReset | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-06 Maturity Price : 22.79 Evaluated at bid price : 23.59 Bid-YTW : 4.48 % |
| HSE.PR.C | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-06 Maturity Price : 22.57 Evaluated at bid price : 23.07 Bid-YTW : 5.04 % |
| RY.PR.M | FixedReset | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-06 Maturity Price : 22.60 Evaluated at bid price : 23.33 Bid-YTW : 4.37 % |
| BMO.PR.T | FixedReset | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-06 Maturity Price : 21.69 Evaluated at bid price : 22.14 Bid-YTW : 4.31 % |
| RY.PR.Z | FixedReset | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-06 Maturity Price : 21.60 Evaluated at bid price : 22.00 Bid-YTW : 4.32 % |
| TD.PF.E | FixedReset | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-06 Maturity Price : 23.10 Evaluated at bid price : 24.33 Bid-YTW : 4.40 % |
| PWF.PR.P | FixedReset | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-06 Maturity Price : 16.96 Evaluated at bid price : 16.96 Bid-YTW : 4.49 % |
| BMO.PR.Y | FixedReset | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-06 Maturity Price : 22.91 Evaluated at bid price : 23.85 Bid-YTW : 4.38 % |
| MFC.PR.F | FixedReset | 1.42 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.14 Bid-YTW : 8.31 % |
| TRP.PR.G | FixedReset | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-06 Maturity Price : 22.94 Evaluated at bid price : 24.00 Bid-YTW : 4.55 % |
| BAM.PR.B | Floater | 1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-06 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 3.63 % |
| BAM.PR.K | Floater | 2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-06 Maturity Price : 14.35 Evaluated at bid price : 14.35 Bid-YTW : 3.64 % |
| BAM.PR.C | Floater | 2.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-06 Maturity Price : 14.40 Evaluated at bid price : 14.40 Bid-YTW : 3.63 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.J | FixedReset | 242,117 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.60 Bid-YTW : 3.70 % |
| NA.PR.C | FixedReset | 212,189 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 4.48 % |
| BMO.PR.C | FixedReset | 125,835 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 4.18 % |
| TRP.PR.K | FixedReset | 118,549 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 4.01 % |
| TRP.PR.D | FixedReset | 109,616 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-06 Maturity Price : 21.63 Evaluated at bid price : 22.05 Bid-YTW : 4.51 % |
| BAM.PR.Z | FixedReset | 92,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-09-06 Maturity Price : 23.14 Evaluated at bid price : 24.05 Bid-YTW : 4.74 % |
| There were 49 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| GWO.PR.N | FixedReset | Quote: 17.15 – 17.74 Spot Rate : 0.5900 Average : 0.4433 YTW SCENARIO |
| CU.PR.H | Perpetual-Discount | Quote: 24.80 – 25.22 Spot Rate : 0.4200 Average : 0.3284 YTW SCENARIO |
| IFC.PR.A | FixedReset | Quote: 19.75 – 20.05 Spot Rate : 0.3000 Average : 0.2151 YTW SCENARIO |
| W.PR.M | FixedReset | Quote: 26.16 – 26.40 Spot Rate : 0.2400 Average : 0.1620 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 22.36 – 22.63 Spot Rate : 0.2700 Average : 0.1957 YTW SCENARIO |
| TRP.PR.F | FloatingReset | Quote: 19.20 – 19.60 Spot Rate : 0.4000 Average : 0.3264 YTW SCENARIO |