PerpetualDiscounts now yield 5.40%, equivalent to 7.02% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 4.10%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread” is now about 295bp, a narrowing from the 305bp reported September 27.
| 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 | -0.0511 % | 2,392.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0511 % | 4,389.7 |
| Floater | 3.82 % | 3.97 % | 26,672 | 17.53 | 4 | -0.0511 % | 2,529.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0132 % | 3,074.8 |
| SplitShare | 4.74 % | 4.51 % | 83,434 | 1.22 | 6 | -0.0132 % | 3,672.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0132 % | 2,865.0 |
| Perpetual-Premium | 5.37 % | 4.84 % | 59,592 | 5.77 | 17 | -0.0232 % | 2,795.1 |
| Perpetual-Discount | 5.38 % | 5.40 % | 61,738 | 14.73 | 19 | 0.0659 % | 2,915.6 |
| FixedReset | 4.29 % | 4.40 % | 150,877 | 4.61 | 99 | 0.2722 % | 2,447.9 |
| Deemed-Retractible | 5.12 % | 5.64 % | 99,211 | 6.03 | 30 | 0.2572 % | 2,874.0 |
| FloatingReset | 2.85 % | 3.09 % | 51,335 | 4.06 | 8 | -0.2453 % | 2,656.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.T | FixedReset | -2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-10-04 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 4.90 % |
| IFC.PR.C | FixedReset | -1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.50 Bid-YTW : 5.51 % |
| TD.PR.T | FloatingReset | -1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 3.06 % |
| TD.PF.A | FixedReset | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-10-04 Maturity Price : 22.72 Evaluated at bid price : 23.04 Bid-YTW : 4.38 % |
| CM.PR.O | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-10-04 Maturity Price : 22.56 Evaluated at bid price : 22.91 Bid-YTW : 4.42 % |
| BMO.PR.S | FixedReset | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-10-04 Maturity Price : 22.98 Evaluated at bid price : 23.38 Bid-YTW : 4.40 % |
| NA.PR.W | FixedReset | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-10-04 Maturity Price : 22.15 Evaluated at bid price : 22.46 Bid-YTW : 4.50 % |
| CM.PR.Q | FixedReset | 1.28 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.46 Bid-YTW : 4.35 % |
| PWF.PR.T | FixedReset | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-10-04 Maturity Price : 23.28 Evaluated at bid price : 23.75 Bid-YTW : 4.40 % |
| NA.PR.S | FixedReset | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-10-04 Maturity Price : 22.86 Evaluated at bid price : 23.26 Bid-YTW : 4.51 % |
| MFC.PR.C | Deemed-Retractible | 1.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.75 Bid-YTW : 6.86 % |
| SLF.PR.B | Deemed-Retractible | 1.56 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.85 Bid-YTW : 6.33 % |
| MFC.PR.F | FixedReset | 1.56 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.60 Bid-YTW : 8.10 % |
| PWF.PR.P | FixedReset | 1.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2047-10-04 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 4.59 % |
| MFC.PR.K | FixedReset | 1.99 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 6.08 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.I | FixedReset | 166,110 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.95 Bid-YTW : 3.90 % |
| RY.PR.Q | FixedReset | 137,136 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 26.79 Bid-YTW : 3.58 % |
| CM.PR.R | FixedReset | 95,508 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 4.13 % |
| BMO.PR.C | FixedReset | 65,050 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 4.16 % |
| PWF.PR.I | Perpetual-Premium | 62,928 | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-11-03 Maturity Price : 25.00 Evaluated at bid price : 25.68 Bid-YTW : -13.50 % |
| RY.PR.I | FixedReset | 55,600 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 3.76 % |
| There were 25 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.T | FixedReset | Quote: 20.15 – 20.85 Spot Rate : 0.7000 Average : 0.4336 YTW SCENARIO |
| TRP.PR.F | FloatingReset | Quote: 19.80 – 20.40 Spot Rate : 0.6000 Average : 0.4275 YTW SCENARIO |
| NA.PR.Q | FixedReset | Quote: 25.18 – 25.50 Spot Rate : 0.3200 Average : 0.1762 YTW SCENARIO |
| TD.PR.T | FloatingReset | Quote: 24.50 – 24.85 Spot Rate : 0.3500 Average : 0.2127 YTW SCENARIO |
| HSE.PR.A | FixedReset | Quote: 16.90 – 17.40 Spot Rate : 0.5000 Average : 0.3744 YTW SCENARIO |
| PWF.PR.S | Perpetual-Discount | Quote: 22.75 – 23.08 Spot Rate : 0.3300 Average : 0.2215 YTW SCENARIO |