PerpetualDiscounts now yield 5.58%, equivalent to 7.25% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.15%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread” is now about 310bp, a slight (and perhaps spurious) narrowing from the 315bp reported September 26.
| 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 | 2.8135 % | 3,219.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 2.8135 % | 5,906.7 |
| Floater | 3.38 % | 3.51 % | 38,001 | 18.54 | 4 | 2.8135 % | 3,404.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0159 % | 3,228.1 |
| SplitShare | 4.61 % | 4.70 % | 54,230 | 4.76 | 5 | -0.0159 % | 3,855.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0159 % | 3,007.9 |
| Perpetual-Premium | 5.55 % | -4.09 % | 48,852 | 0.09 | 12 | -0.0164 % | 2,926.2 |
| Perpetual-Discount | 5.43 % | 5.58 % | 61,410 | 14.47 | 21 | 0.1509 % | 3,005.3 |
| FixedReset Disc | 4.15 % | 4.98 % | 130,568 | 15.47 | 43 | 0.2326 % | 2,605.9 |
| Deemed-Retractible | 5.17 % | 6.08 % | 58,368 | 5.33 | 27 | -0.0298 % | 2,990.0 |
| FloatingReset | 3.43 % | 3.55 % | 41,009 | 5.63 | 4 | 0.3215 % | 2,886.5 |
| FixedReset Prem | 4.84 % | 3.81 % | 219,218 | 2.83 | 34 | 0.0743 % | 2,580.7 |
| FixedReset Bank Non | 3.19 % | 3.69 % | 67,579 | 0.39 | 9 | 0.0769 % | 2,578.1 |
| FixedReset Ins Non | 4.30 % | 5.05 % | 87,467 | 5.40 | 22 | 0.0366 % | 2,603.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.N | FixedReset Ins Non | -1.42 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.68 Bid-YTW : 5.49 % |
| BAM.PF.F | FixedReset Disc | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-03 Maturity Price : 23.98 Evaluated at bid price : 24.46 Bid-YTW : 5.28 % |
| BAM.PF.B | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-03 Maturity Price : 23.34 Evaluated at bid price : 24.11 Bid-YTW : 5.11 % |
| TD.PF.E | FixedReset Disc | 1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-10-31 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 4.14 % |
| MFC.PR.K | FixedReset Ins Non | 1.08 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.38 Bid-YTW : 5.84 % |
| PWF.PR.A | Floater | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-03 Maturity Price : 21.70 Evaluated at bid price : 21.95 Bid-YTW : 2.95 % |
| TD.PF.B | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-03 Maturity Price : 23.33 Evaluated at bid price : 23.94 Bid-YTW : 4.80 % |
| RY.PR.H | FixedReset Disc | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-03 Maturity Price : 23.16 Evaluated at bid price : 23.75 Bid-YTW : 4.82 % |
| BAM.PR.B | Floater | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-03 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 3.66 % |
| IFC.PR.A | FixedReset Ins Non | 2.58 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.66 Bid-YTW : 7.06 % |
| BAM.PR.C | Floater | 3.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-03 Maturity Price : 18.45 Evaluated at bid price : 18.45 Bid-YTW : 3.53 % |
| BAM.PR.K | Floater | 4.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-03 Maturity Price : 18.54 Evaluated at bid price : 18.54 Bid-YTW : 3.51 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.T | FixedReset Disc | 142,250 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-03 Maturity Price : 22.69 Evaluated at bid price : 23.26 Bid-YTW : 4.90 % |
| BMO.PR.E | FixedReset Prem | 137,620 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-11-25 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 4.75 % |
| TD.PF.H | FixedReset Prem | 130,393 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 26.04 Bid-YTW : 3.72 % |
| BAM.PF.I | FixedReset Prem | 91,158 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 3.73 % |
| RY.PR.M | FixedReset Disc | 76,350 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-10-03 Maturity Price : 23.31 Evaluated at bid price : 24.41 Bid-YTW : 4.90 % |
| TD.PF.K | FixedReset Prem | 73,298 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.13 Bid-YTW : 4.72 % |
| There were 33 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.B | Floater | Quote: 17.80 – 18.80 Spot Rate : 1.0000 Average : 0.6279 YTW SCENARIO |
| BAM.PR.C | Floater | Quote: 18.45 – 19.45 Spot Rate : 1.0000 Average : 0.6506 YTW SCENARIO |
| BAM.PF.B | FixedReset Disc | Quote: 24.11 – 24.75 Spot Rate : 0.6400 Average : 0.4047 YTW SCENARIO |
| MFC.PR.J | FixedReset Ins Non | Quote: 25.03 – 25.54 Spot Rate : 0.5100 Average : 0.2861 YTW SCENARIO |
| MFC.PR.N | FixedReset Ins Non | Quote: 23.68 – 24.50 Spot Rate : 0.8200 Average : 0.6375 YTW SCENARIO |
| PWF.PR.A | Floater | Quote: 21.95 – 22.49 Spot Rate : 0.5400 Average : 0.3595 YTW SCENARIO |